Using Rate of Change for a beginner level ATS

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.

code:

inputs:threshold(.60);


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;



end;

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;

 

nice, sure beat those tiny fuzzy thumbnail charts.

 

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.

 

Its probably looking forward.

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