I just published a report on using the strategies contained in the trading book ‘High Probability ETF Trading’ by Larry Connors and Cesar Alvarez. My report examines the most recent 2 years of trading results (2009-2010) for all the strategies and compares trading ‘Next day at open’ to ‘Same day at close’ after a signal has been generated. This is the time period immediately after the publication of the book and so provides a great ‘out-of-sample’ set of test data.
The report breaks down every strategy and shows number of trades, % win, Average %Gain and average hold period. It includes both the Basic and Aggressive versions of each strategy including the TPS strategy with up to 4 scale-in points.
You can find the complete report here: