Cycle Period-based Channel Breakouts

I study trading system ideas with my research buddies.

My team (non-pro) studied cycle period-based channel breakouts but in vain. We tested more than 100 ideas in the area. (When we do research, we usually test more than 100 ideas. But we as a team kind of gave up already.)

Here is our basic idea:

A Turtle-type of system will buy/sell when today’s price is higher/lower than the past 20-day high/low. As you can see, it uses a fixed number, in this case 20, as a lookback period.

Probably, the market condition must be constantly changing, i.e., the current cycle period may vary all the time.

So, we think we had better use the current cycle length (which may change day by day) as a lookback period.

For instance, if today’s measured cycle period is 25 days, a system will buy/sell when today’s price becomes higher/lower than the past 25-day high/low.

The amended system will enter the market when the current price exceeds the past cycle high/low.

Our results were not good at all. We feel that the market does not necessarily break out after the price surpasses the past cycle high/low.

One time we added a filter to the first amended system. Only if the current price is higher /lower than an adaptive moving average, we take these buy/sell signals made by the first amended system. Otherwise, signals from the amended system are ignored. The result got better. But we feel that is mainly because of the power of the M.A. We feel cycle period-based channel breakouts can work only with some other good techniques.

As mentioned above, we may not have tested enough. In addition, we mainly tested our ideas with bond/interest rate futures. In this regard, what we did was less than half-baked.

Is there anyone who has tested something related to cycle period-based channel breakouts? Please advise. Thanks.

 

A broker friend called me yesterday saying that there is a vender selling a trading system which uses cycle analysis and Turtle type of channel breakouts. But she does not know its name.

 

do you really believe it would be that simple? we have ET member here, who spend 12 years studying markets every day, before he became consistently profitable. btw-i don't believe in teamwork in this business

 

Hi Bob111

> btw-i don't believe in teamwork in this business

Thank you very much for your concern. I really appreciate it.

And please do not take this the wrong way. (Also, if I misunderstand you, I am sorry.)

Teamwork collapses or at least does not work, which is the thing I have heard of many times in many areas. But at the same time so many rigid rules have some exceptions. Team "Elephant" has been still standing.

Have good trading.

 

Super Turtle by Murray Ruggiero. He is not shy about touting Super Turtle right here on ET. http://www.elitetrader.com/vb/showthread.php?s=&postid=1267239&highlight=Einstein#post1267239

 

Hi MGJ

> Super Turtle by Murray Ruggiero. He is not shy about touting Super Turtle right here on ET. http://www.elitetrader.com/vb/showt...ein#post1267239

Thank you very much for your input. So there actually is a successful commercial system. His message and the discussions there are also quite interesting.

Thanks again.

 

Maybe 20 days is not a good choice for that particular security. You might experiment with other values.

Another thing to consider is what happens when a portfolio of securities is traded using these rules. If a security is trending then it's position reduces the cash balance. There might not be sufficient funds for purchase of another security.

 

You're using an adaptive cycle period and half a full cycle for your signal right? Not sure if I ever looked at that very thoroughly maybe superficially. I don't recall seeing much promise to cause me to go digging much deeper but that doesn't preclude the possibility there is a gem waiting to be discovered. What adaptive filter are you using? Maxima to minima? If I recall correctly Ruggiero recommends another method. Mind a bit foggy, been a while since I last conducted my experiments.

 

I've looked into these types of setups, and found that many simply aren't profitable as it stands. Pull up your charting program and put some Donchian Channels on (with an offset), and take a look around.