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Thank you for sharing this. I was wondering how you defined the "V"? Can it be a shallow "V", does it have to be a deep "V", or it doesn't really matter, if it looks like a "V" just take it.
This is a bit intriguing because I spent a tremendous amount of time on studying the CCI "V" entries and found them to have a 35% winrate, very prone to large drawdowns, and overall breakeven. However, that study was based on Woodies definition of the ZLR. I even created a NT strategy in recent months to study it some more. My previous studies were manual. Anyway, you've inspired me to look at this again.
I'm wondering what do you mean by weighted CCI. Are you basing the CCI on an EMA instead of SMA or what?
I actually tried that and remember that I ran into a challenge coding it that I didn't want to spend the time on. So, I put it aside. However, each time I've tried fading a losing strategy it turned out to be just as bad and I've actually done that several times.
Problem is, trading the V's of various indicators give you so many false signals. You gotta have some mighty accurate filters. And, my experience, tinkering with fading losing strategies was always an exercise in futility. Fading a 35% win rate strategy doesn't give you 65% win rate, it ends up being something more like 15%
Deeper seems to work better but, If it looks like a "V" take it. But try to avoid "Chop". You'll get a feel for what works. I tried having exact standards, they didn't seem to work.
Classical CCI is based on Typical -SMA(Typical) / .015*SMA(Typical)
Typical = H+L+C/3
Weighted CCI is based on Weighted - SMA(Weighted)/.015* SMA(Weighted)
Weighted = H+L+C+C/4
Of course on range bars (which I use) you are getting an extra "Close" since price always closes at the high or low of the bar.
I have never seen a mechanical system that was consistently profitable. But that's just me.
Woodie changed his system over the years to where now they trade it like on a 15 or 20 tick range bar. I trade exclusively on a 5 tick range bar.
In June this system had
364 trades
167 losers (I count Break Even as a loser after commissions) .
197 winners
Avg Loss $85.00
Avg Win $168.00
Looking back through the file for June I realize I also took "Woodies Ghost" trades.
I'm just a simple man trading a simple plan.
My daddy always said, "Every day above ground is a good day!"
hello,
anybody got CCI histogram with a alert and arrows when it crosses the zero line(that show up on chart)? Got zero c+ programming talent,just EL. thank you