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The current volatility of the SP500 measured in hourly basis
demonstrate a higher volatility occurs during the first two and last
two hours of the day and GEORGES CORNER developed the following
system to take advantage of the various volatility levels during the
days:
* only initiate the trade between 2:30 and 3:30 eastern.
*at 2:30 place a buy stop at the high of the day plus one tick and
place a sell stop at the low of the day minus one tick.
*if one gets filled,then cancel the other.
*get the highest high and the lowest low of the last six 5 minutes
bars every five minutes.
*once an entry has been triggered use the highes high/lowest low of
the last six 5 minutes bars as your trailing stop.This stop will work
as your protection and profit objective.
Overall the system performed admirably.He kept the draw down to less
than $20,000.
TEST 7.50 years or 1887 trading days.
aver. net/year 14250$
Here is the TradeStation 7.1 Easy Language Code for the system:
programmed by Georges Pruitt
vars:hh(0),II(999999);
if(date <> date [1]) then
begin
hh = 0;II = 999999;
end;
if(high > hh) then hh= high;
if(low< II)then II = low;
if(time >= 1430 and time < 1530)then
begin
if(entriestoday(date) = 0) then buy next bar at hh +
minmove/priceScale stop;
if (entriestoday(date) = 0) then sellshort next bar at 11-
minmove/priceScale stop;
end;
buytocover next bar at highest(high,6) +minmove/priceScale stop;
sell next bar at lowest(low,6)+ minmove/priceScale stop;
setexitonclose;
Roy can you program this code in Metastock and so eveybody can take
advantage of this system?
Thank you for the answer .
*--- In equismetastock@xxxxxxxxxxxxxxx, "Roy Larsen" <rlarsen@xxxx>
wrote:
> Gin
>
> > I'm looking for a "valuewhen" type of command to find values of
> > previous occurences of a event and make a new data array with it
> > using another value from that particular day. eg..
> > todays close $5, now make a data array of all previous days that
> > closed at $5 and make a data array with the High of the day for
each
> > of those occurences. Is this possible or do I need some type of
loop?
>
> I think you'll need to give much more information before anyone can
help
> very much. You haven't given much to go on.
>
> Roy
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