periods1:=Input("Periods of ROC",2,50,12);

periods2:=Input("Smoothing Period",1,50,1);

Input("horizontal line 1",-50,50,5);

Input("horizontal line 2",-50,50,-5);

Mov(ROC(C,periods1,%),periods2,S);

from Eric Kendall

{cola:BUY: this means: label column A as "BUY" and then enter the following formula:}

Cross(L,(SAR(.02,.2)))

{colb:SELL: this means: label colum B as "SELL" and then enter the following formula:}

Cross(SAR(.02,.2),H)

{enter the following in the filter section:}

cola=1 or colb=1

{where the AF=0.02 which you can change. try doing a sys test by replacing the numbers with opt1 & opt2}

{from Mike Anoldi}

"The MetaStock moving average function has an option for displacing the mov both vertically and horizontally. most of the time, I prefer to use a mov channel in place of Bollinger Bands."

from L. and G. Issen

"I use moving average, instead of Bollinger Bands, creating three indicators in the following way, and saving them in a template:

Mov(C, 28,S) displaced +10%

Mov(C, 28,S) displaced - 10%

Mov(C, 28,S)

28 days is the basic span of time. Like the 10% +/-, this should be adjusted for each security and for the particular condition you are waiting for (buy/sell). When I see a buying opportunity ahead, I just draw another trio of faster MAs (keeping the slow on the chart) and use them, with other indicators/oscillators, to time the entry. Same process to exit the market."

Do price pressures build up over the weekend that cause predictable distortions in the stock market on Monday? If the market is up or down a certain number of days in a row, what are the chances it will follow the trend the next day? Is the trend on Monday reversed on Tuesday? To find out, we loaded our S&P 500 data back to 1980, and ran a test. The results were this - the trend on Monday (either up or down) was reversed 55% of the time, a fairly significant result. This might tell us that the weekend causes an emotional buildup that moves the market an excessive amount on Monday, which is then corrected by Tuesday. Larger stocks, as represented by the Dow Jones Industrial Average, reversed slightly less - 54% of the time. Small stocks, as represented by the Russell 2000 (data back to 1990) showed the opposite pattern, going with the trend 60% of the time.

In the futures markets, the US dollar (data back to 1990) reversed 54% of the time, and the 30 year treasury bond (data back to 1987) reversed 53% of the time.

In recent years, the pattern has been less pronounced. In fact, if you study just the last two years, you get reversals of 53% in the Dow, 52% in the S&P 100, a continuation in the trend 50.5% of the time in the S&P 500 and a continuation 54% of the time in the Russell 2000 . The US dollar has reversed 58% of the time in the last two years, the CRB index 54% of the time, while other futures have shown continuation trends - 55% for gold, 54% for treasury bonds, and 55% for crude oil.

Next, we studied every possible price trend for the five day period. A nice Thursday trend emerged - if Monday and Tuesday went one direction, and then Wednesday reversed this trend, there was a 62% chance that Thursday would continue this reversal (we’ll represent this as XXOO, where X just means one direction, not necessarily up or down, and O means the other direction). If the first four days of the week all moved in the same direction (XXXX), Friday had a 61% chance of doing the same (XXXXX). And if Tuesday reversed Monday, but was then reversed by Wednesday, and the trend continued Thursday, there was a 63% chance that Friday would continue the trend set Wednesday (XOXXX).

The MetaStock formulas for the Tuesday calculation are included below. Formulas for the remaining days of the week build on these formulas, and are too extensive to include here (you need 2 formulas for Tuesday, 4 for Wednesday, 8 for Thursday, and 16 for Friday).

To build an exploration that looks for stocks with a high incidence of Tuesday reversal, simply put the formula "Tuesday % occurrence. of XX vs. XO" in a column in the Explorer, run an exploration on all of your securities, then sort by the aforementioned formula.

======================
Formula "Tuesday XX Pattern"

{ Looks for XX pattern, returns +1 if it finds it }
If(Ref(DayOfWeek(),-2) = 5 {2 days ago was Fri} AND
Ref(DayOfWeek(),-1) = 1 {Yesterday was Mon}
AND
DayOfWeek() = 2 {Today is Tuesday}
AND { Either both days were up or down }
((Ref(CLOSE,-2) > Ref(CLOSE,-1) AND
Ref(CLOSE,-1) > CLOSE ) OR
(Ref(CLOSE,-2) < Ref(CLOSE,-1) AND
Ref(CLOSE,-1) < CLOSE )) ,
+1, { +1 if XX pattern }
0) { Otherwise 0 }

======================
Formula "Tuesday XO Pattern"

{ Looks for XO pattern, returns +1 if it finds it }
If(Ref(DayOfWeek(),-2) = 5 {2 days ago was Fri} AND
Ref(DayOfWeek(),-1) = 1 {Yesterday was Mon}
AND
DayOfWeek() = 2 {Today is Tuesday}
AND { Tuesday is opposite direction of Monday }
((Ref(CLOSE,-2) > Ref(CLOSE,-1) AND
Ref(CLOSE,-1) < CLOSE ) OR
(Ref(CLOSE,-2) < Ref(CLOSE,-1) AND
Ref(CLOSE,-1) > CLOSE )) ,
+1, { +1 if XO pattern }
0) { Otherwise 0 }

======================
Formula "Tuesday % occurrence. of XX vs. XO"
{ Gives the % occurrence of XX (that Tuesday goes the same direction as Monday) }

Cum(Fml("Tuesday XX pattern"))/
(Cum(Fml("Tuesday XX pattern")) + Cum(Fml("Tuesday XO pattern")) ) * 100

======================

Note that unchanged days, either Monday or Tuesday, are ignored in the calculations.

by John DeBry

Page 8

Bullish Engulfing Pattern

ColA: CLOSE

Filter BarsSince(EngulfingBear())<=5 AND BarsSince(ROC(C,60,%)>15)<=5 AND BarsSince(Stoch(9,1)>90)<=5

Filter enabled Yes

Periodicity Daily

Records required 1300


Bearish Engulfing Pattern

Col A: CLOSE

Filter BarsSince(EngulfingBull())<=5 AND BarsSince(ROC(C,60,%)<-15)<=5 ANDBarsSince(Stoch(9,1)<10)<=5

Filter enabled Yes

Periodicity Daily

Records required 1300


Up 20% on Double Average Volume

Col A: CLOSE

Col B:ROC(C,5,%)

Filter ROC(C,5,%)>=20 AND Mov(V,5,S)>=(2*Ref(Mov(V,60,S),-5))

Filter enabled Yes

Periodicity Daily

Records required 1300


Down 20% on Double Average Volume

Col A: CLOSE

Col B: ROC(C,5,%)

Filter ROC(C,5,%)<=-20 AND Mov(V,5,S)>=(2*Ref(Mov(V,60,S),-5))

Filter enabled Yes

Periodicity Daily

Records required 1300

Cross Above 200 MA on Twice Average Volume

Filter (C>Mov(C,200,S) AND Ref(C,-5)<Ref(Mov(C,200,S),-5)) AND C>5 AND V>Mov(V,200,S)*2

Crossing Below 200 Day MA on Double Average Volume

Filter (C<Mov(C,200,S) AND Ref(C,-5)>Ref(Mov(C,200,S),-5)) AND C>5 AND V>Mov(V,200,S)*2

Consolidation Over 16 Weeks

Col A: CLOSE

Filter Fml("congestion index") <= 10 AND BarsSince(Fml("congestion index")>10) > 0

Filter enabled Yes


Here is the "congestion index" formula:

((HHV(C,80)-LLV(C,80))/LLV(C,80))*100

Consolidation Breakout, Upside

Col A: CLOSE

Filter: Fml("Consolidation breakout (upside)") = 1

Filter enabled: Yes

Consolidation Breakout, Downside

If(Ref(Fml("congestion index"),-5),<,10,

{and} If(Fml("congestion index"),>=,10,

{and} If(CLOSE,>,Ref(HHV(C,80),-5),

{and} If(Mov(V,5,S),>=,1.5*(Ref(Mov(V,60,S),-5)),

+1,0),0),0),0)


Stocks breaking out of consolidation (downside)

Col A: CLOSE

Filter: Fml("Consolidation breakout (downside)") = 1

Filter enabled: Yes

Here is the "consolidation breakout(downside)" formula:

If(Ref(Fml("congestion index"),-5),<,10{%},

{and} If(Fml("congestion index"),>=,10{%},

{and} If(CLOSE,<,Ref(LLV(C,80),-5),

{and} If(Mov(V,5,S),>=,1.5*(Ref(Mov(V,60,S),-5)),

+1,0),0),0),0)

Volatility Over 16 Weeks

Col A: CLOSE

Col B: Vol(10,80)

Filter: Vol(10,80)>200

Filter enabled: Yes

Gain By %

Col A: CLOSE

Col B: ROC(C,5,%)

Filter: (ROC(C,5,%)>10 OR ROC(C,5,%)<-10) AND C>5

Filter enabled: Yes


Biggest Losers

Col A: CLOSE

Col B: ROC(C,5,%)

Filter: (ROC(C,5,%)>10 OR ROC(C,5,%)<-10) AND C>5

Filter enabled: Yes


Overbrought/Over Sold

Col A: CLOSE

Col B: Fml("ob/os summation")

Filter: Fml("ob/os summation") > 450 OR Fml("ob/os summation") < -50

Filter enabled: Yes

Here is the "ob/os summation" formula:

RSI(25)+Stoch(25,3)+Mo(25)+CCI(25)

Elliot Wave Identification

As far as using MetaStock for identifying waves, use a 5/34 histogram for
finding wave 4, the end of wave 3 and for help with identifying wave 1/2,
which apparently Advanced Get uses extensively. You can write MetaStock
explorations/templates/experts, etc., with this indicator; e.g.,
explorations to find the peaks and troughs of the 5/34 histogram.

The version of the indicator I use in MetaStock v6.52 is:

Mov(OscP(5,34,E,$),5,S)

-150 days minimum of data.

The peaks of the histogram help identify waves 1, 3 and 5 and troughs for
waves 2 and 4. Use MetaStock line studies (both trendlines, channels and
fib retracements) for additional wave identification/analysis. Of course,
you can label the waves with the text box.

from Kevin Campbell

Wilders ATR From Equis

{The actual ATR does not use a simple moving average. Welles Wilder uses
his own smoothing (a modified exponential average) which is the function
named "Wilders" in MetaStock. Try your formula this way:}

periods:=Input("ATR Periods?",1,100,10);
TH:=If(Ref(C,-1) > H,Ref(C,-1),H);
TL:=If(Ref(C,-1) < L,Ref(C,-1),L);
TR:=TH-TL;
Wilders(TR,periods)


{Equis Support}


ATR Custom Indicator

periods:=Input("ATR Periods?",1,100,10);
TH:=If(Ref(C,-1) > H,Ref(C,-1),H);
TL:=If(Ref(C,-1) < L,Ref(C,-1),L);
TR:=TH-TL;
Mov(TR,periods,S)

{from Yngvi Hardarson}


MTF Tendency Update

{Multiple Time Frame - Tendency 5/23/99}
{This will plot 1 for Bullish
-1 for Bearish}
dw:=DayOfWeek();
Fw:=If(dw<Ref(dw,-1),1,0);
Mt:=If(Fw=1 AND Ref(dw,-1)<>5,
{then}Ref(C,-1)- FmlVar("MTF-Fixed Balance Point","DWP"),
{else}If(dw=5,
{then}C-((HighestSince(1,Fw=1,H)+
LowestSince(1,Fw=1,L)+C)/3),
{else}0));
If(Mt>0,1,If(Mt<0,-1,0));

{from Adam Hefner}

Guppy MMA Exploration from Trading Tactics, part 2

NOTE This EXPLORATION uses the results of several INDICATOR FORMULAS. You must create the INDICATORS first before running the exploration. Also, depending on your system you may have some problems importing this into early versions of Metastock 7.

Ref(C,-1)

Ref(C,-2)

Fml("mma 3/30") +Fml("mma 5/35") +Fml("mma 8/40") + Fml("mma 10/45")+Fml("mma 12/50")+Fml("mma 15/60")

Ref(Fml("mma 3/30") +Fml("mma 5/35") +Fml("mma 8/40") + Fml("mma 10/45")+Fml("mma 12/50")+Fml("mma 15/60"),-1)

Ref(Fml("mma 3/30") +Fml("mma 5/35") +Fml("mma 8/40") + Fml("mma 10/45")+Fml("mma 12/50")+Fml("mma 15/60"),-2)

When(colD,>,0) AND When(colE,<=,0)

Performance Intra Day and Daily

ColA:C {label CLOSE}
ColB:O {label OPEN}
ColC:Sub(C,O) / O {label Intr.dy%}
ColD:Sub(C,Ref(C,-1)) / Ref(C,-1) {label 1 dy %}
ColE:Sub(C,Ref(C,-2)) / Ref(C,-2) {label 2 dy %}
ColF:Sub(C,Ref(C,-3)) / Ref(C,-3) {label 3 dy %}
Filter: O>.2 AND
C<.3 AND
C>.2

Filter: enabled
Periodicity: Daily
Records required: 5

Patrick McDonald

Gap Up System with Delayed Exit

Enter long
GapUp()

Close long
Ref(GapUp(),-5)

Initial equity 10000
Positions Long and short
Trade price Open
Trade delay 1
Entry commission 0%
Exit commission 0%
Interest rate 0%
Margin req. 100%

Elliot Oscillator

Mov(C,5,S)-Mov(C,35,S)

{from Jan Robert Wolansky}

{TIMESERIES TRIX - by Joe Luisi}

{published in S&C - TASC article "Playing Trix" by Joe Luisi (June 1997) and
to be used on weekly data}

CLA:=TRIX(3);
CLB:=Ref(TRIX(3),-1);
CLC:=Mov(TRIX(3),8,TIMESERIES);
CLD:=Ref(Mov(TRIX(3),8,TIMESERIES),-1);
SHORT:=When(CLA,>,CLC) AND When(CLB,<,CLD) AND
When(CLA,<,0)AND When(CLA,>,-2);
LONG:=When(CLA,<,CLC) AND When(CLB,>,CLD) AND
When(CLA,>,0)AND When(CLA,<,+2);
If(LONG>0,+1,
If(SHORT>0,-1,PREVIOUS))



Weekly Trix Moving Average Test

COLA: TRIX(3)
COLB: REF(TRIX(3),-1)
COLC: MOV(TRIX(3),8,TIMESERIES)
COLD: REF(MOV(TRIX(3),8,TIMESERIES),-1)
COLE: C

Filter enabled:yes

when(cola,>,colc)and when(colb,<,cold)and when(cola,<,0)and
when(cola,>,-2)

from A. J. Maas

ROC Moving Average System Test

ENTER LONG:
ROC(Mov(C,12,E),1,%)>0 AND ROC(Mov(C,60,E),1,%)>0

EXIT LONG:
(ROC(Mov(C,12,E),1,%)<0 AND ROC(Mov(C,60,E),1,%)>0)
OR
(ROC(Mov(C,12,E),1,%)>0 AND ROC(Mov(C,60,E),1,%)<0)

SHORT:
ROC(Mov(C,12,E),1,%)<0 AND ROC(Mov(C,60,E),1,%)<0

EXIT SHORT:
(ROC(Mov(C,12,E),1,%)<0 AND ROC(Mov(C,60,E),1,%)>0)
OR
(ROC(Mov(C,12,E),1,%)>0 AND ROC(Mov(C,60,E),1,%)<0)

{Ref(c,-1) gives yesterday's close today. So all values are shifted to the
right!}

{from Onno Goedknegt}

Days Since Crossover

{place formula in filter section of explorer, making sure that formulas
within quotes are valid indicators}

BarsSince(Cross(45, Fml( "Stochrsi (14)" )))>
BarsSince(Cross(Fml( "Stochrsi (7,3)" ),72)) AND
Ref(BarsSince(Cross(45,Fml( "StochRSI (14)" ))) <
BarsSince(Fml( "staters (7,3)")>72), -1)

{from Stefan Schittko}

Anti Trigger- LB Raschke (For Metastock v6.5)

Original formula based on L.B. Raschke's "Street Smarts"
book's Quick Indicator Articles. Re-written by Ton Maas.

{FUNCTIONS-IND-REFERENCE-INDEX:
FF=FASTLINE,SS=SLOWLINE,SETBARS=3DAYMOVAVE,
ENTRYADD=+1,EXITADD=+1}
{FUNCTIONS-VAR-REFERENCE-INDEX:
BBUY=(VAR),SSELL(VAR),CBUY(VAR),CSELL(VAR),FF(VAR),SS(VAR),
LXSTOP(VAR),SXSTOP(99999),MP(VAR)}
{FUNCTIONS-MISC-REFERENCE-INDEX:
AT0BBUY =BULLLONG
AT0SSELL =BEARSHORT
AT0CSELL =CLOSEBEARSHORT
AT0CBUY =CLOSEBULLLONG
AT0MP =MARKETPOSITION (-1=LONG,+1 SHORT)
AT0LXSTOP=CLOSELONGEXITLEVEL(STOPLOSS)
AT0SXSTOP=CLOSESHORTEXITLEVEL(STOPLOSS)}

{INDICATOR NAME : ANTI TRIGGER}

{THE FORMULA (+REQUIRED FUNCTIONS) FOR THE ANTI TRIGGER INDICATOR}
AT0SETBARS:=3;
AT0FF:=Stoch(7,AT0SETBARS);
AT0SS:=Mov(Stoch(7,AT0SETBARS),10,E);
AT0ENTRYADD:=+1;
AT0EXITADD:=+1;
AT0CSELL:={use in expadv or systest}{for RT del the REF-function}
If(AT0FF>Ref(AT0FF,-1) AND AT0SS<Ref(AT0SS,-1),C+1,0);
AT0CBUY:={use in expadv or systest}{for RT del the REF-function}
If(AT0FF<Ref(AT0FF,-1) AND AT0SS>Ref(AT0SS,-1),C+1,0);
AT0BBUY:={use in expadv or systest}{for RT del the REF-function}
If(AT0CBUY>AT0SETBARS,H+AT0ENTRYADD,99999);
AT0SSELL:={use in expadv or systest}{for RT del the REF-function}
If(AT0CSELL>AT0SETBARS,L-AT0ENTRYADD,0);
AT0MP:={use in expadv or systest}If(AT0BBUY<99999, -1,If(AT0SSELL>0,1,0));
{AT0LXSTOP:=}{use in expadv or systest}{for RT del the REF-function}
{IF(REF(AT0MP,-1)<1 OR (REF(AT0BBUY,-1)<99999 AND
H>REF(AT0BBUY,-1)), L-AT0EXITADD,0);}
{AT0SXSTOP:=}{use in expadv or systest}{for RT del the REF-function}
{IF(REF(AT0MP,-1)>-1 OR (REF(AT0SSELL,-1)>0 AND
L<REF(AT0SSELL,-1)), H+AT0EXITADD,0);}
AT0MP

Recursive Moving Trend Average

Lb:=Input("Look-Back Period?",3,100,21);
Ty:=Input("1=C 2=H 3=L 4= Median Price",1,4,1);
Tv:=If(Ty=1,C,If(Ty=2,H,If(Ty=3,L,MP())));
Alpha:=2/(LB+1);
Bot:=(1-Alpha)*(If(Cum(1)<Lb,Tv,PREV))+Tv;
RMTA:=(1-Alpha)*(If(Cum(1)<Lb,Tv,PREV))+
(Alpha*(Tv+Bot-Ref(Bot,-1)));
RMTA

{from Adam Hefner}

TSF Optimised Trading System for Metastock

Enter long:
Cross(opt1,((CLOSE-Ref(TSF(C,opt3),-1))/CLOSE*100))

Close long:
Cross(((CLOSE-Ref(TSF(C,opt3),-1))/CLOSE*100),opt2)

Enter short:
Cross(((CLOSE-Ref(TSF(C,opt3),-1))/CLOSE*100),opt2)

Close short:
Cross(opt1,((CLOSE-Ref(TSF(C,opt3),-1))/CLOSE*100))

opt 1: zero to -2 (with .1 step)
opt 2: zero to +2 (with .1 step)
opt 3: 2 to 8 (with 1 step)

{I use this for futures and the above parameters (optimized settings) keep
it in the ballpark. If you are applying it to equities (or commodities),
it always makes sense to look at the indicator and understand the outside
parameters for each of its "steps". It makes no sense to limit your outside
limits to -2 and +2 if the TSF oscillates between -8 and +8. So do a little
homework on the "outside" limits of the indicator and then
optimize accordingly. from Steve Karnish.}


End Point Moving Average

{The End Point Moving Average was introduced in the October 95 issue of
Technical Analysis of Stocks & Commodities in the article "The End Point
Moving Average", by Patrick E. Lafferty. The exact formula for the End Point
Moving average is as follows:}

( 14 * Sum( Cum( 1 ) * C,14 ) - Sum( Cum( 1 ),14) * Sum( C,14) ) / (14
* Sum( Pwr( Cum( 1 ),2),14 ) - Pwr( Sum( Cum( 1 ),14 ),2 ) ) * Cum( 1 )
+ (Mov(C,14,S) - Mov( Cum( 1 ),14,S) * (14 * Sum( Cum( 1 ) * C,14) -
Sum( Cum( 1 ),14 ) * Sum( C,14) ) / (14 * Sum( Pwr( Cum( 1 ),2 ),14) -
Pwr( Sum( Cum( 1 ),14 ),2 ) ) )

{The above formula plots the last value of a linear regression line of the
previous 14 periods. The Time Series Forecast (TSF) takes this value and the
slope of the regression line to forecast the next day and then plots this
forecasted price as today's value. from Equis.}



Metastock Adjustable Trading Bands

Using the default values used in the formulas, I have found that these upper
and lower bands provide effective risk control while trading. The upper band
can be used as the extreme point to get rid of shorts and vice versa. In
fact, prices tend to remain above both the bands while the market is in a
strong uptrend, and prices remain below the bands in a downtrend. During
short-term range-bound markets, they tend move between the bands. I have
found this idea in Tushar Chande's "New Technical Trader". Since you have
studied ATR so thoroughly, it would be be very nice if you could comment on
them. Can be made into a template for easier usage.

from Rajat K Bose


Upper Band

Prd1:=Input("ATR Period",5,20,5);
Prd2:=Input("Period for Highest High Value",5,20,10);

(HHV(LLV(L,Prd1)+ATR(Prd1),Prd2))


Lower Band

Prd1:=Input("ATR Period",5,20,5);
Prd2:=Input("Period for Lowest Low Value",5,20,10);

(LLV(HHV(H,Prd1)-ATR(Prd1),Prd2))

Customisable StochRSI from Nicholas Kormanik

The formula I've adopted was put on the Silicon Investor web site thread by
'bdog'. Basically, I just leave the Slowing Periods (mp3) to 1, so it
really plays no part in things. However, if somebody presents a good
argument for using other than 1 ... hey, I'm amenable.

Chande, the original inventor, didn't use a moving average on the whole
thing. Chande's result was therefore sort of choppy. I guess along the way
people decided to add the EMA Periods to smooth things out.

Here's the MSWin formula:


mp1:=Input("RSI Periods",1,377,13);
mp2:=Input("Stoch Periods",1,377,13);
mp3:=Input("Slowing Periods",1,377,1);
mp4:=Input("EMA Periods",1,377,5);

Mov(Sum((RSI(mp1)-LLV(RSI(mp1),mp2)),mp3)/Sum((.0000001+(HHV(RSI(mp1),mp2)-(
LLV(RSI(mp1),mp2)))),mp3),mp4,E)*100


Now, from various posts, etc., the following parameters (mp1, mp2 and mp4)
*seem* to be the one's recommended. I'm trying to further find consensus
among users of StochRSI on what really appears to work for them.


StochRSI Set
--------------------
5 -- 5 -- 3
8 -- 8 -- 5
13 -- 13 -- 13
21 -- 15 -- 13
21 -- 21 -- 13
34 -- 34 -- 13
55 -- 55 -- 21
89 -- 13 -- 34
89 -- 89 -- 21
233 -- 233 -- 34

52 Week Hi-Lo Exploration

ColA: {Close}C;
ColB: {52-week High} HighestSince(1, (DayOfMonth()=08 AND Month()=05
AND Year()=1998), H);
ColC: {52-week Low} LowestSince(1, (DayOfMonth()=08 AND Month()=05 AND
Year()=1998), L);

{Choose one of these filters}
{Filter 1:} ColA >= (0.9*(ColB))
{Filter 2:} ColB >= 2*ColC

{If you want both the conditions to be satisfied in the same query, just
join the two filters by the AND operator:}

Filter: (ColA >= (0.9*(ColB)) AND ColB >= ColC)

{One problem with the 52-wk High and 52-wk Low formula--every day you've got
to change the values for dayofmonth(), Month() and Year() functions. The
formula given above assumes that you would be running the query on May 07,
1998. Change the values of the above functions accordingly.}

{from Rajat Bose}


Trailing Stop Loss Indicator

If(cum(1)=1,
{then} Close,
{else} If((C*1.1) <= PREV,
{then}(C*1.1),
{else} PREV));

{from Adam Hefner}


{Regarding the Recursive Moving Trendline System, I ended up making an
oscillator out of it (subtracting the ema from the rta). If you wish to try
"tuning" it in MetaStock, you could try different entry levels from the
oscillator. For example, go long when TOSC crosses from below -2, or go
short when TOSC crosses from above +2. }

{TOSC}
Lb:=Input("Look-Back Period?",3,100,21);
Ty:=Input("1=C 2=H 3=L 4= Median Price",1,4,1);
Tv:=If(Ty=1,C,If(Ty=2,H,If(Ty=3,L,MP())));
Alpha:=2/(LB+1);
Bot:=(1-Alpha)*(If(Cum(1)<Lb,Tv,PREV))+Tv;
RMTA:=(1-Alpha)*(If(Cum(1)<Lb,Tv,PREV))+
(Alpha*(Tv+Bot-Ref(Bot,-1)));
TOSC:=RMTA-Mov(Tv,lb,E);
TOSC;

{NOTE: this code will work slowly because of all of the "PREV" functions.
from Adam Hefner.}

{Single 60 Day Period BreakOut Signal Indicator}

ACol:= C;
BCol:= Ref(HHV(H,59), -1);
CCol:= HHV(H,60);
SSDPBOS:= (ACol>BCol) AND (Ref(C,-1)<BCol) AND
(H=CCol);
SSDPBOS

{from Ton Maas}



Metastock-Stocks Closing Above 60 Day High

To find the securities that have closed above their high today (the last
trading day in the database) for the first time, I have written this
MetaStock Explorer.

ColA: {Close) C
ColB: {Previous 60-day High} Ref(HHV(H,60), -1)
ColC: {Current 60-day High} HHV(H,60)
ColD: {Volume} V
Filter: (colA>colB) AND (Ref(C,-1)<Ref(HHV(H,60), -1)) AND
(H=HHV(H,60))

This formula does two things:

1) It lists only those securities which have met the required conditions
only on the last trading day.
2) The new 60-day high must have taken place only on the last trading day.

from Rajat Bose

{Stocks Closing Above 60 Day Highs}


{closing above the 60-day high of the close}

close>ref(hhv(close,60),-1)


if you want those that are {closing above the 60-day intraday high}

close>ref(hhv(high,60),-1)


{from Debra Orlow}

Sine Weighted Moving Average

{from Equis}

PI:=3.1415926;
SD:=180/6;
S1:=Sin(1*180/6)*C;
S2:=Sin(2*180/6)*Ref(C,-1);
S3:=Sin(3*180/6)*Ref(C,-2);
S4:=Sin(4*180/6)*Ref(C,-3);
S5:=Sin(5*180/6)*Ref(C,-4);
Num:=S1+S2+S3+S4+S5;
Den:=Sin(SD)+Sin(2*SD)+Sin(3*SD)+Sin(4*SD)+Sin(5*SD);
Num/Den

I use the peak and trough function in MetaStock to show support and
resistance levels. It could also be used as a trailing stoploss method.

from Anil Chugani


Support and Resistance Levels

AVd:=If(CLOSE>Ref(Peak(1,H,1) ,-1),
{then}1,
{else}If(CLOSE<Ref(Trough(1,L,1),-1),
{then}-1,
{else}0));
ANv:=ValueWhen(1,AVd<>0,AVd);
SuRe:=If(ANv=-1,
{then}Peak(1,H,1),
{else}Trough(1,L,1));
SuRe;

{StochCMO}

mp1:=Input("RSI Periods",1,377,13);
mp2:=Input("Stoch Periods",1,377,13);
mp3:=Input("Slowing Periods",1,377,1);
mp4:=Input("EMA Periods",1,377,5);

Mov(Sum((CMO(c,mp1)-LLV(CMO(c,mp1),mp2)),mp3)/Sum((.0000001+(HHV(CMO(c,mp1),
mp2)-(LLV(CMO(c,mp1),mp2)))),mp3),mp4,E)*100

25x25 Bond System Metastock Format

more detail at http://www.traderclub.com

This system is provided free to people who join the System Traders Club. It is a profitable Bond Trading System that we supply in order to demonstrate the quality of our work, and as an example of the documentation that comes with each of our systems.

Gary Randal mailto:Randall_Gary@tmac.com has ported this system into MetaStock format. His comments and code for MetaStock follow our normal system Documentation. A Rrade by Trade Report concludes the document


"25 x 25" BOND TRADING SYSTEM
by Charles LeBeau and Terence Tan

Introduction

In this report we will present several useful concepts for trading the Bond futures markets, and illustrate these concepts with a Bond trading system that we have called the "25 x 25". The "25 x 25" system is a long-only trend-following system designed for the Bond market which has made hypothetical profits of $53,000 over the last 10 years of historical data, with an accuracy rate of 76%.


Aims of the System Traders Club

Before we present the details of the system, we will review some of the goals we hope to achieve for the System Traders Club.

First, we do not hope to reveal any "holy grails" to trading. Many of the systems that you will see in the System Club reports include indicators that you may already be familiar with, or that can be easily programmed into the computer. In addition, you will find that many of these systems are not perfect: they will all have drawdowns, and none of them are 100% accurate over the long run. However, we think they deserve serious consideration for actual real-time trading applications. We realize that in the business of trading the futures markets there is no single method that makes money automatically. We believe that a combination of logical system concepts and reasonable entry and exit strategies greatly increases the probability of success in trading. We hope to be able to communicate to you, through these reports, many of the concepts that we have learned over the years.

Second, we hope that these reports will serve both an informative as well as a practical purpose. We will share with you lessons that we have accumulated over the years regarding trading strategies and techniques that have worked in various markets, and the logic behind them. You may also want to view the systems presented as illustrations of general principles and concepts in systematic trading of the futures markets. We hope that you may also apply these concepts to your own favorite markets and time-frames. We would welcome any feedback you may have on possible improvements and different applications of these systems.

Third, we intend to provide many different systems and market combinations in our reports. Multiple systems can be combined together in a portfolio to generate more frequent trades and higher returns than any single system. We believe in diversification; but we also realize that diversification is a function of personality and preference. For this reason, we will be offering many different types of systems, from which you will be able to select systems that suit your personality and preference and combine them into your own diversified trading portfolio.


"25 x 25" System Rules

We will concisely present the system rules first, and then elaborate and explain the concept and logic behind some of the more important trading techniques represented in the system:

To go long in the Bond market, three conditions must be met.

1.    The 14-day +DI must be above the 14-day -DI.

2.    The 14-day ADX must be above 20.

3.    The 4-day RSI must be below 50.

If these three conditions are met then buy tomorrow only if and when prices rise 18 ticks (18/32) above today's close. Enter on a buy stop order.

After a trade has been entered, place a sell stop at whichever of the positions below are closest to the market price.

1.    A stop order at $2,500 below the entry price.

2.    Or a stop order at the lowest low of the last 25 days.

3.    After 25 days (count entry day as day 1), change stop #2 from the lowest low of 25 days to the lowest low of 2 days.

4.    Regardless of the number of days in the trade, after any close where the open profit is greater than 5 Average True     Ranges the exit stop should be at the lowest low of 2 days. (Important: use 45 days to calculate the ATR)

Historical Results

Table 1 shows the historical results of trading 1 contract on the system tested over 10 years of data. For the testing purposes, we used continuous back-adjusted daily data. We ignored all night sessions, and all calculations were based on day-session prices and ranges only. $100 was deducted from every trade to simulate the effects of commissions and slippage. The test period was from 1/1/88 to 1/16/98 with MaxBarsBack set to 50 to enable adequate smoothing on the ADX calculations. (MaxBarsBack refers to the number of bars of data necessary to calculate the rules in a system. System rules only begin after the MaxBarsBack period. The test period includes the MaxBarsBack period, so that no trades are taken for the first 50 trading days.)


Table 1. “25 x 25” System v.2.0 Hypothetical Results (TradeStation format) This system was created originally for Tradestation and then interpreted into MetaStock Format by one of our members. We do not have MetaStock reports.

Total net profit    $ 55,112.50         Open position P/L    $ 1,875.00
Gross profit     $ 64,887.50         Gross loss     $-9,775.00
           
Total # of trades        32         Percent profitable     72%
Number winning trades    23         Number losing trades 9
           
Largest winning trade    $ 5,181.25         Largest losing trade    $ -2,600.00
Average winning trade    $ 2,821.20         Average losing trade    $ -1,086.11
Ratio avg win/avg loss    2.60         Avg trade(win & loss)    $ 1,722.27

Max consec. winners    5        Max consec. losers    2
Avg # bars in winners    26        Avg # bars in losers    12
           
Max intraday drawdown    $ -3,381.25
Profit factor         6.64         Max # contracts held    1
Account size required    $ 3,381.25         Return on account    1,630%

The hypothetical performance data above was generated using Omega TradeStation, with $100 deducted per trade for commissions and slippage. In our opinion, the "account size required" and "return on account" calculations may not accurately reflect the actual account size required to trade this system nor the return to be expected.


PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.


System Concept

The concept behind the system is simple. We designed 25 x 25 to be a trend following system that will enter an uptrend during a dip in prices. To do this we will implement three entry strategies. First, there is a trend indicator to identify a strongly uptrending market. Second, there is a shorter term retracement indicator that will identify a small dip in the uptrend which will set up the trade. Third, we have a precise short-term entry signal which will enter the trade when the uptrend resumes.


Trend Indication

For the trend indicator, we employ one of our favorite trend indicators, the Directional Movement Indicator. Specifically we will use the relationship between the +DI (Plus Directional Indicator), -DI (Minus Directional Indicator), and the ADX (Average Directional Movement Index). These indicators were described by Welles Wilder in his book, New Concepts In Technical Trading Systems, and are pre-programmed into most of the modern computerized charting software. The default value chosen by Mr Wilder was 14-days for all the indicators, and this is the value we have chosen for the system.

For our trend indication, we will require that the 14-day +DI must be above the 14-day -DI, and that the value of the ADX must be above 20. The relationship of the +DI to the -DI is a useful way of determining the direction of the intermediate trend; however this definition of trend is inadequate without the inclusion of the ADX which actually measures the strength of the trend. Trend indicators traditionally only indicate whether the trend is up or down, which is not an accurate representation of how the market behaves. As you are aware, markets spend most of their time neither in an uptrend or downtrend, but in a sideways market. By demanding that the ADX be above 20, we effectively filter out these sideways markets, and enable our system to enter during periods of relatively strong uptrends. It is important to understand that the ADX does not indicate the direction of the trend, merely its strength, which is why we need to combine the strong ADX reading with the DI relationship.

As a general concept it is a good idea to always trade markets according to the direction of the intermediate trend. For instance, with our trend indicator installed, the 25 x 25 system made $53,000 over 10 years with an accuracy of 76%, and had an average trade of $1,829. This indicator included a requirement for the ADX to be above 20.

To assess the impact of an uptrend in trading the Bond market from the long side, we eliminated the ADX requirement and reversed the rules of the system so that it only took trades when the +DI was below -DI, indicating a downtrend. The results are illuminating: trading the Bond market with all the same entry signals but during a downtrend as defined as -DI being above +DI produced losses of $781 over 10 years of trading, with a dismal accuracy of 29%, an average trade of -$6, and a drawdown of $25,000! You clearly do not want to be buying the Bond market using this technique in an intermediate downtrend.

We have mentioned the value of the ADX value in assessing the strength of the uptrend. To see the impact of the ADX value, we re-tested the system to see how it would perform if the ADX were below 20 while maintaining the requirement for the +DI to be above the -DI. When the ADX is below 20 in a prevailing uptrend (as defined by the +DI and -DI relationship), the system only made $8,900, was only 47% accurate, and had an average trade of only $595 and a drawdown of $6,500, a significant deterioration of results. We conclude that an uptrend indication on a trend indicator such as the DI only gives average results; however, combining the trend indicator with an ADX value is significantly superior because the ADX level serves to filter out periods of sideways markets.


Retracement Indicator

The second indicator we have adopted is the 4-day RSI (Welles Wilder's Relative Strength Index) which we use to identify a short-term dip in the market prices during the prevailing uptrending Bond market. We use the RSI because of its popularity and inclusion in most charting applications. Mr Wilder described a longer-term RSI, and our choice of a 4-day RSI reflects our design intention of identifying short-term retracements that would set up high probability trades. The RSI oscillates between a minimum and maximum value of 0 and 100. When the RSI declines to below 50 (the midpoint), we have defined a short-term decline in the market.

Does the short-term decline, as measured by the 4-day RSI falling below 50 actually make that much difference to trading this market? To study the difference, we ran another test on the system with the exact same rules, but eliminating the 4-day RSI rule. The tests over 10 years of data showed a profit of $22,400 over 51 trades, with an accuracy of 51%, an average trade of $440, and a drawdown of $9,200. The results are striking: by eliminating the retracement indicator and entering the markets at any point during an uptrend, the system makes less than half of the profits made when entering on a short-term decline. The average trade declined to less than 25% of the average trade when entering during a retracement! ($440 as compared with $1,800). We concluded therefore that in an uptrending Bond market, waiting for a short-term decline or dip in prices to set up a long trade is preferable to entering the trend on strength.


Entry Trigger

With the +DI, -DI and ADX rules in place, and a short-term market decline measured by the RSI, we have identified a market situation that is highly bullish. What we require next is a very short term indicator that will get us into the market. In our opinion, this particular indicator is the least important. It only serves to time our entry a bit more precisely. In fact, our tests show that you could ignore this entry trigger, and just enter the trade on the opening of the next trading day after the ADX and RSI setups are present, to get a profit of $49,600 over 10 years and 57% accuracy with an average trade of $974, a drawdown of $6,000, and a profit factor of 2.63! Entering on the open would have traded 51 times over the last 10 years, significantly more than the 29 trades with our 18-tick entry rule.

But entering on the opening after a decline has its difficulties, especially if the market continues to decline. On a psychological level, many traders (including us) are more comfortable knowing that the market is moving up in the direction of the trade before entering the position. Hence the logic of our entry trigger: to wait till the market proves itself by rallying 18 ticks from the previous day's close before we enter the trade. This is a significant rally, but forcing the prices to rally significantly before entering enables the system to produce a much higher percentage (76% over 10 years) of winning trades.

There is no particular magic about the 18-tick number. In fact to test the robustness of this entry parameter, we ran a series of tests using the same entry rules, and varying the entry trigger from 2-ticks to 36-ticks above the closing price. The results are presented in Table 2 below.

The most significant fact of the optimization is that all the tests are profitable, which is a good indicator of a parameter robustness. Significantly also, all tests have large average trades exceeding $1,000 per trade, and all tests show profit factors better than 2.50, and no drawdown on any test is greater than $6,000. It probably does not matter how many ticks above the close you decide to take for the entry point. As mentioned previously, even blindly entering on the opening is profitable over the historical data. Also, we could trade more frequently if we acted on smaller moves above the previous close, but we would expect to have a lower percentage of winners. For instance, we could have chosen a smaller move of 8 ticks above the close to get a profit of $52,500 on more trades (40 trades), but with a lower accuracy rate (68%) and a slightly higher drawdown ($5,600). Since all tests are profitable, if a trader wishes to deviate from the published system, we will leave it up to the individual trader to decide which profile of trades bests suits him.

Table 2. Optimization Results on Entry Trigger Parameters

Ticks    Net Profit    Avg Trde    PFact     MaxDD    #Trds    %Prft
                       
    2.00    54712.50    1189.40     2.93    -5168.75    46     61
    4.00    54087.50    1175.82     2.95    -4825.00    46     59
    6.00    48475.00    1101.70     2.66    -5606.25    44     61
    8.00    52562.50    1314.06     3.39    -5668.75    40     68
    10.00    48575.00    1278.29     3.39    -5731.25    38     68
    12.00    49300.00    1332.43     3.72    -5793.75    37     70
    14.00    51375.00    1467.86     4.69    -3881.25    35     71
    16.00    48837.50    1575.40     5.40    -4256.25    31     71
    18.00    53068.75    1829.96     7.17    -3381.25    29     76
    20.00    46100.00    1589.66     5.01    -4037.50    29     72
    22.00    46700.00    2030.43     7.64    -4100.00    23     78
    24.00    46362.50    2107.39     8.66    -4131.25    22     82
    26.00    39306.25    1871.73     6.11    -4193.75    21     76
    28.00    30787.50    1620.39     4.71    -4256.25    19     68
    30.00    15343.75    1022.92     2.52    -4318.75    15     60
    32.00    17637.50    1356.73     3.05    -4381.25    13     62
    34.00    16400.00    1490.91     3.02    -4443.75    11     64
    36.00    12281.25    1228.13     2.50    -4506.25    10     60


Testing the Entry Technique

Often, when we want to study the effectiveness of an entry technique by itself, we do optimization tests on the entry technique and exit simply at a close X days in the future. This often gives a good indication of the profit potential of any entry technique. The percentage of winning trades is a good indication of the efficiency of the entry technique. Table 3 below presents the results of the entry technique described above, and exiting at the Xth close after the entry. These tests do not include any money management stops or any other risk-management strategies.

Notice that all exits were profitable except an exit on the first close, which amounts to exiting on the close of the day of entry. You certainly do not want to be day-trading with this trend-following technique! Notice the high accuracy rates of 85 to 90% when the trade is held 20 days or more. For instance, if you exited each trade on the 22nd close, you would make $54,800 with a 91% accuracy rate and a drawdown of less than $5,500! And this is accomplished without any stop! We can conclude that this entry technique predicts,with almost 85 to 90 percent accuracy, a resumption of the trend that lasts between 20 to 25 days


Table 3. Results of the Entry Technique and Exiting on Xth Close.

    X    NetPrft         AvgTrd         PFact    MaxDD         #Trds    %Prft    

    1.00    -412.50         -5.81         .96    -3900.00     71    45
    2.00    2506.25         36.32         1.15    -4243.75     69    51
    3.00    3231.25         51.29         1.18    -5493.75     63    52
    4.00    9562.50         173.86         1.75    -4781.25     55    64
    5.00    14925.00    287.02         2.30    -4043.75     52    63
    6.00    21343.75    426.88         3.21    -3518.75     50    66
    7.00    24650.00    535.87         3.05    -4056.25     46    65
    8.00    31350.00    712.50         3.77    -3650.00     44    73
    9.00    22481.25    522.82         2.73    -4212.50     43    60
    10.00    21325.00    495.93         2.49    -5337.50     43    58
    11.00    21418.75    498.11         2.51    -6431.25     43    63
    12.00    27868.75    679.73         3.34    -4687.50     41    66
    13.00    24187.50    604.69         2.73    -6081.25     40    63
    14.00    19731.25    519.24         2.04    -7181.25     38    58
    15.00    20768.75    561.32         2.11    -7393.75     37    70
    16.00    25737.50    695.61         2.58    -7050.00     37    68
    17.00    37000.00    1057.14         4.49    -5468.75     35    71
    18.00    40631.25    1195.04         4.75    -5468.75     34    74
    19.00    46162.50    1357.72         6.23    -5468.75     34    79
    20.00    52793.75    1599.81         7.52    -5468.75     33    85
    21.00    57168.75    1732.39         8.29    -5468.75     33    85
    22.00    54862.50    1714.45         7.92    -5468.75     32    91
    23.00    56618.75    1826.41         9.00    -5468.75     31    90
    24.00    53318.75    1838.58         8.27    -5468.75     29    90
    25.00    56168.75    2006.03         7.45    -5468.75     28    86
    26.00    54075.00    1931.25         6.01    -5468.75     28    79
    27.00    52325.00    1868.75         6.45    -5468.75     28    79
    28.00    51043.75    1822.99         6.83    -5468.75     28    75
    29.00    47893.75    1773.84         5.92    -5468.75     27    78
    30.00    47581.25    1762.27         6.38    -5468.75     27    78



The Exit Techniques

For the exits we have included a $2,500 money management stop, which attempts to limit the worst possible loss sustainable on any particular trade. We are always most comfortable trading with stops that will limit the maximum dollar loss on any trade, although we realize that this protection may be limited if the market gaps against the position overnight. We have chosen $2,500 as the dollar-stop in this system. This is a large stop designed to avoid whipsaws, and it has only been hit once in the last 10 years. In spite of the fact that this stop is rarely triggered we believe it is essential and its presence makes us comfortable. We recommend dollar stops on all systems to protect against catastrophic losses.

The second exit strategy is a common one: the channel low exit. In this case we have chosen the low of the last 25 market days. Again, the exact number of days is probably unimportant; the concept of trailing a stop at a low point in the market is very popular and has been used successfully by market technicians for a long time.

If we merely installed the $2,500 dollar stop and the 25-day channel low exit, the system makes $43,000 over 10 years of trading, with 18 trades. The average bars in winners is 67, which is a relatively long period, and the average bars in losers is 14, showing that the trailing exit effectively cuts losses short and lets profits run. The system is 67% accurate, and has a huge average trade of $2,400. The ratio of average win to loss with this exit is 3.78.

While this variant of the system is profitable and tradable on its own, it suffers from several disadvantages: Firstly, it holds trades for a very long period. To take a profit on a winning trade, a trader would have to hold through an average of 67 days. This may not be psychologically appealing for many traders. But secondly, and even worse, the exit is inefficient in that it frequently gives up large amounts of open profits, since it always requires the market to reverse to a 25-day low before signalling an exit. We have frequently seen trades give up one-third, or half, or all of their open profits before exiting a trade on a trailing channel stop. In addition to suffering a "roller coaster" sensation while waiting for a profitable trade to retrace to a 25-day low, many winning trades could turn into losses because of the slow exit. This would not make us comfortable in spite of the potential profits.

A simple “twist” to the exit strategy allows us to reduce the number of days in the average holding period, increase total profits, increase the accuracy to 72%, and trade more frequently. The technique is this: we will wait patiently for a trade to develop over a specific number of days, using the conventional dollar and channel stops, and then switch to a tighter channel stop to effect a quick exit. Specifically, we will install the 25-day channel low exit for the first 25 days of a trade (count the day of entry as day 1), and on the 26th day, we will change the exit technique to a much tighter stop at the lowest low of the last 2 days. This dramatic hange will obviously trigger a more sensitive exit but will still allow us to maintain our position in a fast moving market.

We must also remember that our goal in trading is most directly related to the size of the profit and not to the average holding period. Holding a trade longer may be best in most cases but not in all. For those cases where we are fortunate enough to have a large profit in less than 25 days we want to raise our stop to protect those profits regardless of how long we have been in the trade. We have defined a large profit as a profit of 5 average true ranges or more. Once our open profit on a closing basis reaches this level we will implement our 2 day low exit regardless of the number of days in the trade.

The combination of the $2,500 dollar stop, the 25-day lowest low stop, and the switch in exits after 25 days creates a unique exit strategy which leads us to the name for this system.


Conclusion

This report has presented several profitable concepts for trading Bonds, which we believe should be equally applicable in other markets. For example, we have observed that minor variations of this system work well in testing over data in T Notes and Swiss Francs. We have shown the impact of a strong prevailing trend on winning trades and recommend taking long trades only when the trend is clearly and strongly up. In spite of the strong trend we have also shown that it is more advantageous to wait for a decline in prices during the uptrend in order to set up a high-probability entry point. Also, we have shown how a simple adaptation of an age-old exit technique can increase profitability and accuracy, while reducing the average holding period per trade.

We hope that this system as well as all our systems will be profitable in the future. There are no guarantees. Constructing systems that perform well over past data is relatively easy once you learn a few basic rules. But in addition to showing great hypothetical performance, our goal is to develop systems that will serve our club members as valuable learning tools and hopefully produce reasonably good results over the unseen data in the future. Please give us your comments and suggestions about this system and other systems that you would like to see.

Aims of the System Traders Club

First, we do not hope to reveal any "holy grails" to trading. Many of the systems that you will see in the System Club reports include indicators that you may already be familiar with, or that can be easily programmed into the computer. In addition, you will find that many of these systems are not perfect: they will all have drawdowns, and none of them are 100% accurate over the long run. However, we think they deserve serious consideration for actual real-time trading applications. We realize that in the business of trading the futures markets there is no single method that makes money automatically. We believe that a combination of logical system concepts and reasonable entry and exit strategies greatly increases the probability of success in trading. We hope to be able to communicate to you, through these reports, many of the concepts that we have learned over the years.

Second, we hope that these reports will serve both an informative as well as a practical purpose. We will share with you lessons that we have accumulated over the years regarding trading strategies and techniques that have worked in various markets, and the logic behind them. You may also want to view the systems presented as illustrations of general principles and concepts in systematic trading of the futures markets. We hope that you may also apply these concepts to your own favorite markets and time-frames. We would welcome any feedback you may have on possible improvements and different applications of these systems.

Third, we intend to provide many different systems and market combinations in our reports. Multiple systems can be combined together in a portfolio to generate more frequent trades and higher returns than any single system. We believe in diversification; but we also realize that diversification is a function of personality and preference. For this reason, we will be offering many different types of systems, from which you will be able to select systems that suit your personality and preference and combine them into your own diversified trading portfolio.

******************************************************************

MetaStock Efficiency Issues

In order to implement the system several techniques were required that slow performance considerably. Daily commentaries suffer the most. On fast Pentium II processors the delays are bearable, but on a 486 processor it may take 3-5 minutes to update a commentary. System testing with a large data set requires a lot of patience. If charts are limited to a year’s daily data (250 bars more or less), delays will be minimized. Commentaries need only be enabled on setup and actual trade days. Keep open charts to a minimum.


Overview of MetaStock implementation

The 25x25 Bond System enters and exits trades at intraday prices. In order to create a MetaStock 6.50 version it was necessary to develop several indicators to keep track of the intraday entry and exit prices. While this sounds simple enough, MetaStock does not provide global variables or allow circular procedure referencing which would greatly simplify the task.

On top of these shortcomings, MetaStock imposes tremendous processing overhead by not allowing variable assignments within structured code. This means that all values that might be needed in a procedure must be calculated ahead of time, whether required or not, and are constantly updated when referencing previous values.

The 25x25 system only takes long trades. This MetaStock 6.50 system is designed as a template for more complex systems taking both long and short trades based on intraday prices and complex entry/exit procedures.

The main indicator is “25x25 LongEntry” which returns the entry price for a trade for each day in the trade. A zero value indicates no position. The exit day is signaled by setting the entry price negative. Thus, the value returned by a single fml(“25x25 LongEntry”) statement tells you the market position, the entry price, and whether it’s the last day of a trade or not, and can be used to calculate a trade’s open profit and days in the trade. This indicator is the heart of the system. It should be carefully studied to understand how it decides when to enter a trade and whether to continue or exit the trade. It stands alone and the other indicators depend on it.

The second indicator is “25x25 LongExit” which returns the exit price when “25x25 LongEntry” returns a negative value. It simply recalculates the exit stop value which triggered a “25x25 LongEntry” negative value. The result is only used to determine a trade’s closed profit. These two indicators may seem redundant for the 25x25 System, but the technique allows for more complex systems that may stop and reverse on intraday prices. By building corresponding “ShortEntry” and “ShortExit” indicators almost any system can be modeled.

A third indicator, “25x25 TP”, returns the Trade Position and all other variables needed by the MetaStock Expert. While not efficient, the Expert allows the system to be traded without the need to plot the indicators.

Since MetaStock’s System Tester does not handle intraday prices, it can’t test the 25x25 performance. The “25x25 Equity” indicator allows the user to plot an equity curve but, unfortunately, a trade by trade report cannot be generated. This indicator is not required by the system and should only be plotted when testing.

The “25x25 Stop” indicator is another stand alone indicator not required by the system but which is very helpful in seeing the stop values while in a trade. Unlike the other indicators, which should be plotted in separate windows, the “25x25 Stop” can be plotted directly on the daily bar chart. It should be plotted as a dashed line. Note that stop values for days with no trade position are plotted as the days’ low value just to keep the chart properly scaled.

Discrepancies between MetaStock and TradeStation Results

MetaStock and TradeStation do not compute several indicators exactly the same. In order to duplicate the TradeStation design as closely as possible, the following MetaStock indicators were modified:

Relative Strength Index (RSI(4)) results are rounded to two decimal places with the following code: PREC(RSI(4) + .005, 2)

Average True Range(ATR(45)) smoothing is removed with the following code: Mov(ATR(1), 45, S)

Even with these modifications not all 25x25 trades are exactly matched. However, they are very close. MetaStock’s ten year test equity is $51,556.27 compared to TradeStation’s $53,068.75.


*********************************************************************************

{METASTOCK CODE}

{Chuck Le Beau's System Trader's Club}
{ http://traderclub.com }
{ mailto:chuck@traderclub.com }

{"25 x 25" Bond System MetaStock format}


{25X25 LongEntry}

{Returns long trade entry price. }
{A non-zero number if in a long trade. }
{A negative value if the last day of a trade. }

{Note: Modifications to MetaStock indicators }
{were req'd to simulate TradeStation results }
{ RSI: rounded to two decimal places }
{ ATR: Wilder's smoothing removed }

{Variables to avoid duplicate function calls }
PLLV2 := Ref(LLV(L,2),-1);
PLLV25 := Ref(LLV(L,25),-1);

{ Was yesterday a setup day? }
IsSetUp :=
Cum(1) > 50 AND
Ref(PDI(14),-1) > Ref(MDI(14),-1) AND
Ref(ADX(14),-1) > 20 AND
PREC(Ref(RSI(4),-1)+.005,2) < 50;

{Determine initial entry price condition}
EntryPriceCond := Ref(C,-1) + 0.5625;
{Adjust it to enter on open if open is greater}
EntryPriceCond :=
If(O > EntryPriceCond, O, EntryPriceCond);

{Return entry price, zero if no trade. }
If(PREV <= 0,
{Not in a long trade}
If(IsSetUp AND H >= EntryPriceCond,
{Trade entered today, was it stopped?}
If(L <= PLLV25 OR
L <= EntryPriceCond - 2.5,
-EntryPriceCond, {Yes}
EntryPriceCond {No}
),
{Not in trade and not entered today}
0
),
{Have been in trade for over one day. }
{Was it stopped today? }
{Note: BarsSince() gives days in trade }
If(L <= PREV - 2.5, - PREV,
If(BarsSince(PREV=0) > 24,
{More than 24 days in trade}
If(L <= PLLV2, -PREV, PREV),
{Less than 25 days in trade}
If(L <= PLLV25, -PREV,
If(Ref(C,-1) - PREV >
5*Ref(Mov(ATR(1),45,S),-1),
If(L <= PLLV2, -PREV, PREV),
PREV
)
)
)
)
);

25x25 Long Exit

{Returns exit price if last day of long trade}

EntryPrice := Fml("25x25 LongEntry");
ExitingTrade := EntryPrice < 0;

EntryPrice := Abs(EntryPrice);

{Variables to avoid duplicate function calls }
{Lowest low of previous two days }
PLLV2 := Ref(LLV(L,2),-1);
{Lowest low of previous 25 days }
PLLV25 := Ref(LLV(L,25),-1);
TradeDays := If(EntryPrice > 0,
BarsSince(Fml("25x25 LongEntry") = 0), 0);

{ Determine type of stop(s) }
Stop1 :=
ExitingTrade AND TradeDays>24 AND L<=PLLV2;
Stop2 :=
ExitingTrade AND TradeDays>0 AND TradeDays<=24 AND L<=PLLV25;
Stop3 :=
ExitingTrade AND L <= EntryPrice - 2.5;
Stop4 :=
ExitingTrade AND Ref(C,-1) - EntryPrice > 5*Ref(Mov(ATR(1),45,S),-1) AND L <= PLLV2;

{ Determine prices for activated stops }
Stop1Price :=
If(Stop1, Min(O, PLLV2), 0);
Stop2Price :=
If(Stop2, Min(O, PLLV25), 0);
Stop3Price :=
If(Stop3, Min(O, EntryPrice - 2.5), 0);
Stop4Price :=
If(Stop4, Min(O, PLLV2), 0);

{ Assume best stop price stopped the trade }
StopPrice :=
Max(Stop1Price,Max(Stop2Price,
Max(Stop3Price,Stop4Price)));

If(ExitingTrade, StopPrice, 0);

25x25 TP

{ Calculate today's trade position and other }
{ values used by the expert. }

{ LE = LongEntryPrice from indicator }
{ SULE = Tommorow's LongEntry if setup day }
{ SULS = Tommorow's LongStop if setup day }
{ TP = TradePosition +1,0 }
{ TLS = Tomorrow's LongStop if in trade }
{ PRFT = Trade Profit }
{ RISK = Tommorow's theoretical capital risk }


LE := Fml("25x25 LongEntry");
TP := If(LE <> 0, +1, 0);
PRFT := If(LE = 0, 0,
If(LE > 0, C - LE,
Fml("25x25 LongExit") + LE));
TradeDays := If(LE <> 0,
BarsSince(Fml("25x25 LongEntry") = 0), 0);

{Calculate tomorrow's entry prices }
SULE :=
If(TP = 0,
If(PDI(14) > MDI(14) AND ADX(14) > 20 AND
PREC(RSI(4)+.005,2) < 50,
C + .5625, 0), 0);

{Calculate initial stop price}
SULS :=
If(SULE <> 0, Max(LLV(L,25), SULE-2.5), 0);

{Calculate tomorrow's stops }
S1 := If(LE > 0,
If(TradeDays >= 24,
LLV(L,2),
LLV(L,25)), 0);
S2 := If(LE > 0, LE - 2.5, 0);
S3 := If(LE > 0 AND
PRFT >= 5*Ref(Mov(ATR(1),45,S),-1),
LLV(L,2), 0);

{Tomorrow's Long Stop}
TLS := Max(S1, Max(S2, S3));

PRFT := PRFT * 1000;

RISK :=
If(LE > 0, (LE-TLS)*1000,
If(SULE <> 0, (SULE-SULS)*1000, 0));

TP;



The following Trade by Trade Report was produced using the data supplied with this archive
which is continuous contract, back-adjusted, day session only, Bond futures data.

Bond "25" System UA.LNG-Daily 01/04/88 - 01/16/98                            

Date     Time    Type    Cnts     Price    Signal Name    Entry P/L     Cumulative

06/22/88        Buy    1     64^10            
07/13/88        LExit    1     62^22    L25    $ -1725.00     $ -1725.00
09/29/88        Buy    1     64^24            
11/04/88        LExit    1     67^10        $ 2462.50     $ 737.50
05/05/89        Buy    1     67^23            
06/15/89        LExit    1     73^13        $ 5587.50     $ 6325.00
06/20/89        Buy    1     73^14            
08/03/89        LExit    1     77^21        $ 4118.75     $ 10443.75
08/15/89        Buy    1     74^12            
08/22/89        LExit    1     73^24    L25    $ -725.00     $ 9718.75
08/23/89        Buy    1     74^08            
08/29/89        LExit    1     73^17    L25    $ -818.75     $ 8900.00
10/19/89        Buy    1     76^14            
11/27/89        LExit    1     77^01        $ 493.75     $ 9393.75
06/26/90        Buy    1     71^13            
07/10/90        LExit    1     70^27    L25    $ -662.50     $ 8731.25
11/09/90        Buy    1     70^14            
12/17/90        LExit    1     74^23        $ 4181.25     $ 12912.50
08/28/91        Buy    1     77^31            
10/03/91        LExit    1     80^22        $ 2618.75     $ 15531.25
11/06/91        Buy    1     80^05            
12/13/91        LExit    1     82^05        $ 1900.00     $ 17431.25
01/17/92        Buy    1     84^16            
01/29/92        LExit    1     83^07    L25    $ -1381.25     $ 16050.00
05/29/92        Buy    1     83^25            
07/08/92        LExit    1     86^13        $ 2525.00     $ 18575.00
07/15/92        Buy    1     86^17            
08/21/92        LExit    1     89^22        $ 3056.25     $ 21631.25
12/29/92        Buy    1     91^18            
02/10/93        LExit    1     93^31        $ 2306.25     $ 23937.50
02/11/93        Buy    1     93^31            
03/22/93        LExit    1     97^17        $ 3462.50     $ 27400.00
08/09/93        Buy    1     104^20            
09/15/93        LExit    1     108^25        $ 4056.25     $ 31456.25
12/13/94        Buy    1     94^05            
01/20/95        LExit    1     94^15        $ 212.50     $ 31668.75
02/10/95        Buy    1     97^04            
03/21/95        LExit    1     99^06        $ 1962.50     $ 33631.25
03/24/95        Buy    1     99^02            
05/11/95        LExit    1     104^04        $ 4962.50     $ 38593.75
06/13/95        Buy    1     108^18            
07/19/95        LExit    1     107^31        $ -693.75     $ 37900.00
09/19/95        Buy    1     110^13            
10/27/95        LExit    1     112^05        $ 1650.00     $ 39550.00
10/27/95        Buy    1     112^31            
12/07/95        LExit    1     116^16        $ 3431.25     $ 42981.25
08/16/96        Buy    1     108^22            
08/26/96        LExit    1     106^06MM         $ -2600.00     $ 40381.25
10/11/96        Buy    1     108^17            
11/25/96        LExit    1     113^02        $ 4431.25     $ 44812.50
05/08/97        Buy    1     108^21            
06/18/97        LExit    1     110^22        $ 1931.25     $ 46743.75
06/27/97        Buy    1     110^28            
08/04/97        LExit    1     113^28        $ 2900.00     $ 49643.75
09/26/97        Buy    1     115^14            
11/03/97        LExit    1     117^05        $ 1618.75     $ 51262.50
11/06/97        Buy    1     117^15            
12/17/97        LExit    1     119^12        $ 1806.25     $ 53068.75
12/31/97        Buy    1     120^05            

To view an equity chart based on the above trades go to:

http://www.traderclub.com/systems_25.htm

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVER COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.

Page 9

Sideways Channels Exploration

Periodicity: Daily

Formulas

ColumnA: Top
Mov(Peak(1,H,1),45,S)-Ref(Mov(Peak(1,H,1),45,S),-45)

ColumnB: Bottom
Mov(Trough(1,L,1),45,S)-Ref(Mov(Trough(1,L,1),45,S),-45)

Filter:
ColA < 1 AND ColA > -1 AND ColB < 1 AND ColB > -1


Congestion Index

((HHV(C,80)-LLV(C,80))/LLV(C,80))*100

Consolidation breakout (upside)

If(Ref(Fml("congestion index"),-5),<,10, {and} If(Fml("congestion index"),>=,10, {and} If(CLOSE,>,Ref(HHV(C,80),-5), {and} If(Mov(V,5,S),>=,1.5*(Ref(Mov(V,60,S),-5)), +1,0),0),0),0)

Consolidation breakout (downside)

If(Ref(Fml("congestion index"),-5),<,10{%},{and} If(Fml("congestion index"),>=,10{%},

{and} If(CLOSE,<,Ref(LLV(C,80),-5),{and} If(Mov(V,5,S),>=,1.5*(Ref(Mov(V,60,S),-5)),+1,0),0),0),0)

from Richard Estes

Stochastic and RSI System

Mov((RSI(8)-LLV(RSI(8),8))/(HHV(RSI(8),8)-(LLV(RSI(8),8))),5,w)*100

A formula like this works best with confirming indicators. If the MACD 13-34-89 is above the zero line (purple line in window 2 above), it confirms and uptrend and the indicator is usually more accurate. If the MACD 13-34-89 is below the zero line, then a "short" indication from the StochRSI may give better results.StochRSI 13 also gives excellent indicators- in this index it had 4 out of 5 winning signals in two year period. The time between signals is of course longer. Check this method out on your favorite issues.

from Andy G. andyg@megsinet.net

BDPL Trend Filter

cum ((if ((mov((C-ref(C,-1)),21,s))>0,1,-1) * pwr(((mov((pwr(C-ref(C,-1),2)),21,s))+1),.5)) + ((pwr(((pwr(C-ref(C,-1),2))+1),.5))) * if ((C>ref(C,-1)),1,-1))

(fml(" BPDL Trend Filter") - (ref((fml(" BPDL Trend Filter")),-21))) / ((hhv(fml(" BPDL Trend Filter"),21)) - (llv(fml("BPDL Trend Filter"),21)))

BUY -1 SELL 1
 

PFE Indicator

Mov(If(C > Ref(C,-9), Sqr( Pwr( ROC(C,9,$),2) + Pwr(10,2))
/ Sum( Sqr( Pwr( ROC(C,1,$),2) +1), 9),-Sqr( Pwr(
ROC(C,9,$),2) + Pwr( 10,2)) / Sum(Sqr(Pwr(ROC(C,1,$),2)
+1),9)) * 100,5,E)

I use a 80, -80 trendline. I have stuck it in different things at different times. Right now I have it crossing -80 with MACD 4, 35,5, crossing, RSI(9) up one day, and selling pressure down one day.

from Stephen Zodkov

21 Day Trigger

Look at these two oscillators in MSWIN, and compare them to Dahl. Put a 21 day EMA on each, think of the 21 day ema as a trigger. See what they tell you -- Dahl is long term, Ian is shortest term.

Raschke Oscillator = Mov(Fml( "Raschke 3-10" ),16,E)
where "Raschke 3-10" = Mov(C,3,S) - Mov(C,10,S)
Ian Oscillator = (Mov(C,4,S)-Mov(C,9,S)) + (Mov(C,9,S)-Mov(C,17,S))

from Alton Stephens


FibboGatto

FG1:
((c+ref(c,-1)+ref(c,-2)+ref(c,-3)+ref(c,-5)+ref(c,-8)+ref(c,-13)+ref(c,-21)+ref(c,-34)+ref(c,-55)+ref(c,-89)+ref(c,-144))/c)*-1

{{{adding closing price only on fib days 1,2,3,5,8,13,21,34,55,89 and 144 and then dividing by today's close}}}

FG2:
mov(((c+ref(c,-1)+ref(c,-2)+ref(c,-3)+ref(c,-5)+ref(c,-8)+ref(c,-13)+ref(c,-21)+ref(c,-34)+ref(c,-55)+ref(c,-89)+ref(c,-144))/c)*-1,34,e)

{{{ 34 period mov avg of above indicator}}}

Look for crosses of the two indicators for positive or negatives.

Now, there are many whipsaws. I don't recommend this as a *system* at all, just as an indicator. It really highlights some big moves but measuring it with the system test is useless. You must use this as ONE of the tools -- not THE tool.

Regards, Jerry Gatto


Dynamic Zones

{Zamansky&Stendahl's Dynamic Zones for MS6.5 (From the TASC July1997 article). First, for the Lookback Periods plot a 9-day RSI along with StDev adjusted rolling 70-day SMAs; e.g., as can be seen in the article's S&P500-example}

PR:=Input("Enter Periods for RSI",1,100,9);
PB:=Input("Enter Periods for BUY",1,100,70);
PS:=Input("Enter Periods for SELL",1,100,70);
UpZone:=Mov(RSI(PR),PS,S)+(1.3185 *Stdev(RSI(PR),PS));
LwZone:=Mov(RSI(PR),PB,S)-(1.3185 *Stdev(RSI(PR),PB));
UpZone;
LwZone;

Most indicators use a fixed zone for buy and sell signals. Here's a concept based on zones that are responsive to past levels of the indicator.

One approach to active investing employs the use of oscillators to exploit tradable market trends. This investing style follows a very simple form of logic: Enter the market only when an oscillator has moved far above or below traditional trading levels. However, these oscillator-driven systems lack the ability to evolve with the market because they use fixed buy and sell zones. Traders typically use one set of buy and sell zones for a bull market and substantially different zones for a bear market. And therein lies the problem.

Once traders begin introducing their market opinions into trading equations, by changing the zones, they negate the system's mechanical nature. The objective is to have a system automatically define its own buy and sell zones and thereby profitably trade in any market -- bull or bear. Dynamic zones offer a solution to the problem of fixed buy and sell zones for any oscillator-driven system.

The algorithm for the dynamic zones is a series of steps. First, decide the value of the lookback period t. Next, decide the value of the probability Pbuy for buy zone and value of the probability Psell for the sell zone.

The area above and below the dynamic zones constitute the upper and lower 10% boundaries. The zones appear to evolve with the market because they use a rolling 70-day period of indicator values in their construction.

Dahl Variations

Dahl Volume Trend
Mov(C,55,VOL)-Ref(Mov(C,55,VOL),-15)

PVT Dahl Trend:
Mov((PVT()-Ref( PVT(),-15)),55,E)

Smoothed OBV Vol 88:
Mov((OBV()-Mov(OBV(),88,VOL)),55,E)

OBV Dahl Trend:
Mov((OBV()-Ref(OBV(),-15)),55,E)

Compare each to ordinary Dahl or some other trend indicator. Remember, I put a 21 EMA trigger on each.

from Alton Stephens


Dahl Oscillator

I came up with the following to put Dahl into an oscillator format. It is the STOCHRSI formula, replacing RSI with a 55 day Dahl. Does this reflect your thinking on the indicator? It seems to lead changes in Dahl by a period or two, but doesn't seem as fast as the STOCHRSI indicator. Checking a few stocks in my database, there are very few times that it goes below zero, but it will 'peg out' at 100 for significant periods. Perhaps the 14 day smoothing is too short in relation to the 55 period primary indicator. A longer MA period seems to smooth it out significantly, which would seem to defeat the purpose of using an oscillator.

Mov((mov(c,55,simp) - ref(mov(c,55,simp),-15)- LLV(mov(c,55,simp) - ref(mov(c,55,simp),-15),14))/(HHV(mov(c,55,simp) - ref(mov(c,55,simp),-15),14)-(LLV(mov(c,55,simp) - ref(mov(c,55,simp),-15),14))),14,E)*100

from Jim O'Donnell


Full Formula for RSI

{The following is copied from the Formula Field of my *RSI canonical_12_day_for_P_I indicator. Change m if you choose another # of periods n for rsi.}

{I wrote my own "canonical" RSI(12) which coincides with MetaStock's RSI(12) if m=2*n-1 where m is used below in Mov( ,m,E); n - a number of periods in rsi(n). Mind that since I didn't use those particular tricks from the standard rsi(n) to shorten the initial transitional period, this function and standard rsi(n) differ for about month or so from the day 1. It was not that important for me, so I used this shortcut.}

100 - 100/
(1.+ If(Mov(If(P-Ref(P,-1)<0,-(P-Ref(P,-1)),0),23,E)=0,1000000,

Mov(If(P-Ref(P,-1)>0, P-Ref(P,-1), 0),23,E)
/Mov(If(P-Ref(P,-1)<0,-(P-Ref(P,-1)),0),23,E)
))
From: Vitaly Larichev   vitaly@superlink.com  


2 Day Hammer Exploration

Here is an exploration that pattern traders may find useful. It tends to pick up two patterns: a two day hammer, that is if you combined the open for day 1 and close for day 2, the resulting bar would be a hammer, and a pattern similar to a Ross Hook, as I understand a Ross Hook.

Ref((C-L)/(H-L),-1)<=.30 AND

((C-L)/(H-L)) >= .70 AND

Ref(ATR(1),-1) >ATR(10) AND

ATR(1) >= ATR(10)

from Styk


ATR Trailing Stop Loss

For Long:
HHV(H - 2.5*ATR(5),10)

For Short:
LLV(L + 2.5*ATR(5),10)

Furthermore, it may be beneficial to dynamically adjust the number of lookback periods in the HHV() or the LLV() function.
Yngvi Hardarson

Sine-Weighted Moving Average

Formula:
PI:=3.1415926;
SD:=180/6;
S1:=Sin(1*180/6)*C;
S2:=Sin(2*180/6)*Ref(C,-1);
S3:=Sin(3*180/6)*Ref(C,-2);
S4:=Sin(4*180/6)*Ref(C,-3);
S5:=Sin(5*180/6)*Ref(C,-4);
Num:=S1+S2+S3+S4+S5;
Den:=Sin(SD)+Sin(2*SD)+Sin(3*SD)+Sin(4*SD)+Sin(5*SD);
Num/Den


WRO and WSO Indicators

In the May 1998 issue of STOCKS & COMMODITIES, a Traders' Tip provided
MetaStock formulas for calculating support and resistance levels and the WRO
and WSO support and resistance oscillators. The Traders' Tip was based on my
article, "Automated Support And Resistance," also in that issue. Since then,
I've received many E-mail messages from STOCKS & COMMODITIES readers about
it.
While the method was well received, the formulas provided were a bit
confusing and could use some clarification. Further, execution was slow and
screening of large numbers of stocks was difficult. Since then, I have
developed a faster and improved method for computing these indicators.

To begin, the support levels S1 through S6 and the resistance levels R1
through R6 are separate indicators (12 in all), and each should be entered
using the custom indicator option in the indicator builder.


S1 Indicator:
ValueWhen(1, Ref(L,-4) = LLV(L,9), Ref(L,-4))

S2 Indicator:
ValueWhen(2, Ref(L,-4) = LLV(L,9), Ref(L,-4))

S3 Indicator:
ValueWhen(3, Ref(L,-4) = LLV(L,9), Ref(L,-4))

S4 Indicator:
ValueWhen(4, Ref(L,-4) = LLV(L,9), Ref(L,-4))

S5 Indicator:
ValueWhen(5, Ref(L,-4) = LLV(L,9), Ref(L,-4))

S6 Indicator:
ValueWhen(6, Ref(L,-4) = LLV(L,9), Ref(L,-4))

R1 Indicator:
ValueWhen(1, Ref(H,-4) = HHV(H,9), Ref(H,-4))

R2 Indicator:
ValueWhen(2, Ref(H,-4) = HHV(H,9), Ref(H,-4))

R3 Indicator:
ValueWhen(3, Ref(H,-4) = HHV(H,9), Ref(H,-4))

R4 Indicator:
ValueWhen(4, Ref(H,-4) = HHV(H,9), Ref(H,-4))

R5 Indicator:
ValueWhen(5, Ref(H,-4) = HHV(H,9), Ref(H,-4))

R6 Indicator:
ValueWhen(6, Ref(H,-4) = HHV(H,9), Ref(H,-4))

These 12 indicators should be individually plotted with the price data as
points, not lines (click on each and change the style to the one on the
bottom of the style menu). The color red is recommended for the support
levels S1 through S6 and the color blue for the resistance levels R1 through
R6. Entering these formulas and changing the style takes a bit of time, but
once done, they can be saved as a template and easily applied to another
stock.

If you are interested only in computing the WRO and WSO indicators, then
these formulas can be entered as shown here. It is not necessary to compute
S1 through S6 or R1 through R6, since the new formulas are now
self-contained. The new WRO and WSO formulas also contain max and min
functions to ensure that the change for each level is either zero or 1. This
avoids a rare but occasional error when the price change is very large over
a short period.

WSO Indicator:
L1:=ValueWhen(1,Ref(L,-4)=LLV(L,9),Ref(L,-4));
L2:=ValueWhen(2,Ref(L,-4)=LLV(L,9),Ref(L,-4));
L3:=ValueWhen(3,Ref(L,-4)=LLV(L,9),Ref(L,-4));
L4:=ValueWhen(4,Ref(L,-4)=LLV(L,9),Ref(L,-4));
L5:=ValueWhen(5,Ref(L,-4)=LLV(L,9),Ref(L,-4));
L6:=ValueWhen(6,Ref(L,-4)=LLV(L,9),Ref(L,-4));
L1M:= Max(0,Min(1,Int(L1/C)));
L2M:= Max(0,Min(1,Int(L2/C)));
L3M:= Max(0,Min(1,Int(L3/C)));
L4M:= Max(0,Min(1,Int(L4/C)));
L5M:= Max(0,Min(1,Int(L5/C)));
L6M:= Max(0,Min(1,Int(L6/C)));
100*(1-(L1M+L2M+L3M+L4M+L5M+L6M)/6)

WRO Indicator:
L1:=ValueWhen(1,Ref(H,-4)=HHV(H,9),Ref(H,-4));
L2:=ValueWhen(2,Ref(H,-4)=HHV(H,9),Ref(H,-4));
L3:=ValueWhen(3,Ref(H,-4)=HHV(H,9),Ref(H,-4));
L4:=ValueWhen(4,Ref(H,-4)=HHV(H,9),Ref(H,-4));
L5:=ValueWhen(5,Ref(H,-4)=HHV(H,9),Ref(H,-4));
L6:=ValueWhen(6,Ref(H,-4)=HHV(H,9),Ref(H,-4));
L1M:= Max(0,Min(1,Int(L1/C)));
L2M:= Max(0,Min(1,Int(L2/C)));
L3M:= Max(0,Min(1,Int(L3/C)));
L4M:= Max(0,Min(1,Int(L4/C)));
L5M:= Max(0,Min(1,Int(L5/C)));
L6M:= Max(0,Min(1,Int(L6/C)));
100*(1-(L1M+L2M+L3M+L4M+L5M+L6M)/6)

The WRO and WSO oscillators are generally plotted together on a separate
scale from the price plot. It is helpful to add horizontal lines at zero and
100 on this same scale. Horizontal lines can be added by clicking on the
indicator and selecting "horizontal lines" from the Indicator Properties
menu.

These formulas run much faster (by 40 times) than the earlier formulas, and
theyve been tested successfully with both end-of-day data and real-time
data using MetaStock Professional Version 6.51.

-- Mel Widner, Ph.D., 703 791-5910


Gap 1 System

{BUY}
L>Ref(H,-1) OR
Cum(1)=LastValue(Cum(1))

{SELL}
H<Ref(L,-1) OR
Cum(1)=LastValue(Cum(1))


Gap 2 System

{BUY}
N1:=5;
L>Ref(HHV(H,N1),-1) OR
Cum(1)=LastValue(Cum(1))

{SELL}
N1:=5;
H<Ref(LLV(L,N1),-1) OR
Cum(1)=LastValue(Cum(1))


Gap 3 System

{Enter Long}
N1:=5;
L>Ref(HHV(H,N1),-1) OR
Cum(1)=LastValue(Cum(1))

{Exit Long}
N2:=3;
C<Ref(LLV(L,N2),-1) OR
Cum(1)=LastValue(Cum(1))

{Enter Short}
N1:=5;
H<Ref(LLV(L,N1),-1) OR
Cum(1)=LastValue(Cum(1))

{Exit Short}
N2:=3;
C>Ref(HHV(H,N2),-1) OR
Cum(1)=LastValue(Cum(1))

{from Ton Maas}

TSI and TSI Moving Average

100*(Mov(Mov(Roc(C,1,$),25,E),13,E)/Mov(Mov(Abs(Roc(c,1,$)),25,E),13,E))

Mov(Fml("TSI"),20,E)

RSI Divergence Exploration

{A simple exploration filter formula for finding a bullish divergence
between the RSI and the price is shown below. To find a bearish divergence,
replace > with <. The differences in the trough function was found through
an optimization routine and they may not be the best values for your
application.}

Ref(RSI(14),-1)>Trough(1,RSI(14),.8)
AND
Ref(CLOSE,-1)<Trough(1,CLOSE,.2)

{from Dan in Pocatello, ID}

Candle - Hanging Man/Hammer and CCI Trading System

enter long:
(Fml("Candle - Hammer")=1) AND
(CCI(11)<-50)

close long:
((CCI(11)<80) AND
(Ref(CCI(11),-1)>80)) OR
((CCI(11)<-80) AND
Ref(CCI(11)>-80,-1))

enter short:
(Fml("Candle - Hanging Man'")=-1) AND
(CCI(11)>50)

close short:
((CCI(11)>-80) AND
(Ref(CCI(11),-1)<-80)) OR
((CCI(11)<80) AND
Ref(CCI(11)>80,-1))

Stix Indicator

Mov((H+L)/2,5,S)-Mov((H+L)/2,35,S)



RSI Divergence

{RSI(9) DIVERGENCE BUY:}
If(RSI(9) >= HHV(RSI(9),19) AND CLOSE <HHV(CLOSE,19), 1,0) OR
If(CLOSE <= LLV(CLOSE,19) AND RSI(9) > LLV(RSI(9),19),1,0)

{RSI(9) DIVERGENCE SELL:}
If(CLOSE >= HHV(CLOSE,19) AND RSI(9)<HHV(RSI(9),19),1,0) OR
If(RSI(9) <= LLV(RSI(9),19) AND CLOSE > LLV(CLOSE,19),1,0)

{You can substitute any formula for the "RSI(9)"}

{from Mike Arnoldi}


Denvelope (RSI)

pds:=Input("Periods",2,200,14);
sd:=Input("Standard Deviations",.01,10,2);
D1:= RSI(pds);
alpha:=2/(pds+1);
mt:=alpha*D1+(1-alpha)*(If(Cum(1)<pds,D1,PREV));
ut:=alpha*mt+(1-alpha)*(If(Cum(1)<pds,D1,PREV));
dt:=((2-alpha)*mt-ut)/(1-alpha);
mt2:=alpha*Abs(D1-dt)+(1-alpha)*PREV;
ut2:=alpha*mt2+(1-alpha)*PREV;
dt2:=((2-alpha)*mt2-ut2)/(1-alpha);
but:=dt+sd*dt2;
blt:=dt-sd*dt2;
blt;
dt;
but;

{from Adam Hefner
VonHef@email.msn.com }

High Low

Len:=Input("Periods",1,400,89);
(Mov((H - L + Abs(H - Ref(C,-1)) + Abs(L - Ref(C,-1)) ),len,E))/2


{ from Bob bjagow@jps.net }


Cyclical System

from Ton Maas ms-irb@wxs.nl

"Trading Stocks With A Cyclical System" by Jeffrey Owen Katz (TASC-Feb1999).
(Translated for MetaStock 6.5 by Ton Maas -The Netherlands - June1999).
----------------------------------------------------------------------------
(The system's original Easy Language formulas+system were derived from
theabove mentioned TASC article). My guess is that Equis (Alan McNichol) was
not in the possession of them when he wrote the Equis version of the system,
back in the Feb99 Trader's Tips section of TASC).

-----------------------
MetaStock 6.5 Indicator
-----------------------
Name:
Cyclical System - J O Katz

Formula:
{TASC Feb99}
thresh:= {omit whipsaw} 4;
k:= {roc comparison period} 3;
m:= {cycle period} 63;
hld:= {maximum period holding position} 10;
Value1:= {volatility}
Stdev(Mov(C,m,S)-Mov(C,m+k,S),20);
Value2:= {roc, relative comparison ratio}
Mov(C,m,S)-Mov(C,m+k,S);
tv1:= thresh*Value1;
EL:={Enter Long} Value2>tv1;
CL:={Close Long} Ref(Cross(Value2,tv1),-hld);
ES:={Enter Short} Value2<tv1;
CS:={Close Short} Ref(Cross(tv1,Value2),-hld);
JKcycl:=If((EL>0)=1,+10,
If((ES>0)=1,-10,0));
JKcycl

---------------------------
MetaStock 6.5 System Tester
---------------------------
Name:
Jeffrey Owen Katz - Cyclical System
Notes:
{February 1999 - TASC-article (see also TRADERS' TIPS)}

Formulas:
{copy-repeat all that is printed below when applying for the right rule}
thresh:= {omit whipsaw} 4;
k:= {roc comparison period} 3;
m:= {cycle period} 63;
hld:= {maximum period holding position} 10;
Value1:= {volatility}
Stdev(Mov(C,m,S)-Mov(C,m+k,S),20);
Value2:= {roc, relative comparison ratio}
Mov(C,m,S)-Mov(C,m+k,S);
tv1:= thresh*Value1;

Rules:
{Enter Long} Value2>tv1
{Close Long} Ref(Cross(Value2,tv1),-hld)
{Enter Short} Value2<tv1
{Close Short} Ref(Cross(tv1,Value2),-hld)

{After entering the formulas, click OK. Then click Options. On the Testing
page, set the Trade Delay to zero, set Positions to "both", and then set any
other desired options (apart from Optimizing, which is not advisable; leave
the factory default settings). Click OK to save the changes, and then open a
chart and run the system.}

Body Momentum

{I was reading in Perry Kaufman's latest book and he described a little
oscillator he called "Body Momentum". This simply calculates the momentum of
the closes above the opens versus the closes below the opens. The theory is
that as prices move up, closing prices will be higher than opening prices
and vice-versa for down. If this oscillator is above 70 then the whites
(Candle-sticks) dominate and below 30 the blacks are dominant.}

{I also added a 3 day moving average to the calculation (for smoothing).}

{Here is the code:}

Lb:=Input("Look-Back Period?",3,60,14);
B:=CLOSE - OPEN;
Bup:= Sum(B > 0, Lb);
Bdn:= Sum(B < 0, Lb);
BM:=(Bup/(Bup+Bdn))*100;
Mov(Bm,3,S)

{from Adam Hefner}

ST Oscillator

{The StTO is really nothing unique. It is basically a momentum indicator and
plots very similar to the "Chande Momentum Oscillator" with the main
difference being the "StTO" doesn't seem to swing as far as the CMO.
I am not sure how the math is calculated for the CMO, but the (basic) math
for the StTO is: (Close- Yesterday's Close) /
(H-L)}

{Here is the MetaStock code I use:}

{name: StTO}

{Short-term Trend Oscillator}

Lb:=Input("Smoothing Period?",1,60,5);
Num:=C-Ref(C,-1);
Den:=H-L;
Mn:=If(Mov(Num,Lb,S)=0,.01,Mov(Num,Lb,S));
Md:=If(Mov(Den,Lb,S)=0,.01,Mov(Den,Lb,S));
(Mn/Md)*100

{Adam Hefner}


CCI Spike Trading System

{This system uses the momentum Commodity Channel Index (CCI) indicator to
find short-term bottoms in the market. The CCI indicator is extremely
volatile and is generally difficult to use when trading the S&P 500 Index.
We, however, have turned this volatility into a trading advantage by using
the spread or gap between the CCI index and its moving average as a reversal
signal. Specifically if the gap is larger then a certain percentage and CCI
indicator crosses above its moving average we buy the market. The system
remains in the market for a short period of time, exiting the trade as the
indicators cross to the downside. As designed, this system only trades long
the market; it can however be altered to short the market. It is best used
in choppy bullish markets similar to the 1995 bull market.}

{Trading Tactics: This short-term bullish trading system exploits over
extended markets. Futures, options, and mutual fund traders should take full
advantage of this high probability trading system, either by taking outright
positions or avoiding declining markets. The code for this system can be
reversed to trade short positions. This system should be used in place of
longer-term momentum systems in strong bullish choppy type markets. This
system rarely exits at the market intermediate peak, so other exiting
signals may be used in place of our indicator crossover technique.}

{Enter long:}

Ref(CCI(13)/(Mov(CCI(13),3,S)),-1)>1.5 AND
Cross(CCI(13),(Mov(CCI(13),3,S))) AND
Ref(CCI(13),-1)<-25

{Exit long:}

Cross((Mov(CCI(13),3,S)),CCI(13)) AND
Ref(CCI(13),-1)>200

{from Craig Monroe}

LookBack

Formula: X := Stdev(C, 30);
Y := Ref(X, -1);
Z := 1+((X-Y)/X);
If(Cum(1)=1, 20, Min(Max(Prev*Z, 20), 60))

Name: BuyBreak
Formula: HHV(H, LastValue(Fml("LookBack")+Prev-Prev))

Name: BuyExit
Formula: LLV(L, LastValue(Fml("LookBack")/2+Prev-Prev))

Name: SellBreak
Formula: LLV(L, LastValue(Fml("LookBack")+Prev-Prev))

Name: SellExit
Formula: HHV(H, LastValue(Fml("LookBack")/2+Prev-Prev))

Name: BreakWhere
Formula: TopB := Ref(Fml("BuyBreak"), -1);
LowB := Ref(Fml("SellBreak"), -1);
((O+H+L+C)/4 - LowB)*100/(TopB-LowB);

Name: DBS-System
Enter Long: H > Ref(Fml("BuyBreak"), -1)
Close Long: L < Ref(Fml("BuyExit"), -1)
Enter Short: L < Ref(Fml("SellBreak"), -1)
Close Short: H > Ref(Fml("SellExit"), -1)

This is George Pruitt's ("Futures Truth") basic system. It is also the basic
system used as the basis for Thomas Stridsman's year-long series of articles
about system development and tweaking.

Stochastic Momentum

SMI-Plex:=
StochMomentum(2,1,2)+StochMomentum(3,2,1)+StochMomentum(4,2,3)+StochMomentum
(5,3,5)+StochMomentum(8,21,13)+StochMomentum(13,25,2)

SMI13E-Plex:=
Mov(StochMomentum(2,1,2)+StochMomentum(3,2,1)+StochMomentum(4,2,3)+StochMome
ntum(5,3,5)+StochMomentum(8,21,13)+StochMomentum(13,25,2),13,E)

{from Craig DeHaan}

BradCCI

BradCCI: From Bill S.

Plot 1: BradCCI Line 1: (((H+L+C)/3)-Mov(C,28,S))/(.015*Std(C,28))

Plot 2: BradCCI Line 2: Std(((h+l+c)/3),28)

To Line 1, you can also add trend lines, if you wish:

Plot 1:

1. BradCCI Line 1: (((H+L+C)/3)-Mov(C,28,S))/(.015*Std(C,28))
2. trend(100,100)
3. trend(-100,-100)
4. trend(0,0)

McClellan Oscillator

rev. 01/06/97
The McClellan Oscillator, developed by Sherman and Marian McClellan, is a
market breadth indicator that is based on the smoothed difference between
the number of advancing and declining issues on the New York Stock Exchange.
The McClellan Oscillator is one of the most popular breadth indicators. Buy
signals are typically generated when the McClellan Oscillator falls into the
oversold area of -70 to -100 and turns up. Sell signals are generated when
the oscillator rises into the overbought area of +70 to +100 and then turns
down.
Extensive coverage of the McClellan Oscillator is provided in their book
Patterns for Profit .

To plot the McClellan Oscillator, create a composite security in The
DownLoader™ of Advancing Issues minus Declining Issues. Open a chart of the
composite in MetaStock™ and plot this custom indicator.

Mov(CLOSE,19,EXPONENTIAL) - Mov(CLOSE,39,EXPONENTIAL)



McClellan Summation Index

rev. 01/06/97
The McClellan Summation Index is a market breadth indicator developed by
Sherman and Marian McClellan. It is a long-term version of the McClellan
Oscillator and its interpretation is similar to that of the McClellan
Oscillator except that it is more suited to major trend reversals.

For more extensive coverage of the index refer to the book Patterns for
Profit, by Sherman and
Marian McClellan.

McClellan suggests the following rules for use with the summation Index:

Look for major bottoms when the Summation Index falls below -1300.

Look for major tops to occur when a divergence with the market occurs above
a Summation Index level of +1600.

The beginning of a significant bull market is indicated when the Summation
Index crosses above +1900 after moving upward more than 3600 points from its
prior low (e.g. the index moves from -1600 to +2000).

The summation index is plotted by adding the Cum function to the McCllellan
Oscillator. The formula is Cum(Mov(C,19,E) - Mov(C,39,E)).

Jack Landis' Weighted Stochastic
(shortened to Landis)

((Stoch(8,3)*.05)+(Stoch(89,21)*.43)+(Stoch(55,13)*.26)+(Stoch(34,8)*.16)+(S
toch(21,5)*.10))

Landis 3 week s m a
mov(((Stoch(8,3)*.05)+(Stoch(89,21)*.43)+(Stoch(55,13)*.26)+(Stoch(34,8)*.16
)+(Stoch(21,5)*.10)),15,s)

landis multiple time periods
formula #1
mov(((Stoch(8,3)*.05)+(Stoch(89,21)*.43)+(Stoch(55,13)*.26)+(Stoch(34,8)*.16
)+(Stoch(21,5)*.10)),15,s)
formula #2
mov(((Stoch(8,3)*.05)+(Stoch(89,21)*.43)+(Stoch(55,13)*.26)+(Stoch(34,8)*.16
)+(Stoch(21,5)*.10)),10,s)
formula #3
mov(((Stoch(8,3)*.05)+(Stoch(89,21)*.43)+(Stoch(55,13)*.26)+(Stoch(34,8)*.16
)+(Stoch(21,5)*.10)),5,s)
formula #4
mov(((Stoch(8,3)*.05)+(Stoch(89,21)*.43)+(Stoch(55,13)*.26)+(Stoch(34,8)*.16
)+(Stoch(21,5)*.10)),2,s)


multiple slopes of landis
formula #1
slope(mov(((Stoch(8,3)*.05)+(Stoch(89,21)*.43)+(Stoch(55,13)*.26)+(Stoch(34,
8)*.16)+(Stoch(21,5)*.10)),15,s),2)
formula #2
slope(mov(((Stoch(8,3)*.05)+(Stoch(89,21)*.43)+(Stoch(55,13)*.26)+(Stoch(34,
8)*.16)+(Stoch(21,5)*.10)),10,s),2)
formula #3
slope(mov(((Stoch(8,3)*.05)+(Stoch(89,21)*.43)+(Stoch(55,13)*.26)+(Stoch(34,
8)*.16)+(Stoch(21,5)*.10)),5,s),2)

Barnes' Accelleration

The Barnes' Acceleration measures rate of price change as opposed to price
levels

If the Barnes' Acceleration sustains the value of -1 for many days then the
security may be ready to show strong trend or it may already be trending.
Examine the chart for prolonged values at -1. This may indicate an upcoming
stall or turnaround. The number of days needed may be different depending on
the type of issue. A utility stock may need to sustain the -1 level for 10
days whereas a highly volatile technology stock may need to sustain the -1
trend for as little as 5 days.

From the 1981 Technical Commodity Yearbook, Robert M. Barnes
formula 1: if(mov(fml("Barnes' acceleration",2) - ref(fml("Barnes'
acceleration",2),-1),20,e)>0.0001,1, if(mov(fml("Barnes' acceleration",2) -
ref(fml("Barnes'
acceleration",2),-1),20,e)<-0.0001,-1,0))
formula 2: mov((c-ref(c,-1))/ref(c,-1),daysm,e)


Barnes' Adaptive Forecast

Based on the premise that closing price may be predictable based on previous
closes

See (1981 Technical Commodity Yearbook Robert M. Barnes Van Nostrand
Reinhold 1981) for theory and applications.

formula 1: if(fml("Barnes' adaptive forecast",2)>0.05,1,if(fml("Barnes'
adaptive forecast",2)<-0.05,-1,0))
formula 2: mov(c,dayf,e) - ref(mov(c,dayf,e),-1)

Barnes' Moving Average

See (1981 Technical Commodity Yearbook Robert M. Barnes Van Nostrand
Reinhold 1981) for theory and applications.

if (c - mov( c, dayf, e) > pf,
{ Then Action } 1,
{ Else Action } if ( mov( c, dayf, e) - c > pf, { Then } -1, { Else } 0))

{ Notice that comments may be placed within braces }

Chande and Kroll's R2 Indicator

rev. 01/06/97

In their book "The New Technical Trader," Chande & Kroll introduce the r2
indicator. They state that
"the primary use of r2 is as a confirming indicator" and that "it is a
lagging indicator that shows
the strength of the trend."

In MetaStock the r2 formula is:

Pwr(Corr(Cum( 1 ),C,14,0),2)

They also present a smoothed r2 which would be:

Mov(Pwr(Corr(Cum( 1 ),C,14,0),2)*100,14,S)

For interpretation refer to Chande & Kroll's book, as stated above.

Price Action Indicator (PAIN)

If you were only given today's open, high, low and
close, how could you make heads or tails of it?
The Price Action Indicator (PAIN) can help. The formula
returns a single value that weighs
intra-day momentum (C-O), Late Selling Pressure (LSP)
(C-L), and Late Buying Pressure
(LBP) (C-H). The formula is proven by constructing ideal
limit-up and limit down scenarios in bond
futures. The output is shown to be consistent with the
interpretation of Japanese candlestick
patterns. See Michael B. Geraty (1997). "Getting Better
Directions" Futures Vol. 26: Aug.

PAIN

((C-O)+(C-H)+(C-L))/2

Natenberg's Volatility

rev. 01/21/97

Historical volatility is defined by Sheldon Natenberg, as the standard
deviation of the logarithmic
price changes measured at regular intervals of time. In Mr. Natenberg's
book, "Option Volatility &
Pricing," he covers volatility in detail and gives the formula for computing
historical volatility. In
MetaStock, the equivalent formula would be:

Std( Log( C / Ref( C ,-1 ) ) ,10 ) * Sqrt( 365 / 7 )

The above assumes Weekly Data. To utilise this with Daily Data, the
MetaStock formula would be:

Std( Log( C / Ref( C,-1) ),10 ) * Sqrt( 365 )


For further interpretation refer to the book "Option Volatility & Pricing,"
by Sheldon Natenberg.


Nat's Volt
Std(log(c/ref(c,-1)),10)*sqr(365/7)

Tema StochRSI Formula

I use is Tema smoothed and I subtract 0.5 so I
can plot it as a histogram. It's:}

Periods := Input("Enter Tema Smoothing Periods",5,233,13);
Tema(((RSI(Periods) - LLV(RSI(Periods),Periods)) /
((0.0001+HHV(RSI(Periods),Periods)) -
LLV(RSI(Periods),Periods))) -0.5,Periods)

{from Jim Greening}

DEVSTOP

Here's what I think a DEVSTOP is in MetaStock language, described in Kase's
"Trading with the Odds", and better described in Kaufman's "Trading Systems
and Methods". It uses a 2-day range, calculates an average range and SD of
the range, and then draws 4 lines below the high, at 1 range and 0,1,2, and
3 SD's. "2.2" and "3.6" are corrections for skew of the distribution.

AVTR:=Mov(HHV(H,2) - LLV(L,2),20, S);
SD:=Stdev(HHV(H,2) - LLV(L,2),20);
HHV(H-AVTR-3.6*SD, 20);
HHV(H-AVTR-2.2*SD,20);
HHV(H-AVTR-SD,20);
HHV(H-AVTR,20);

from Mikelu


Weekly Pivot Point

{Weekly Pivot Point Projection 8/4/99}

Dw:=If(DayOfWeek()<=Ref(DayOfWeek(),-1),1,0);
{Weekly Typical Price}
PP1:=If(Dw=1,
{then}(Ref(HighestSince(1,Dw=1,H),-1)+
Ref(LowestSince(1,Dw=1,L),-1) +
Ref(C,-1))/3,
{else}0);
{Weekly High}
Wh1:=If(Dw=1,
{then}Ref(HighestSince(1,Dw=1,H),-1),
{else}0);
{Weekly Low}
Wl1:=If(Dw=1,
{then}Ref(LowestSince(1,Dw=1,L),-1),
{else}0);
Wh:=ValueWhen(1,Wh1>0,Wh1);
Wl:=ValueWhen(1,Wl1>0,Wl1);
PP:=ValueWhen(1,PP1>0,PP1);
{Resistance 1}
R1:=(2*PP)-Wl;
{Support 1}
S1:=(2*PP)-Wh;
{Resistance 2}
R2:=(PP-S1)+R1;
{Support 2}
S2:=PP-(R1-S1);
R2;
R1;
S1;
S2;


ATR Modified

prd1:=input("enter ATR period",1,9999,7);
prd2:=(prd1*2)-1;
{max (absolute) of yesterday's close to today's high or today's low}
myatr1:=Max(Abs(Ref(C,-1)-H),Abs(Ref(C,-1)-L));
{max of yesterday's close to today's high or today's low or today's range}
myatr2:=Max(myatr1,H-L);