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Here it is
bye
Mario
Jake Bernstein Daytrade System
Origin: omega-list
Written by: Randy Tareilo
Date found: 22 oct 97
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{Indicator JB 30 NL BO - the Jake Bernstein 30 minute new high / new
low INTRADAY breakout system as described by Jake Bernstein at the
October 21, 1997 Association for Technical Analysis meeting in Dallas,
Texas. Programmed by Randy Tareilo, past AfTA President and current
member.
This indicator is a "method" of reviewing where the trade will take
place, and the amount of possible drawdown the system would have.
Jake expressed that only 3 out of a 1,000 people
would ever trade this system because of three things:
a) Our tendency to want to take profits (even small ones) and run,
b) The system requires the ability to risk a lot of capital to make
big profits,
c) The system does not use a stop loss - hence the only way to exit
the trade is to reverse positions or to exit at the end of the day.
This is a day trading indicator which when matched up with the JB 30
NLBO system would suggest that large profits and a large percentage
correct trades can be accomplished by a mechnical trading system.
This system will not trade the first iTime minutes of the day
and should not make any new entries into positions during the last
hour of trading. This last hour is accomplished by the variable e1time
which is twice the amount of the input
variable of iTime (which can be modified for testing purposes).
Jake mentioned that this works best for the 30 minute time frame based
upon computer backtesting. This system works best on futures --- the S&P,
Bonds,
Currencies but does not work very well on anything else. The system should
only have an
average of one trade per day, but could have up to 3 or 4 in a very moving
index or
currency. You can contact Jake at http:\\www.trade-futures.com\ for
additional
information or training.
This indicator is built to be placed upon any 1 to 60 minute scale
chart to correctly plot the indicator. While this could be used on a tick
chart, it was
not built with that in mind.
}
inputs: iTime(30);
var: cH(close), cL(close), s1time(0), vtime(0), e1time(0),
ploth(false),
plotl(false), pH(close), pL(close);
if s1time = 0 then begin
{test for zero time, calculate
start / end times}
s1time =
MinutesToTime(TimeToMinutes(Sess1StartTime)+iTime); {build
start time}
vtime = MinutesToTime(TimeToMinutes(Sess1StartTime) +
(2*iTime));
{build 1st test for entry position}
e1time = MinutesToTime(TimeToMinutes(Sess1EndTime) -
(2*iTime)); {build
last time for no more entries}
end;
if date > date[1] then begin
{new day for tick data, reset
variables}
cH = high;
{reset current high of day}
cL = low;
{reset current low of day}
ploth = false;
{reset high entry plot}
plotl = false;
{reset low entry plot}
vtime = MinutesToTime(TimeToMinutes(Sess1StartTime) +
(2*iTime));
{reset 1st test for entry position}
end
else
if time <= s1time then begin
{test for new high/low of iTime
bar}
if cH < high then
{test for 1st iTime new high}
cH = high;
{get new high}
if cL > low then
{test for 1st iTime new low}
cL = low;
{get new low}
end;
if time >= vtime and
{time > entry test time}
time < e1time then begin
{time < end of testing period}
vtime = MinutesToTime(TimeToMinutes(vtime) + iTime);
{recalculate
for next iTime test}
if close > cH and
{rule for entry - close > 1st bar high}
ploth = false then begin
{no new high entry yet?}
pH = close + .25;
{plot high entry position}
ploth = true;
{turn on high plot command}
end;
if close < cL and
{rule for entry - close < 1st bar low}
plotl = false then begin
{no new low entry yet?}
pL = close - .25;
{plot low entry positon}
plotl = true;
{turn on low plot command}
end;
end;
if time >= s1time then begin
{time after 1st iTime bar
entry?}
plot1(cH,"cH");
{plot 1st iTime bar high}
plot2(cL,"cL");
{plot 1st iTime bar low}
if ploth then
{high entry plot on?}
plot3(pH,"pH");
{plot high entry value}
if plotl then
{low entry plot on?}
plot4(pL,"pL");
{plot low entry value}
end;
{System JB 30 NL BO - the Jake Bernstein 30 minute new high / new low
INTRADAY breakout system
as described by Jake Bernstein at the October 21, 1997 Association for
Technical Analysis meeting in Dallas, Texas. Programmed by Randy Tareilo,
past AfTA
President and current member.
This system is a simple new high / new low of the first iTime bar
breakout system as described by Jake Bernstein. Jake expressed that only 3
out of a 1,000 people
would ever trade this system because of three minor problems with this
system:
a) Our tendency to want to take profits (even small ones) and run,
b) The system requires the ability to risk a lot of capital to make
big profits,
c) The system does not use a stop loss - hence the only way to exit
the trade is to reverse positions or to exit at the end of the day.
Rules for the system:
a) Calculate for the first 30 minutes (or in our case, iTime
minutes)
the new high and new low for the day. No trades are taken the first iTime
minutes.
b) At the end of the second (and additional iTime frame bars), check
to see if the close of that time period closed above the 1st 30 minute bar
high plus 2
ticks or below the 1st 30 minute low minus 2 ticks. If not, even if the
high of that bar
was above the 1st 30 minute bar's high plus 2 ticks / low of the bar was
below the 1st 30
minute bar minus 2 ticks -- NO TRADE. This system works only on where the
positon of
the close is in relationship to the 1st 30 minute bar's high / low plus /
minus 2
ticks.
c) If the close is above the 1st 30 minute high plus two ticks,
place
a order to buy at the close.
If the close is below the 1st 30 minute low minus two ticks, place a
order to sell at the close.
d) No new trades in the last hour of trading.
e) Exit the position at the end of the day.
f) Exit the position when a new indication is given to reverse
positions. That is, if you are long one position, on a new short position,
exit and go short. Same
for reversing from short to a long position.
h) This system does not use any other exit routines - no trailing
losses, no maximum losses, no money management losses, etc.
(Note: This system was coded for intraday stock trading an instead
of
the 2 ticks, Randy used 1/4 of a point as a substitue. You should change
this if you want
to use it in the futures markets. Likewise, the system was coded to
buy/sell 1000
shares of stock via the parameter sShares. Change this default to the
number of contract
you are interested in trading in the futures markets. This system as built
will not trade
the first day of test intraday data but uses it to set up correctly. It
uses the firstord
varable to by pass this first trading day. The number of bars used can be
set very low because there
is no requirement for a large number of lookback bars.)
This is a day trading indicator which when matched up with the JB 30
NLBO indicator would suggest that large profits and a large percentage
correct trades can
be accomplished by a mechnical trading system. This system will not trade
the first
iTime minutes of the day and should not make any new entries into positions
during the last
hour of trading. This last hour is accomplished by the variable e1time
which is twice the
amount of the input variable of iTime (which can be modified for testing
purposes).
Jake mentioned that this works best for the 30 minute time frame based
upon computer backtesting. This system works best on futures --- the S&P,
Bonds,
Currencies but does not work very well on anything else. The system should
only have an
average of one trade per day, but could have up to 3 or 4 in a very moving
index or
currency. You can contact Jake at http:\\www.trade-futures.com\ for
additional
information or training.
This system is built to be placed upon any 1 to 60 minute scale chart
to correctly plot test the system. While this could be used on a tick
chart, it
was not built with that in mind.
}
inputs: iTime(30);
var: cH(close), cL(close), s1time(0), vtime(0), e1time(0),
sShares(1000), Firstord(false);
if s1time = 0 then begin
s1time =
MinutesToTime(TimeToMinutes(Sess1StartTime)+iTime);
vtime = MinutesToTime(TimeToMinutes(Sess1StartTime) +
(2*iTime));
e1time = MinutesToTime(TimeToMinutes(Sess1EndTime) -
(2*iTime));
end;
if date > date[1] then begin
Firstord = true;
cH = high;
cL = low;
vtime = MinutesToTime(TimeToMinutes(Sess1StartTime) +
(2*iTime));
end
else
if time <= s1time then begin
if ch < high then
ch = high;
if cl > low then
cl = low;
end;
if time >= vtime and
firstord and
time < e1time then begin
vtime = MinutesToTime(TimeToMinutes(vtime) + iTime);
if close >= cH + .25 and
close > close[1] then begin
{enhancement - test to see if trend is
up}
buy ("JBBO Buy") sShares Shares at Market;
end;
if close <= cL - .25 and
close < close[1] then begin
{enhancement - test to see if trend is
down}
sell ("JBBO Sell") sShares Shares at Market;
end;
end;
if MarketPosition <> 0
and
time >= 1555
then begin
ExitLong ("Exit 1") at Market;
ExitShort ("Exit 2") at Market;
end;
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----- Original Message -----
From: "Markus Zeiss" <Webmaster@xxxxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Monday, July 22, 2002 10:09 AM
Subject: Re: omega-digest Digest V102 #260
> Hi there,
>
> Iīm searching for the ElA-strategy - Code from Jake Bernteinīs 30 Minuntes
> Breakout Method.
> Maybe somebody have it...
>
> Thankīs
>
> Markus
>
>
>
>
>
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