Monday, June 28, 2010

MySum

Why would I rewrite in indicator as simple as Sum? Because my indicators are designed to be used as components, and 'Sum' is needed in others I'm writing. The storage overhead of Ninjatrader's Sum is at least 2 kilobytes. The storage overhead for JHL.Utility.Sum of n periods is n * 8 + 16 bytes.

MySum.zip

Wednesday, June 23, 2010

My_VMA_ATR_React_V1

Strategy:

Channel: Upper edge is VMA of High plus ATR * multiple. Lower edge is VMA of Low minus ATR * multiple.

Sell if high of prior bar was above the upper edge and high of current bar is below the upper edge. Use high of prior bar as the initial stop.
Exit using VMA of Close as a trailing stop after the first close below the VMA.

Buy if low of prior bar was below the lower edge and low of current bar is above the lower edge.
Exit using VMA of Close as a trailing stop after the first close above the VMA.

My_VMA_ATR_Breakout_V2

This was an attempt to improve the V1 strategy using an exit criteria. This uses a stop based on +/- a mulitple of ATR from the high or low.

Is it an improvement? Hard to tell... net profit decreased(with different optimal parameters), but the SQN is higher though exit efficiency is worse; between them I think I'd still trade V1.

SQN 2.52
Net $5,106
Draw $998
Max loser $496
Efficiency:
Entry 63%
Exit 44%
Settings:
ATRPercent 190
ATRPeriod 6
CMOPeriod 9
VMAPeriod 5
ExitATRPercent 340
ExitATRPeriod 10

My_VMA_ATR_Breakout_V2

Monday, June 21, 2010

My_VMA_ATR_Breakout_V1

This strategy buys or sells on a price breakout from the VMA +- a multiple of ATR.

Optimized on ES-1006 the best performance acheived is:
SQN 2.36
Net $6,162
Draw $1,103
Max loser $796

Settings were:
ATRPercent 200
ATRPeriod 8
CMOPeriod 12
VMAPeriod 5

Entry efficiency was approximately 60%, and exit efficiency was 52%. This is a stop and reverse strategy, which should benefit greatly from finding a better exit strategy.

This strategy only trades during the regular session, but should be used with extended session data for the indicator calculations.

My_VMA_ATR_Breakout_V1

Sunday, June 13, 2010

Volume Weighted Moving Average

The VWMA (Volume-Weighted Moving Average) returns the volume-weighted moving average for the specified price series and period. VWMA is similar to a Simple Moving Average (SMA), but each bar of data is weighted by the bar's Volume. VWMA places more significance on the days with the largest volume and the least for the days with lowest volume for the period specified.

MyVWMA.zip

Variable Exponential Moving Average

The exponential period is modified by the value of the CMO indicator.

MyVMA.zip

Chande Momentum Oscillator

Updated 06/19/2010 to reflect refactoring of JHL.Utility from monolithic source file.

MyCMO.zip