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Trading System Based on the CloseHL Percent Rank Oscillator

by Brian Brown, 2496 days ago
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Yesterday, I have shared an indicator called CloseHL Percent Rank Oscillator. Today, I am sharing a trading system based on it.

Although, the different backtest reports of this trading system show great results, with an annualized return often higher than 40% and a Sharpe ratio above 0.8, the drawdown is still high and this could pose problems to traders seeking low risk investments.

I didn't play a lot with this trading system but I am sure someone can come up with a less risky system maybe by adding additional buy rules, sell rules, stops or by applying some money management strategies.

In order to optimize the indicator, I am using the formula directly instead of referencing the function "CloseHLPR".

An additional ranking system was added to the trading system so that it gives higher buying priority to low priced stocks. This shouldn't cause any problem because I have also added two more rules to avoid buying penny and illiquid stocks.

Rule 1: Buy only when close price is higher than $2
Rule 2: Buy only when the average daily volume is higher than $50,000

Contrary to what I have recommended yesterday, that is buy when the CloseHL Percent Rank Oscillator becomes lower than 50, the current trading strategy enters a new position when the indicator is lower than 30.


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Type: Trading System

Object ID: 1081


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Technical Analysis


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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.