%R Larry Williams Performance Test

Larry Williams the most famous trader in the world has created a flood of indicators and strategies. In this article we will test the famous% R of him to see if it still works.

WHAT IS %R?

The Williams oscillator is very similar to the Stochastic, while the latter uses the difference between the close and the low of the lows, the % R refers to the difference between the close and the high of the highs.

The % R fluctuates between 0 and 100, the author’s default settings refer to 14 periods, an overbought threshold of 20 and an oversold threshold of 80.

Of course, the periods and thresholds are not the same for all underlyings and therefore we will backtest the most performing and stable ones, completely ignoring the original values.

CONFIGURATION

As you can see in the wonderful image above we will test the % R as a divergence signal or when the price retraces and the oscillator increases we will have a bullish divergence, the opposite for the bearish divergence.

CODE

To interpret the price divergence I used a simple moving average to understand when the price is bullish or bearish, so when the price is greater than a moving average we will have a bullish trend and when the price is lower than its moving average we will have a bearish trend.

For the even simpler oscillator, if it is above a certain threshold or below a certain threshold then I buy or sell. This is the code:

How do I close the operation?

To test this indicator I decided to use a simple exit after a number of bars. This is the simplest way to test an indicator on a different basket of markets.

For the complete code you can download it for free from my Telegram channel

→ https://t.me/AlgorTrader

TESTING

Now we just have to test this indicator on diversified baskets of different markets and timeframes.

To do this I have chosen the following markets:

The results you will see below are already optimized by choosing the best parameters for profit / stability of the system.

S&P 500

Euro

Soybean

Crude Oil

Gold

CONCLUSIONS

As you can see, the results weren’t bad at all. We understand that Larry’s indicator still works and performs much better on lower Timeframes.

In future articles, new strategies will come out that I have created based on this indicator.

I remind you that these were only preliminary tests and not complete strategies, but these tests give us good indications on where and how to work.

To be able to download this simple strategy to test the indicator just join my Telegram group.

Follow me on 👉 LinkedIn

See the list of all my articles comfortably from 👉 here