Dynamic Breakout System

["Walter Lake" <wlake@xxxxxxxxx>]

Thanks Martin and David for your replies.

The MS formulas that I listed were from MS support. I never used the exit
and entry formulas, only the indicator formulas, but I'm not surprised that
they are reversed, given the difficulties that I've had.

The following are the "System Rules for Dynamic Breakout System" as sent to
me by George Pruitt at Futures Truth. I paid $50 US but they're yours to
use. No non-disclosure agreements etc. were asked for or given. I was
surprised to see the same system show up in Futures Magazine in Trade
Station code. 


"Step #1: After today's close, calculate the 30 day standard deviation of
closes including today. Secondly, calculate the 30 day standard deviation
from yesterday's close.

	today_std = standard_deviation(close,30);
	yesterday_std = standard_deviation(close(1),30);


Step #2:  Calculate the percentage change from today's 30 day standard
deviation and yesterday's standard deviation.

	delta = (today_std - yesterday_std)/today_std;


Step #3:  Dynamically claculate the buy/sell channel lengths. Keep track of
the channel lengths, because these values will be used to calculate
tomorrow's values. The channel lengths initially start out at 20. So to
calculate the channel length for today we would:

	today_channel = yesterday_channel X (1 + delta);

If you are calculating today's length for the first time, then use the
value 20 for yesterday_channel. We don't want the today_channel to get too
small or too large, so we use the following calculations:

	today_channel = max(today_channel,20);
	today_channel = min(today_channel,60);


Step #4:  Calculate your buy/sell signals for tomorrow:

	buy_stop = highest_high(high, today_channel);
	sell_stop = lowest_low(low,today_channel);


Step #5:  If your position is flat, place both stop orders on a daily
basis. Cancel whichever order is not filled. Once a trade is initiated
place a $1,500 protective stop. Always take whichever order is the closest;
the protective stop or the reverse stop.

  
 I hope that this variable Donchain Channel system is programable.

Thanks for your help

Walter Lake