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

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

Recent Highs & Lows

The attached indicators were created primarily to test the helper functions they use. I've been trying to understand and reimplement efficiently someone elses ADXVMA indicator. I noticed one thing it does is walk back n bars in a data series to get the high and the low for the period, and it does this on every bar.
The functions used here only have to walk previous bars when the extreme bar rolls off the back end.

MyLow.zip
MyHigh.zip

Welles Wilder's Summation Based Average

A moving average based on the Welles Wilder Summation divided by n periods. For any n, this is equivalent to the exponential moving average for 2 * n - 1 periods.

MyWellesAvg.zip

Welles Wilder's Summation

This probably isn't very useful by itself, but may be as the basis for other indicators.

MyWellesSum.zip