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Been toiling with an idea of selling short:
Sell Short:
C>=2
AND
C>O
AND
C>=HHV(H,520)-HHV(H,520)*(opt2)
AND
C>Ref(H,-1)
AND
Mov(V,30,S)>1000
AND
V>mov(V,30,s)*2
Opt 2 appears to be running around .95. (Opt 1 is no longer in use,
I've been monkeying with the formula and haven't cleaned it up).
Buy to Cover is:
Cross((Mov(C,50,E)),(Mov(C,12,E)))
I've backtested with 20% stop.
Right now it is testing around $175/avg per trade, about 4 trades
per year per security, 2.4/1.7 P/L, with a .58 Avg. I use a $10k
pool and never trade more than 20% of it.
Any suggestions on how to improve are appreciated. Specifically the
exit?
Thanks.
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