KISS Systems strategy

    Posted by matt on 1st of Aug 2023 at 04:00 pm

    The KISS system has always been coded and an indicator, not a strategy. I converted it to strategy and was nicely surprised to see that pretty much any stock or index or ETF I through it on has profit factors of 2, 3, 4, 5, and on many weekly charts I see profit factors of 10 and 15. The fact I can throw it on virtually any instrument and get a profit factor of at least 2 and 3 without changing any setting, no backtest is awesome. Every other strategy that I've looked at over the last 20 years you couldn't universally apply it to anything and get a profitable strategy, you would have to backtest etc. The fact that it is virtually profitable on anything without changing one setting, tells me that there I have come up with some universal ideas for the trade logic

    anyway for the KISS systems - as you would expect, the winning percentage is low compared to reversion to mean strategies that have 90% winning trades. Looking at daily charts going back 30 years, the winning percentage for stocks and indexes is anywhere from 50% to 60%, but they are profitable because you get 1 or 2 whipsaw trades in a row where have minor 5% losing trades, then you catch a big 40%  or 100% gain that more than makes up for the whipsaw trades. 

    On the QQQ daily going back 30 years, the PF is  4.2, average hold time for trades is 55 days, and typical amount of trades per year is 3 to  5 - that seems like a good average.

    Just for fun, I took the daily KISS chart, converted it to a weekly, and added the Dow Jones back 100 years to the 1920's, and those same settings still produced a decent curve and  PF of 4.77

    One thing I've noticed is that a lot of the weekly KISS have much higher profit factors over the daily, such as 10 or 15, vs 4 or 5 for daily. That may be telling me that I can make the daily a bit wider with it's parameters. Anyway, being a strategy, I can now test things like that, whereas before I could not. By the  way the way I coded the KISS strategy was to take the trades the next morning on the open instead of the close, because assuming one would not see the new KISS entries until after the close and would enter the following day

    anyway I'll expand upon this another time

    For the stats is this

    Posted by focus175 on 1st of Aug 2023 at 04:03 pm

    For the stats is this exiting on an intraday poke below the trailing stop or a end of day close below it?

    coded as the close I

    Posted by matt on 1st of Aug 2023 at 04:04 pm

    coded as the close I think

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