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Was leafing through the latest 'Active Trader' mag at a newsstand and
came across the %K trading system which seems pretty robust. The
theory behind the system is simple. The StochK indicator is a very
popular indicator used by many traders. The traders wait till it is
oversold (under 5) and then jump in to buy. Different traders have
different timeframes. So, the technique 'piggybacks' on this
inclination. It takes the StochK for various periods and
Buys = when all the StochK's are under 5
Sells = the next day at the open
Active Trader tests the system on its 'standard' stock portfolio
which is 18 large cap stocks like Apple, Caterpillar etc over a 10 yr
(I think) period. The system is in the market about 10% of the time
and has a very steady equity curve growth. Annual % profit is 11.5%
with no margin. If cash is invested in the money mkt at other times,
then total annual profit is greater buy and hold. Drawdown is (if I
remember correctly) only 6%. Only 25% was risked at any one time (I
think) and Active Trader took about $8 or $9 as commission.
Overall - they say that it is very robust system.....
Here's the code
***************************
/* %K Trading System as written in Active Trader
** Sept 2005
** Coded by Dickie Paria for AB Group Discussion,
*/
Cond1 = StochK (10);
Cond2 = StochK (15);
Cond3 = StochK (20);
Cond4 = StochK (25);
Cond5 = StochK (30);
Plot( Cond1 , "StochK10", colorRed, styleThick );
Plot( Cond2 , "StochK15", colorGreen, styleThick );
Plot( Cond3 , "StochK20", colorBlack, styleThick );
Plot( Cond4 , "StochK25", colorYellow, styleThick );
Plot( Cond5 , "StochK30", colorBrightGreen, styleThick );
Plot (5,"",colorBlue,styleNoLabel);
Buy = (Cond1 AND Cond2 AND Cond3 AND Cond4 AND Cond5) < 5;
Sell = 0;
SellPrice = Open;
ApplyStop(3,1,1);
Capital = 100000; /* IMPORTANT: Set it also in the Settings: Initial
Equity */
PositionSize = -25;
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