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I'm running the VFI trading system which is in the S&C Tips section
(July 2004). My settings are set to weekly for Test 1 of VFI trading
system (there are 4 tests with the 1st test being a weekly test).
I'm only backtesting 'long' trades on weekly data. I tested
against 'GLW' since 1994 just like the TASC article. The report
shows 4-5 long trades - again just like the article BUT on the
screen, I see numerous buy/sell - green/red arrows. What gives?
Here's the system
_SECTION_BEGIN("VFI");
Period = Param("VFI Period", 26, 26, 1300, 1 );
Coef = 0.2;
VCoef = Param("Max. vol. cutoff", 2.5, 2.5, 50, 1 );
inter = log( Avg ) - log( Ref( Avg, -1 ) );
Vinter = StDev(inter, 30 );
Cutoff = Coef * Vinter * Close;
Vave = Ref( MA( V, Period ), -1 );
Vmax = Vave * Vcoef;
Vc = Min( V, VMax );
MF = Avg - Ref( Avg, -1 );
VCP = IIf( MF > Cutoff, VC, IIf ( MF < -Cutoff, -VC, 0 ) );
VFI = Sum( VCP , Period )/Vave;
VFI = EMA( VFI, 3 );
Plot( VFI, "VFI", colorBlack, styleThick );
Plot( EMA( VFI, 7 ), "EMA7 of VFI", colorBrown );
Plot( 0, "", colorSeaGreen, styleNoLabel );
Plot( V, "Volume", IIf( VCP > 0, colorGreen, IIf( VCP < 0, colorRed,
colorBlue ) ),
styleHistogram | styleOwnScale | styleNoLabel );
_SECTION_END();
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