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Two Lower Lows

The starting point of all strategies is the historical edge. The statistical edge that has proven positive results which you then craft your trading system around.


I just found a high level pattern in the French CAC40 index you can use for your own CAC40 trading system. The rules are simple and the volume of trades is high, which means you have room to add your own filters and code to further improve the strategy


Here are the detailed conditions, results and code:


The entry rules are very simple

  1. We have a lower daily low three days in a row

  2. It's not Monday

  3. Enter trade at the open


Conditions to exit trade

  1. Exit the trade in 5 days


The equity curve from January 1988 until today


Statistics (January 1988 until today)

  • Gain of 8878 points

  • 57.85% winrate (total 446 trades)

  • Time in Market: 29.02%

  • Gain/Loss ratio: 1.5

  • Max consecutive wins: 7

  • Max consecutive losses: 6

  • Max Drawdown / Gain: 16.86%

So this is something to continue working on. There's definitely an edge in entering long trades after a 3 consecutive lowers lows and it has room to improve. The equity curve shows that the edge is stable in both bull- and bear markets. Just avoid monday mornings.

Backtest report


The ProRealTime™ code

DEFPARAM CumulateOrders = False

If low < low[1] AND low[1] < low[2] AND low[2] < low[3] and dayofweek <> 5 THEN
BUY 1 SHARE AT market
ENDIF

If onmarket and BarIndex - TradeIndex >= 5 THEN
SELL AT market
ENDIF

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