short the SP??

["Phil Lane" <patterntrader@xxxxxxxxxx>]

we just had 2 days in a row where the Nasdaq made a new high on contracting
volume. Here's a system to test it out. Use SP continuous contract for
data1, nasdaq composite for data2.

Note that the position size is normalized for volatility (i.e back in the
80's the point swings were 1/10 of what they are now, so you'd have traded
10X the contracts for the same account size). Any long-term simulation that
does not take this into account is critically FLAWED as far as determining
the realistic drawdowns - but who cares about that.

inputs:
termcnt(2),
smidge(0.999),
exitbars(10);

{calculate position size}
value3= 12500/(Xaverage(TrueRange,50)*Bigpointvalue);

{keep track of highest high}
if (c>value2) data2 then value2=c data2;

{count consecutive new highs on contracting volume}
if (c=value2 and v<v[1]) data2 then value1=value1+1 else value1=0;

if value1>=termcnt then begin
sell value3 contracts smidge*low stop;
end;

{dumb exit}
if barssinceentry=exitbars then exitshort;