Description
This strategy builds upon the ADT/UDT indicators released. It enables traders to test trading strategies and do analysis on A/D and up down volume strength and their predictive properties.
Inputs |
Description |
ADV | Data Stream containing either the advancing or up volume symbol |
DECL | Data Stream containing either the declining or down volume symbol |
Length | The length of the interested ADT or UDT |
BuyThrustLength | The time window to look for a Buy Thrust move (if negative looking for a downward thrust from Overbought to Oversold) 0 = disable thrust buying |
ShortThrustLength | The time window to look for a Sell Thrust Move (if negative looking for a downward thrust from Overbought to Oversold) 0 = disable thrust selling |
Os_buy | The oversold value for the buy logic |
Ob_buy | The overbought value for the buy logic |
Os_sell | The oversold value for the sell logic |
Ob_sell | The overbought value for the sell logic |
BuyX | Buy on a cross of the absolute value of this input, if the input is negative the cross is above to below, if positive the cross is below to above 0 = disable cross trigger for a buy |
ShortX | Short on a cross of the absolute value of this input, if the input is negative the cross is above to below, if positive the cross is below to above 0 = disable cross trigger short |
Enb_Text | For Future Use |
Pct Target | Profit Target for the trade in % terms |
Stop Loss Target | Sets the % loss limit on the trade, 0 = ignore |
Trade Length | if a number other than 0 sets the number of days to hold the position |
There are two modes of entry in this strategy, a thrust mode and a cross-over mode. Both can be disabled by placing a zero in their values.
It is possible to have both modes on by simply setting their values as desired.
The sample worksheet packaged with the strategy has the following two examples setup. These are setting examples as opposed to real trading strategies. Further optimization, portfolio testing, and selecting the best ADT/UDT length are left up to the trading researcher… you.
Our first example uses the strategy in thrust mode, looking for a particular size move in a particular number of days. The second example uses the strategy in cross-over mode, that is looking for a particular ADT or UDT to cross either above or below a particular value.
Example #1 Buying and Shorting Thrusts
This is the worksheet example that is packaged with the strategy:
- In our example, we are looking at a NYSE ADT length set to 7 bars on our daily chart, so we are looking at an ADT7 calculation.
- For a buy, we are interested in a thrust length of 14 (a move from oversold up to overbought in 14 trading days), or for a sell or short we want a downward thrust of -7 (a move from overbought down to oversold in a 7 day period).
- The levels considered oversold for the short and buy are both 35.8, for overbought 63.
- The cross-over mode is disabled via the buyX and shortX inputs set to zero
- We will exit the trade at 4% profit, stop at a maximum 4% loss, or force an exit if neither is hit within 15 days.
So what is the strategy doing?
At each bar, the strategy is generating a new ADT7 and looking over the past 14 bars to see if we have moved up from 35.8 to 63 in the last 14 trading days. If so, then we want to buy at the next bar.
Or, because we have a –7 in the shortThrustLength input, if our ADT7 has moved from 63 (ob) to 35.8 (os) during 7 trading days, we want to short at the next bar.
Performance Results:
These are the results based on a continuous ES contract.
The long side here looks reasonable and we would want to spend more time optimizing on the short side.
Example #2 – Buying and Shorting Cross Overs
Strategy Settings:
This example also looks at the NYSE advancing and declining issues.
We are :
- Interested in an ADT7
- The buy and short thrust trading logic is disabled via the 0 in buyThrustLenght and ShortThrust length
- We ignore the settings in os_buy, ob_buy, os_sell, ob_sell since we are not in thrust mode
- buyX is set to –50.5 so we want to go long when the ADT7 crosses below 50.5 (since it is a negative number)
- shortX is set to 60 so we want to short when the ADT7 crosses above 60
- Our exit is either a 5% profit, 4% loss or a trade of 7 days which ever happens first.
Here is a tutorial on downloading the workspace and enabling the strategy: http://screencast.com/t/huaZVfu3x