Quantifying the Hammer
A Bullish Harami pattern is formed when all the following conditions should be met :
- today's bar is white (up day) and yesterday's bar is dark
- today's candle height is less than yesterday's candle body
DataSet : SP500
BackTest Period : 15 years
Buy Signal :
- Look for 3 consecutive down days
- A Bullish Harami is formed on the third day and the fourth day
- Buy at Open on the fifth day
- Sell on the sixth day
Performance
I am only interested in finding out if this particular signal does act as a trend reversal signal. I am not interested in building a trading system. The best performance measure for this task is the Win-Rate as it represents the probability that my hypothesis is correct.
PERFORMANCE | |||||||
---|---|---|---|---|---|---|---|
Number of Trades | 2,387 | Winning Trades | 1,115 | Losing Trades | 1,272 | ||
Average Profit % | -0.27% | Win Rate | 46.71% | Loss Rate | 53.29% | ||
Average Bars Held | 2 | Average Profit % | 2.54% | Average Loss % | -2.73% | ||
Average Bars Held | 2 | Average Bars Held | 2 |
Setup
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