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There is quite a long thread on elitetrader about this strategy.
One fellow has been posting his results day to day using this and
has been doing quite well. They have pulled together some different
tools and/but their code is in Wealth-Lab.
As I see it there are 3 different levels of code that need to be
created for this;
1. You identify a starting list based on EPS ranking and RSI
scores. I'm not too worried about automating this yet because there
is an easy source for this list, including (for now) the thread.
2. Once you've got the list you need to test whether the stock moved
20% or more at least 5 times in the last 6 months - and figure out
what volume levels were like during that time. I won't get into
all the gory details here but they call this the "Dry Up" volume
(DU). I think I have enough experience at this point to put that
code together and this would be something that could be run w/ EOD
data. If needed the code could probably generate the DU values for
manual entry into step 3 (not my first preference as I'll describe).
3. Based on all this they end up w/ a short list of stocks. The
final step is what has me puzzled. They then scan those stocks and
are looking for a stock that hits the DU volume by 11am on a given
day, using 30 minute scans. If the bells go off they then look at
other indicators (MACD, etc.) for the right entry point This is
where I'm not sure the best way to handle this if I want to try to
automate this step.
Option 1: I think I could set the database to be small time units
(1 or 5 minutes) and then use the time functions to condense to
daily to calculate the DU value and then have that to compare as the
volume increases during the day.
Option 2: Run the scan in #2 and get the DU volumes. Maybe have
the evening scan write them to a text file w/ ticker, DU as the
fields in the text file. Then call that value from the text file
as the intraday scan is running. (I havn't tried or done this in
AmiBroker yet so I don't know if this is possible?)
Do either options make sense to more veteran coders/users? I'm
still fairly new at this and still trying to feel my way around.
Also, if anyone has any positive or negative experiences w/ this
system I'd love to get your feedback.
Thanks
Mike
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