Using Rate of Change for a beginner level ATS

Discussion in 'Automated Trading' started by ETLURKER, Feb 9, 2009.

  1. Here is a performance graph of using a Rate of Change indicator as programmed in easy language for Tradestation as a beginner model for an "always in" ATS for the mini S&P 500 futures contract. It easily outperforms other ATS models currently under development in this section of EliteTrader. Testing is for 200 days.



    if t >= 845 and t <= 1445 then begin;

    if rateofchange(c,6)> threshold then buy this bar at close;
    if rateofchange(c,6) < threshold*-1 then sell short this bar at close;


    if t = 1500 and marketposition = 1 then sell this bar at close;
    if t = 1500 and marketposition = -1 then buy to cover this bar at close;
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  2. nkhoi

    nkhoi Moderator

    nice, sure beat those tiny fuzzy thumbnail charts. :)
  3. FaceOff


    I was unable to get your method to work profitably over a longer period of time - perhaps it worked particularly well for the big moves late last year.
  4. Its probably looking forward.

    ROC is only good against current volatility or in reference to a past period.