I coded it before, the desktop had virus/intrusion and I quarantined it. Most likely from third party code purchased. Shouldn't be too hard to recode it. There is thread on here maybe year half ago. It has attachments 'xire'.. It uses ATR STD as volatility proxy than uses time and date and exponential moving averages as trade logic. It has a extremely high success rate. I presume many are trading off of volatility signals and are chasing the same signals. But it still works. What's even more useful is if you can predict news events. Front run the volatility. I tried rebooting that desktop, I'll recreate code from scratch. One can wonder why anyone would give away a 'edge'. My sense of mortality is there. There is more to life than green paper. Found the thread: https://elitetrader.com/et/threads/100-wins-over-240-days.298459/ Regards, Chris
Parameters: 240 tick chart EMA (low) 180 EMA (low) 200 Start Time: (news report) Stop Time: (end of session/before lunch) ATRperiod) STDperiod) So basically each Futures has its own fingerprint. When a news event occurs ATR STD spike. You need to find the threshold where the spikes are meaningful and not noise. ATR STD are redundant for volatility, both are needed. So if ATR STD both exceed preset value, and coincides with news event (NFP/FOMC). Look for EMA crossover to trigger trades. Usually from one crossover to next significant tick capture occurs. You exit before lunch because consolidation occurs, and reestablish after lunch since signals/trend resumes.
overlay with trendline, increases probability further.. if all you did was use these filters and wait day to day...