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Greetings all,
Attached is a reversing stock index system and indicator I have been playing
around with. I thought some might find it useful as food for thought. I hope
you'll share any thoughts, comments, enhancements, etc.
The text of the system file follows. Please note, however, that user
functions are involved and the system and indicator must be imported via the
attached ela.
Please read the following carefully before loading the system and indicator
on a chart. Especially, note that different datafeeds require different
indicator settings. Also, I have not tested this other than with TS4 and
FutureSource; it is possible you may need to make some modifications for
your system.
Best wishes,
Chris Cheatham
......................................
{ Solidus UpDnVol System
Reversing, always-in-the-market trading system for stock index futures.
courtesy of Chris Cheatham
chrischeatham@xxxxxxxxxxxxxxxxxx
This is offered free as a topic of discussion only. You should not trade
this or
any other system without thorough testing over a variety of market
conditions.
THERE IS RISK OF LOSS IN FUTURES TRADING!!!
Comments and suggestions welcome.
_________________________________________________________________
Buy Signal: A buy stop reversal entry is triggered at a 20 bar exponential
moving
average for a bar when the intraday upvol-dnvol line closes a bar over the
volatility band.
Sell Signal: A sell stop reversal entry is triggered at a 20 bar exponential
moving
average for a bar when the intraday upvol-dnvol line closes a bar below the
volatility band.
_________________________________________________________________
Data1 - 15 minute S&P 500 futures day session only
Data2 - 15 minute NYSE volume on advancing issues
Data3 - 15 minute NYSE volume on declining issues
Notes on Inputs:
UPvol and DNvol must be data2 and data3, respectively. If your data vendor
uses the volume field for up volume and down volume(like signal), then use
"v of data2" and "v of data3". If your data vendor uses the close field for
up
volume and down volume(like futuresource), then use "c of data2" and "c of
data3".
VAvLen = average used in the up down volume band calculation. Default = 5;
VATRLen = number of bars used for up down volume band volatility.
Default = 10.
VATRmult = multiple of volatility for up down volume band. Default = 2.25.
AveLen = length of price average used for entry stop. Default = 20;
NYclose = the time the NYSE closes per your charts. If your Tradestation
uses eastern
time, this should be 1600.
_________________________________________________________________
Recent 12 months results -- $100 commission/slippage using FutureSource
data.
Your test results will differ.
Solidus UpDnVol RSPM2-15 min 06/06/2001 - 06/10/2002
Total net profit $115400.00
Total # of trades 167 Percent profitable 44%
Ratio avg win/avg loss 2.15 Avg trade(win & loss) $ 691.02
Max intraday drawdown $-19225.00
Profit factor 1.6728 Max # contracts held
1
Account size required $19225.00 Return on account 600%
_________________________________________________________________}
Inputs: UPvol(c of data2), DNvol(c of data3), VAvLen(5), VATRLen(10) ,
VATRmult(2.25), AveLen(20) , NYclose(1600) ;
var: UDVline(0) , UDVave(0), Trange(0), UDVatr(0), UPband(0) , DNband(0),
Paverage(0) ;
{ intraday upvol-dnvol line based on data in "close" field
(such as futuresource) or in "volume" field (such as signal)
THIS CODE HAS NOT BEEN TESTED OTHER THAN WITH FUTURESOURCE!!! }
if UPvol = c of data2 then begin
UDVline = IntradayAD(UPvol,DNvol) ;
End else
UDVline = IntradayUD(UPvol,DNvol) ;
{ volatility bands around upvol-dnvol line }
UDVave= average(UDVline,VAvLen) ;
Trange = TrueRange2(UDVline, UDVline,UDVline) ;
UDVatr =average(Trange, VATRLen) ;
UPband = UDVave + UDVatr * VATRmult ;
DNband = UDVave - UDVatr * VATRmult ;
Paverage = xaverage(c,AveLen) ; {entry stop level}
If t <= NYclose then begin
if UDVline > UPband then buy at Paverage stop;
if UDVline < DNband then sell at Paverage stop;
end;
Attachment:
Description: "UPDNVOL.ELA"
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