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Clyde,
This system has had a couple of good days since you posted it.
But, everyone should be aware that the "SetExitOnClose" directive does
not close the position at the end of the day.
Instead, it sets up an order to be executed at the beginning of the next
bar, 9:30 AM on the next trading day.
This leaves the position exposed to all overnight risk. TradeStation is
aware of this behavior, but hasn't fixed it yet.
Caveat Trader.
Andy Demartini
----- Original Message -----
From: "Clyde Lee" <clydelee@xxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, August 07, 2002 9:02 AM
Subject: Another Dumb System based on UD Volume
> For a look at some pictures and results go to:
>
> http://www.theswingmachine.com/QQQ_ND_UD_Volume.htm
>
> The following is a very simple system based on the up and down
> volume of the NASDAQ. Same inputs as Oddball but using the
> QQQ (5 minute) instead of a futures contract.
>
> This code is for TS6 but is easily modified for any other version of TS.
>
> System is:
>
> {System: Buy-Sell_D2D3_Diff
>
> Author: Clyde Lee, Copyrighted 2002
>
> Purpose: A very simple day trading system for the QQQ based on the up
> and down volume for the NASDAQ market.
>
> Buy or Sell when the difference in the Up volume and the
> Down
> volume reach a certain specified level.
>
> Exit at end of day.
>
> Results: 60 DAYS PRIOR TO AND INCLUDING 8/6/02
> Trading 100 shares.
> Net Profit $465.00 Max Drawdown: $189.00
> Total Trades: 39 Winning Trades: 32
>
> Remember not stops, just exit on close.
> }
>
>
>
> Input: DiffLevel(600000),
> BegTime(1300);
>
> SetExitOnClose;
>
> Value1=C of Data2 - C of Data3;
>
> If BegTime<Time then begin
> If Value1>+DiffLevel and MarketPosition=0 then Buy this Bar on
> Close;
> If Value1<-DiffLevel and MarketPosition=0 then Sell Short this Bar on
> Close;
> End;
>
>
> The pictures to support this are too big. Just go to the URL at the first
> of this post to see what exists.
>
> Clyde
>
>
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> - - - - -
> Clyde Lee Chairman/CEO (Home of SwingMachine)
> SYTECH Corporation email: clydelee@xxxxxxxxxxxx
> 7910 Westglen, Suite 105 Office: (713) 783-9540
> Houston, TX 77063 Fax: (713) 783-1092
> Details at: www.theswingmachine.com
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