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{Strategy snapshot
Strategy: Oddball S&P system
Approach: Systematic, stop-and-reverse (always in the market)
Market: Index tracking stocks (SPY, QQQ) and stock index futures Indicator
setup: Create a rate-of-change indicator of the hourly closing values of the
advancing issues of the NYSE. Include only the closing data point of the
natural hour, starting at 10 a.m. and ending at 4 p.m. EST. To calculate the
indicator, use the following formula: Rate of change in advancing issues
(RAI ) = ( AI / AI[n] -1) *100, where AI = Latest number AI[n] = Number of
advancing issues n periods ago { In TS RateOfChange Function is:
inputs: Price( numericseries ), Length( numericsimple ) ;
if Price[Length] <> 0 then
RateOfChange = ( Price / Price[Length] - 1 ) * 100
else
RateOfChange = 0 ;}
Entry: A buy signal is issued every time the indicator is greater than 3. A
sell signal is issued every time the indicator is less than 1.
Exit: Stop-and-reverse. Positions are reversed with each new buy and sell
signal, as described above.
Risk control/money management: There is NO money management technique
employed other than the system
stays in the market 100 percent of the time, either long or short, with a
constant number of contracts.
Note: If a trade is signaled at 4 p.m. EST, you have 15 minutes until the
close of the market to place
the trade in the S&P futures (it is not possible to do this when trading the
SPY).
This avoids the pitfall of basing real trading on unrealistic system tests
that generate signals
on the close at the end of the session, when the trade can in practice only
be initiated the next session.
In such cases the price may have moved farther away from where the test
indicates the system was filled,
giving a false reflection of the system's performance.
Creator: Mark Brown> www.MarkBrown.com
}
{The Original OddBall System Logic Below
The OddBall System is a FREE and fully disclosed, mechanical trading model.
Please visit the Contribution
page to review the original and variations of the system complete with code
in text and native
platform file format. OddBall systems code is available in TradeStation,
MetaStock, WealthLab and eSignal format.
Also note that there are free Email Alerts to notify you via email of new
position changes in real time.
Please visit the Email Alerts page to manage this service and choose amongst
plain text or html delivery methods.
Active Trader Magazine - December 2000 issue: OddBall Position System Code}
{Set up a Chart using the e mini ESM04.D and by right clicking, add the
symbol $ADV (NYSE Advancing issues.
You cannot use a continuous contract OR a tick data chart in the emini as it
has a different time frame to the NYSE and you cannot mix different time
frames in TS unless you use the PullPull DLL).
You could so this with a Daily, Weekly or Monthly Chart also. Data1 = Either
the ES or SP cash or S&P 500 index tracking stock or the S&P 500 commodity
futures contract
or SPY from AMEX.
Data2 = Advancing issues of the Nyse.
Atlernative:
Set up a Chart using the e mini NQM04.D and by right clicking, add the
symbol $ADVQ (NASDAQ Advancing issues.
You cannot use a continuous contract OR a tick data chart in the emini as it
has a different time frame to
the NASDAQ and you cannot mix different time frames in TS unless you use the
PullPull DLL).
You could so this with a Daily, Weekly or Monthly Chart also. Data1 = Either
the NQ or ND cash or NASDAQ 100 index tracking stock or the NASDAQ 100
commodity futures contract
or QQQ from AMEX.
Data2 = Advancing issues of the Nyse.
You have to subscribe to NYSE and/or AMEX and/or NADZQ in TS to get live
data - change your subscriptions online} {Alternative information: David
Folster from http://www.traders2traders.com/linkindex/SearchResults.asp for
Ticks and Time Changes and Results of each} {Create a new Strategy and call
it Oddball - paste the formula below, and click F3. Ready to go and you can
optimize the saettings as needed}
Inputs:
RL(7),
BZ(3),
SZ(1),
{PO_L (140),
PO_S (140),
MMLStop (375),
MMSSop (375),}
MyEntryTime (0830),
MyEndTime (1415);
{Setup}
If Time > MyEntryTime and Time <= MyEndTime then begin {*}
{* this was added after article was released to be sure that a buy-sell does
not occur on the closing bar.} {based upon (GMT-06:00) Central Time (US and
Canada) -
note you may have to adjust for your time zone - you can optimize the time.
You can optimize the RL, BZ, and SZ parameters.}
{Long Entry}
If RateOfChange(Close Data2, RL)>BZ Then
Buy next bar at market {or Buy this Bar on Close};
{Short Entry}
If RateOfChange(Close Data2, RL)<SZ Then
Sellshort next bar at market {or Sell Short this Bar on Close};
End; {*}
{If you DO NOT want to be in the market all the time
and you want to take a profit and set stops you could try this:}
{Profit Objective}
{If MarketPosition = 1 then
Sell ("LPO") Next Bar at EntryPrice + (PO_L/BigPointValue)
Limit;
If MarketPosition = -1 then
Buy to Cover ("SPO") Next Bar at EntryPrice -
(PO_S/BigPointValue) Limit;}
{Stop Loss}
{If MarketPosition = 1 then
Sell ("LX") Next Bar at EntryPrice - (MMLStop/BigPointValue)
Stop;
If MarketPosition = -1 then
Buy to Cover ("SX") Next Bar at EntryPrice +
(MMSStop/BigPointValue) Stop;}
{Use this exit if you do not want to be in the market overnight}
{EndOfDayExit} {If T >= CalcTime (Sess1EndTime, - BarInterval) then begin
Sell ("EODLX") at next bar Market;
Buy to Cover ("EODSX") at next bar Market;
End;}
-----Original Message-----
From: Jessica Holmberg [mailto:b000h@xxxxxxxxxxx]
Sent: Thursday, May 13, 2004 10:51 AM
To: omega-list@xxxxxxxxxx
Subject: strategy for 2 markets
Hi people!
I need some help in coding a strategy that follows 2 markets at the same
time.
Here's the deal: I'd like to use the system Oddball, with the strategy
following the big S&P, and then sending the signals to the ES. Is that
possible or I am dreaming? I'm not much of an EasyLanguage expert.... Your
help will be very appreciated! Thank you all! Jessica
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