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For those who were interested,
Attached are two systems, one is MSX, and one is a system I created over two
years ago that I call the SwingIndexBand system. Iv'e posted different
versions of both of these in the past.
Based on my testing (using CSI UA data) over very large numbers of stocks
(ie. entire indexes such as the Nasdaq100), SwingIndexBand performs better
than Indigo's MSX (overall) in almost all catagories of performance. IMO,
the reason is that the foundation of the MSX method is based on the simple
relationship between two closing prices. Todays Index close & Yesterdays
Index close.
SwingIndexBand uses Welles Wilders Swing Index, which examines todays Op,
Hi, Lo, & Cl in addition to yesterday's Op & Cl to produce a single number
on each bar of the chart that represents the extent of that day's movement,
positive or negative. When plotted as an indicator in histogram form, the
SwingIndex appears very choppy as it oscillates above and below the zero
line. This signal takes the average of the absolute value of the SwingIndex
and then adds (& subtracts) that figure to (& from) the zero line to produce
"trigger bands" around the SwingIndex. If today's SwingIndex value is above
the trigger band value then a long trade is generated at today's close. Vice
versa for sells.
There is one additional aspect of SwingIndexBand that might be considered
advantageous. If trading 'Market on Close' is the game plan, the fact that
the O, H, L, & C of the index on the trading day are included in the signal
makes the signal less succeptible to last minute fluctuations in the closing
price of the index.
For example, with MSX, you know the night before that if tomorrows index
closes above "X" you'll be a buyer of the stock being traded at MOC. This is
neat information to have "the night before", but there is a scenario that
can complicate things. If the index price is above (but close) to the
trigger level in the last 10-15 minutes of trading, it's possible for a
trader to issue a MOC order for the stock near the end of the day only to
have the index drop slightly down below the trigger level in the last minute
of trading, negating the signal.
When trading Indigo's MSX, it's crucial to trade MOC, because, based on my
testing over very large numbers of stocks, MSX completely breaks down if
traded MOO (this indicates to me it's not that great to begin with). When
subjected to the same testing, SwingIndexBand typically maintains
some profitability (however slight), when traded MOO.
The whole MSX thing is not something that I am trading or devoting any
research time to these days. I responded to the original "Indigo FYI" post,
and submit this code simply to demonstrate that if you're interested in
trading this way (the "MSX type" way), you're better off staying away from
Indigo and "rolling your own" in TradeStation.
-Lance
Attachment:
Description: "MSX.ELA"
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