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Greetings all,Attached is a reversing stock index system and
indicator I have been playingaround with. I thought some might find it
useful as food for thought. I hopeyou'll share any thoughts, comments,
enhancements, etc.The text of the system file follows. Please note,
however, that userfunctions are involved and the system and indicator must
be imported via theattached ela.Please read the following carefully
before loading the system and indicatoron a chart. Especially, note that
different datafeeds require differentindicator settings. Also, I have not
tested this other than with TS4 andFutureSource; it is possible you may need
to make some modifications foryour system.Best wishes,Chris
Cheatham......................................{ Solidus UpDnVol
SystemReversing, always-in-the-market trading system for stock index
futures.courtesy of Chris Cheatham<A
href="mailto:chrischeatham@xxxxxxxxxxxxxxxxxx";>chrischeatham@xxxxxxxxxxxxxxxxxxThis
is offered free as a topic of discussion only. You should not tradethis
orany other system without thorough testing over a variety of
marketconditions.THERE IS RISK OF LOSS IN FUTURES
TRADING!!!Comments and suggestions
welcome._________________________________________________________________Buy
Signal: A buy stop reversal entry is triggered at a 20 bar
exponentialmovingaverage for a bar when the intraday upvol-dnvol line
closes a bar over thevolatility band.Sell Signal: A sell stop
reversal entry is triggered at a 20 bar exponentialmovingaverage for a
bar when the intraday upvol-dnvol line closes a bar below thevolatility
band._________________________________________________________________Data1
- 15 minute S&P 500 futures day session onlyData2 - 15
minute NYSE volume on advancing issuesData3 - 15 minute NYSE volume on
declining issuesNotes on Inputs:UPvol and DNvol must be data2 and
data3, respectively. If your data vendor uses the volume field
for up volume and down volume(like signal), then use "v of data2" and
"v of data3". If your data vendor uses the close field forup volume
and down volume(like futuresource), then use "c of data2" and "c
of data3".VAvLen = average used in the up down volume band
calculation. Default = 5;VATRLen = number of bars used for up down volume
band volatility. Default = 10.VATRmult = multiple of volatility for
up down volume band. Default = 2.25.AveLen = length of price average used
for entry stop. Default = 20;NYclose = the time the NYSE closes per your
charts. If your Tradestationuses eastern time, this should be
1600._________________________________________________________________Recent
12 months results -- $100 commission/slippage using
FutureSourcedata.Your test results will differ.Solidus
UpDnVol RSPM2-15 min 06/06/2001 - 06/10/2002Total net
profit $115400.00Total # of trades
167
Percent profitable 44%Ratio avg win/avg
loss 2.15 Avg
trade(win & loss) $ 691.02Max intraday
drawdown
$-19225.00Profit
factor
1.6728
Max # contracts held1Account size required
$19225.00 Return on
account
600%_________________________________________________________________}Inputs:
UPvol(c of data2), DNvol(c of data3), VAvLen(5), VATRLen(10)
,VATRmult(2.25), AveLen(20) , NYclose(1600) ;var: UDVline(0) ,
UDVave(0), Trange(0), UDVatr(0), UPband(0) , DNband(0),Paverage(0)
;{ intraday upvol-dnvol line based on data in "close" field(such as
futuresource) or in "volume" field (such as signal) THIS CODE HAS NOT
BEEN TESTED OTHER THAN WITH FUTURESOURCE!!! }if UPvol = c of data2 then
beginUDVline = IntradayAD(UPvol,DNvol) ;End elseUDVline
= IntradayUD(UPvol,DNvol) ;{ volatility bands around upvol-dnvol
line }UDVave= average(UDVline,VAvLen) ;Trange = TrueRange2(UDVline,
UDVline,UDVline) ;UDVatr =average(Trange, VATRLen) ;UPband =
UDVave + UDVatr * VATRmult ;DNband = UDVave - UDVatr * VATRmult
;Paverage = xaverage(c,AveLen) ; {entry stop level}If t
<= NYclose then begin if UDVline > UPband then
buy at Paverage stop; if UDVline < DNband then sell at
Paverage stop;end;
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Attachment:
Description: "Solidus UpDnVol.gif"
Attachment:
Description: "UPDNVOL.ELA"
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