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In the Tradestation "Quick Editor":
S&P in Data1, VIX in Data2
long entry:
if c < c[4] and c of data2 < c[1] of data2 then
buy on close;
long exit:
if c > c[4] and c of data2 > c[1] of data2 then
exitlong on close;
The system above gives a high percentage of wins, but tends to hold
losers longer than winners, and average loser about equals the winner.
Also tends to miss some of long multiday up trend moves we've
seen the last couple of years (it's buying dips, not breakouts
to the upside).
Alternative exit strategies can increase the ratio of average win
to loss and lower drawdown a bit, but give up on the win percentage.
--
| Gary Funck, Intrepid Technology, gary@xxxxxxxxxxxx, (650) 964-8135
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