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Ross Hook Pattern | Trading Strategy (Setup)

I. Trading Strategy

Developer: Joe Ross. Concept: Trading strategy based on price patterns. Research Goal: Performance verification of the pattern setup. Specification: Table 1. Results: Figure 1-2. Trade Setup: Long trades: The Ross Hook is the first correction following the breakout of the Bull Pattern 1-2-3 (Table 1). Short trades: The Ross Hook is the first correction following the breakout of the Bear Pattern 1-2-3 (Table 1). Trade Entry: Long trades: A buy stop is placed one tick above the highest high of the Ross Hook. Short trades: A sell stop is placed one tick below the lowest low of the Ross Hook. Trade Exit: Table 1. Portfolio: 42 futures markets from four major market sectors (commodities, currencies, interest rates, and equity indexes). Data: 32 years since 1980. Testing Platform: MATLAB®.

II. Sensitivity Test

All 3-D charts are followed by 2-D contour charts for Profit Factor, Sharpe Ratio, Ulcer Performance Index, CAGR, Maximum Drawdown, Percent Profitable Trades, and Avg. Win / Avg. Loss Ratio. The final picture shows sensitivity of Equity Curve.

Tested Variables: Min_Setup & Max_Hook (Definitions: Table 1):

Ross Hook Pattern: Profit Factor
Ross Hook Pattern: Profit Factor
Ross Hook Pattern: Sharpe Ratio
Ross Hook Pattern: Sharpe Ratio
Ross Hook Pattern: UPI
Ross Hook Pattern: UPI
Ross Hook Pattern: CAGR
Ross Hook Pattern: CAGR
Ross Hook Pattern: Max. Drawdown
Ross Hook Pattern: Max. Drawdown
Ross Hook Pattern: Percent Profitable Trades
Ross Hook Pattern: Percent Profitable Trades
Ross Hook Pattern: Avg. Win / Avg. Loss Ratio
Ross Hook Pattern: Avg. Win / Avg. Loss Ratio
Ross Hook Pattern: Equity

Figure 1 | Portfolio Performance (Inputs: Table 1; Commission & Slippage: $0).

STRATEGYSPECIFICATIONPARAMETERS
Auxiliary Variables:N/A
Setup:Long trades: The Ross Hook is the first correction following the breakout of the Bull Pattern 1-2-3. Short trades: The Ross Hook is the first correction following the breakout of the Bear Pattern 1-2-3. The minimum size of the Pattern 1-2-3 is defined by the variable Min_Setup (bars). The maximum size of the Ross Hook is defined by the variable Max_Hook (bars).
Ross Hook Pattern

Ross Hook
Min_Setup = [2, 80], Step = 2;
Max_Hook = [2, 80], Step = 2;
Filter:N/A
Entry:Long trades: A buy stop is placed one tick above the highest high of the Ross Hook.
Short trades: A sell stop is placed one tick below the lowest low of the Ross Hook.
Exit:Time Exit: nth day at the close, n = Time_Index.
Quick Exit: Long Trades: A sell stop is placed one tick below the lowest low of the Ross Hook. Short Trades: A buy stop is placed one tick above the highest high of the Ross Hook.
Stop Loss Exit: ATR(ATR_Length) is the Average True Range over a period of ATR_Length. ATR_Stop is a multiple of ATR(ATR_Length). Long Trades: A sell stop is placed at [Entry − ATR(ATR_Length) * ATR_Stop]. Short Trades: A buy stop is placed at [Entry + ATR(ATR_Length) * ATR_Stop].
Time_Index = 10;
ATR_Length = 20;
ATR_Stop = 6;
Sensitivity Test:Min_Setup = [2, 80], Step = 2
Max_Hook = [2, 80], Step = 2
Position Sizing:Initial_Capital = $1,000,000
Fixed_Fractional = 1%
Portfolio = 42 US Futures
ATR_Stop = 6 (ATR ~ Average True Range)
ATR_Length = 20
Data:42 futures markets; 32 years (1980/01/01−2011/12/31)

Table 1 | Specification: Trading Strategy.

III. Sensitivity Test with Commission & Slippage

Tested Variables: Min_Setup & Max_Hook (Definitions: Table 1):

Ross Hook Pattern: Profit Factor
Ross Hook Pattern: Profit Factor
Ross Hook Pattern: Sharpe Ratio
Ross Hook Pattern: Sharpe Ratio
Ross Hook Pattern: UPI
Ross Hook Pattern: UPI
Ross Hook Pattern: CAGR
Ross Hook Pattern: CAGR
Ross Hook Pattern: Max. Drawdown
Ross Hook Pattern: Max. Drawdown
Ross Hook Pattern: Percent Profitable Trades
Ross Hook Pattern: Percent Profitable Trades
Ross Hook Pattern: Avg. Win / Avg. Loss Ratio
Ross Hook Pattern: Avg. Win / Avg. Loss Ratio
Ross Hook Pattern: Equity

Figure 2 | Portfolio Performance (Inputs: Table 1; Commission & Slippage: $50 Round Turn).

IV. Rating: Ross Hook Pattern | Trading Strategy

A/B/C/D

Related Entries: Ross Hook Pattern with Filter (Setup & Filter) | Ross Hook Pattern with Filter (Filter & Exit 1) | Ross Hook Pattern with Filter (Filter & Exit 2)
Related Topics: (Public) Trading Strategies

CFTC RULE 4.41: HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFIT OR LOSSES SIMILAR TO THOSE SHOWN.

RISK DISCLOSURE: U.S. GOVERNMENT REQUIRED DISCLAIMER | CFTC RULE 4.41

Codes: matlab/ross/hook/no-1/

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