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For your system backtesting enjoyment:
Use 6 day Bollinger Bands +/-1.6 stadard deviations on end of day
data on SPY. Buy at open when the closing price crosses above the
lower Bolinger Band, sell when the closing price crosses below the
upper Bollinger Band. Trade both long and short. Very simple & back
tests great on the SPY. Ten year performance over 2X that of buy and
hold, 207 trades in ten years 140 of which were profitable....
Code -
Buy & Buy to cover:
Cross(CLOSE, BBandBot(CLOSE, 6, SIMPLE, 1.6))
Sell & Sell Short:
Cross(CLOSE, BBandTop(CLOSE, 6, SIMPLE, 1.6))
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