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Thanks, Glen. That helps. Though I'm afraid the key
statement in your note was
>Although, an annoying system tester limitation restricts trades to be
>entered only on the bar's open, high, low or close.
It seems these folks really don't have a clue about trading. Rather like
Omega in that respect, and from the sound of things also in their
willingness
to bother upgrading their software simply because their customers need it.
I will be really glad when Mark Brown's TraderWare becomes available,
even though it means paying quite a bit of money and learning Visual
Basic to write indicators and systems.
I wasn't really working on a volatility system per se -- though I understand
both from Larry Williams's latest book and from my next-door neighbor
(who's earned his living as a trader for 20 years now) that volatility
systems are about as good as it gets -- just trying to get used to writing
systems in MetaStock again after using SuperCharts for the last five
years or so. But Larry's basic technique is just to go long or short at
100% of the previous day's range above or below the open:
Buy at OPEN + n * Ref(Range, -1), where n = 1.0, and sell on the reverse.
I'd be inclined to optimize the n for each market and for long and short
sales
independently, but that's about all there is to it. Williams puts a
stop-loss on
at $2000 or $2500 (for the S&P), and I believe he gets out at the first
profitable
open, which is his usual technique. I'd like to work on the exit method as
well.
Maybe see whether it worked better trading only in the direction of the
trend,
but I'd guess that would miss too many sharp corrections and cost you a lot
of potential profit.
Anyway, it's worth playing with, and I'll look into it once I get around to
using
intraday data. First I have to find some way to convert CSI tick data into
usable bars.
Thanks again for the help.
Owen
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