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Volatility Breakout Exploration

In "Designing Volatility Breakout Systems," Paolo Pezzutti sets intraday entry
and exit conditions. Intraday signals can only be tested using MetaStock Professional. The following system test replicates the TradeStation signals given in the article.

The following exploration is designed to look for this volatility system's setup and reports the buy stop and profit target in columns B and C, respectively. Column A will display a 1 if this is a long signal and a -1 if it is a short signal. To create an exploration in MetaStock, select Explorer from the Tools menu, click New, and enter the following formula:

 

Volatility Breakout Exploration  

Column A : L/S

If((C<Ref(C,-1) AND C>Mov(C,13,S)),1,-1)

Column B: Buy Stop

r:=.5*(H-L);
If((C<Ref(C,-1) AND C>Mov(C,13,S)),C+r,C-r)

Column C: Target

If((C<Ref(C,-1) AND C>Mov(C,13,S)),H,L)

Filter

(C<Ref(C,-1) AND C>Mov(C,13,S)) OR
(C>Ref(C,-1) AND C<Mov(C,13,S))

 

 
--William Golson
Equis International
www.equis.com
 
 
 
Source / From: TOP
http://www.traders.com/Documentation/FEEDbk_docs/TradersTips/TradersTips.html

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