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Here is a variation on Mark's system in the "Trading The Momentum of Market
Breadth" article in Active Trader December 2000 issue. Mark's stop n
reverse Buy/Sell code can be found at http://www.activetradermag.com at the
bottom of the Code list. Since breadth systems intrigue me I tried a few
things this weekend. Mark chose 60 minutes data for the article. Up and
down issues make most of their move in the first 30 minutes and I believe 30
minutes is a dominate cycle or half cycle in intraday trading. 60 minutes
does work well, but it appears that 30 may be a little juicier. Next,
rather than just using the ROC of advancing issues for generating signals I
took a spread of ROC of advances minus ROC of declines because of the tug of
war effect they have together. Then did the nasty thing of optimizing for
lengths and filter thresholds for buy and sell levels. The key must be in
using the ROC as Mark did in his article. Here are the Buy and Sell signals
for the NYA system in the attached .gif. Data1 has NYA. Data2 has ADV,
Data3 has DECL. NYA was chosen for the test because some snp and oex
systems I've seen get their timing from the NYA. If 60 minutes is used then
the lengths will be shorter and the buy/sell Z will be different also.
{ROC Spread Bear(signal)}
Inputs: Price1(c of data2), Price2(c of data3), ROClength(22), SZ(11);
If Currentbar>1 AND RateOfChange(Price1, ROClength) - RateOfChange(Price2,
ROCLength) crosses under SZ Then Sell ("ROC") This Bar on Close;
{ROC Spread Bull(signal)}
Inputs: Price1(c of data2), Price2(c of data3), ROCLength(18), BZ(0);
If Currentbar>1 AND RateOfChange(Price1, ROCLength) -
RateOfChange(Price2,ROCLength) crosses over BZ Then Buy("ROC") This Bar on
Close;
Improvements encouraged,
BobR
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Attachment:
Description: "ROCsys.gif"
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