[RT] SYST - Use of simple system SHORT TERM

[Clyde Lee <clydelee@xxxxxxx>]

This thing is getting interesting enough to have some variables
and some explanation.  See below.

Using SP futures continuous data from 1983 to now I ran with
the parameters shown below and got the results shown in the
(hopefully) attached  .gif  .

Granted this simple approach ain't no barn burner but it 
certainly sets up the fact that this ratio of ATR has a place
in our design of systems.

Clyde



Input:  BuyLvl(1.6),    {Level of ATR ratios at which to buy    }
       SellLvl(0.5),   {Level of ATR ratios at which to exit   }
     WaitBars(11),   {Exit after this number of bars in trade}
    LongL(30),      {Number bars in long  ATR computation   }
    ShortL(3);      {Number bars in short ATR computation   }

Vars:  ATRratio(1),MP(0),StartBar(CurrentBar);

ATRratio=AvgTrueRange(ShortL)/AvgTrueRange(LongL);
MP      =MarketPosition;

If MP<>MP[1] THEN StartBar=CURRENTBAR;

If MP>0 then begin
 If CurrentBar-StartBar>WaitBars then ExitLong
  Else If ATRratio<SellLvl then ExitLong;
End
Else If ATRratio>BuyLvl then Buy on Close;


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Clyde Lee   Chairman/CEO       (Home of SwingMachine)
SYTECH Corporation             email:   <clydelee@xxxxxxx> 
7910 Westglen, Suite 105       Work:    (713) 783-9540
Houston,  TX  77063            Fax:     (713) 783-1092    
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Attachment Converted: "f:\eudora\attach\junk32.gif"