Adaptive volatility system

[fowkesp]

Here's the TS2000i code for a system posted a while ago on Chuck Le Beau's forum. It is a basic breakout system that modifies its behaviour according to changes in longer-term (LT) versus short-term (ST) volatility. I managed to get some quite respectable results from this on indices (eg SPX), but not futures.

You will need to experiment with the parameters and the time-frame of the charts you use - it is possible to obtain some good theoretical results. But would you trade it in practice?

inputs: len(5), LT(21), ST(6), Price(Close);
vars: activity(0), factor(0), Breakout(0);

activity = xaverage(truerange, len);
factor = xaverage(TrueRange, LT)/xaverage(TrueRange, ST);

Breakout = activity * factor;

If marketposition <> 1 then buy Price + Breakout stop;
If marketposition <> -1 then sell Price - Breakout stop;

Paul

 

[Trader333]

Paul,

Thanks for this, code is always useful. I have noted that a few of the systems that I developed worked great on an index but not on the future. As I trade using direct access then SB is not an option I use but I wish you well.


Paul

 

[fowkesp]

Paul,

I don't trade this and never have. It was just some back-testing research (a few tens of hours amongst hundreds ) and I came to the conclusion that it was not worth the bother.

At one point, I ended up with an SPX-based system that traded the ES as a proxy. To get best results, it was necessary to hold the overnight SPX position, but because during the opening 5 minutes or so of the SPX in the morning the price is considerably different from the future, I had to construct a second system for the overnight ES that made sure I wasn't the wrong side of the market if it gapped up or down. It got very complicated

You're right though. Indices are often better than futures as the instrument to trigger trades because there is less noise in there.

Paul

 

[Grey1]

Thanks for the code

Regards