Example Trading System

Neat little system.

I've took the idea, added a couple of simple filters and am now trading it on IWM with these results:

DS

fyi-today's entry price is 123.95

 

wow! may i ask what the rules of this system is? you can PM me if you don't want to tell everyone.
-thomas

 

Hope you understand Easylanguage:

Code:

Input: EndBOTime(10), StartTradBars(1), XDayofWk(1), admin(0.00), hys(0.00), TrinLimit(0.00);
var:	hi(0), lo(0), btime(0), trin(0), stime(0);

DefineDLLFunc: "PUSHPOP.DLL", DOUBLE, "POP", LONG, LONG, LONG;

value1=pop(99,date,time);

if dayofweek(date) <> xdayofwk then begin
trin = c data2; 	
if currentbar = 1 then begin
	btime = calctime(0830, endbotime*barinterval);

	stime = calctime(btime, starttradbars*barinterval);
end;

if date>date[1] then begin
	hi=h;lo=l;
end;
if time <=btime then begin
	hi = maxlist(hi,high);
	lo = minlist(lo,low);
end;

if time>=stime and marketposition=0 and time>=btime and time <=1430 then begin
	if trin<1-trinlimit and value1>admin then buy (20000/c) shares next bar at hi + hys stop;
	if trin>1 + trinlimit and value1<-admin then sell short (20000/c) shares next bar at lo - hys stop;
end;

if marketposition<>0 then begin
	sell next bar at lo - hys stop;
	buy to cover next bar at hi + hys  stop;
end;

if time = 1500 then begin
	sell this bar at the close;
	buy to cover this bar at the close;
end;

end;

Data1 is IWM
Data2 is $TRINQ

the dll reads adv/(adv+decl) which I use in a number of other studies.

Substitute:

data3 = $adv
data4=$decl
adv = c data3
dec = c data4

then ,
value1 = iff(adv+dec>0 ,adv/(adv+dec), 0);

DS

 

Yesterday, using IWM on this system:

entry-123.95
exit-124.48
pl= + 0.53

DS

 

thanks for sharing!! how much do you use the trin and the adv/dec issues? i have never thought about that before in my testing...

-thomas

 

for longs I like trin<1 and adv>dec , reverse for shorts.

DS

 

Thank you RC. Good analysis; good observations.

m

 

Ask, "Are you developing systems based on the market or you?"

 

While I enjoyed reading the article, I would caution anyone contemplating using this system that it almost certainly will lose substantial amounts over a meaningful test period. Volatility breakout systems are proven winners in commodities, when traded over a portfolio of products. Unfortunately, they have almost always done poorly in the stock indices, excluding the bubble market years. They are particularly poor as day trading systems.

There are very few day trading systems that have ever tested out positively over time, and I am pretty sure none of them is a vol breakout system.

If you want to trade a vol b/o system, stick to currencies, interest rates and grains, and position trade it so you can ride the trend moves.

 

I wonder what kind of money management can be applied to this type of strategy, i.e. time exits rather than specific price targets.

I have tried some pyramiding/scaling in techniques on this system and none seem to work. Maybe it is too short of a timeframe?
-thomas