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June 2008
TRADERS' TIPS

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Here is this month's selection of Traders' Tips, contributed by various developers of technical analysis software to help readers more easily implement some of the strategies presented in this and other issues.

You can copy these formulas and programs for easy use in your spreadsheet or analysis software. Simply "select" the desired text by highlighting as you would in any word processing program, then use your standard key command for copy or choose "copy" from the browser menu. The copied text can then be "pasted" into any open spreadsheet or other software by selecting an insertion point and executing a paste command. By toggling back and forth between an application window and the open Web page, data can be transferred with ease.

This month's tips include formulas and programs for:

WEALTH-LAB'S MONTE CARLO-LAB ADD-ON: RSI TIMING MODEL FOR ETFs
WEALTH-LAB: PROFIT WITH ETFs
TRADESTATION: RSI TIMING MODEL FOR ETFs
eSIGNAL: PROFIT WITH ETFs
AMIBROKER: RSI TIMING MODEL FOR ETFs
METASTOCK: RSI TIMING MODEL FOR ETFs
NEUROSHELL TRADER: RSI TIMING MODEL FOR ETFs
BLOCKS SOFTWARE: RSI TIMING MODEL FOR ETFs
STRATASEARCH: RSI TIMING MODEL FOR ETFs
OMNITRADER: RSI TIMING MODEL FOR ETFs
AIQ: RSI TIMING MODEL FOR ETFs
CQG: RSI TIMING MODEL FOR ETFs
ASPEN RESEARCH: RSI TIMING MODEL FOR ETFs
NEOTICKER: RSI TIMING MODEL FOR ETFs
NINJATRADER: RSI TIMING MODEL FOR ETFs
TRADINGSOLUTIONS: RSI TIMING MODEL FOR ETFs
TRADE NAVIGATOR: RSI TIMING MODEL FOR ETFs
VT TRADER: RSI TIMING MODEL FOR ETFs
MISTIGRIFX: RSI TIMING MODEL FOR ETFs

or return to June 2008 Contents

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Editor's note: This month's Traders' Tips are based on Gerald and Trent Gardner's article in this issue, "Profit With ETFs." Code written for Wealth-Lab is already provided by the authors in the article's sidebar. Additional code for Wealth-Lab as well as other programs is presented here.

Readers will find our Traders' Tips section in its entirety at the STOCKS & COMMODITIES website at www.Traders.com in the Traders' Tips area, from where the code can be copied and pasted into the appropriate program. In addition, the code for each program is usually available at the respective software company's website. Thus, no retyping of code is required for Internet users.

For subscribers, code found in Gerald and Trent Gardner's article can be copied and pasted into Wealth-Lab from the Subscriber Area at www.Traders.com. (Login is required.)

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WEALTH-LAB'S MONTE CARLO-LAB ADD-ON: RSI TIMING MODEL FOR ETFs

Since WealthScript code was already provided in the article "Profit With ETFs" by Gerald and Trent Gardner elsewhere in this issue, we'll focus here on a very important aspect of portfolio simulation necessary for achieving good results -- position sizing.

In their article, Gardner and Gardner used 33% of equity sizing so that only three positions could be held at any one time regardless of the number of trade candidates on any given bar. Since the strategy uses a limit order entry, a logical question is, "How would the results have been affected had the trades occurred in a different order or had different candidates been selected?"

We can answer these questions and get a better feel for the robustness of the strategy using the Monte Carlo-Lab add-on to run hundreds or thousands of portfolio simulations using all of the trade candidates' raw data from Wealth-Lab's single $imulation. We performed 1,000 such simulations using MC-Lab options to scramble the trades while maintaining "date clustering." Our results from a five-year simulation (ended April 11, 2008, with 200 lead bars) are shown in the distributions of Figures 1 and 2, which tend to indicate that Wealth-Lab's (single) portfolio simulation results represent typical performance.

--Robert Sucher
www.wealth-lab.com
 

FIGURE 1: WEALTH-LAB, MONTE CARLO PORTFOLIO SIMULATION. From the net profit percent distribution of 1,000 simulations, we can see that we had a 50% chance of achieving an average net profit of at least 63.75% and a 100% chance of a net profit of at least 16%.

FIGURE 2: WEALTH-LAB, MONTE CARLO PORTFOLIO SIMULATION. The maximum drawdown distribution of the 1,000 simulations shows an average drawdown of just under -6%.

WEALTH-LAB CODE FOR TIMING MODEL
var Bar, p: integer;
var H2: float;
PlotStops;
for Bar := FirstActualBar + 200 to BarCount - 1 do
begin
  if LastPositionActive then
  begin
    p := LastPosition;
    H2 := PriceHigh(Bar - 2);
    if Bar + 1 - PositionEntryBar( p ) >= 6 then
      SellAtMarket(Bar + 1, p, 'Time-based')
    else if PriceClose(Bar) > H2 then
      SellAtMarket(Bar + 1, p, 'H2')
    else
      SellAtLimit(Bar + 1, 1.075 * H2, p, 'Limit Target');
  end
  else
  begin
    if PriceClose( Bar ) > SMA( Bar, #Close, 200 ) then
      if (RSI(Bar - 1, #High, 2)> 1) and (RSI(Bar, #High, 2) < 2) then
        BuyAtLimit(Bar + 1, 1.025 * PriceLow(Bar), '');
  end;
end;

The developers of Wealth-Lab have provided an additional tip below.

GO BACK

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WEALTH-LAB: PROFIT WITH ETFs

Editor's note: Wealth-Lab code is already provided in the article "Profit With ETFs" in this issue by authors Gerald and Trent Gardner.

 

GO BACK

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TRADESTATION: RSI TIMING MODEL FOR ETFs

Gerald and Trent Gardner's article in this issue, "Profit With ETFs," describes a portfolio trading system. Individual entries are based on changes in the value of J. Welles Wilder's relative strength index (RSI) and on a 200-bar moving average. Profit targets are based on two-bar changes in price. Positions can have a maximum duration of six bars, not including the bar of entry. EasyLanguage code for this strategy is presented here.

The article also outlines portfolio management rules. These involve limiting the system to a maximum of three positions at a time.

To download the EasyLanguage code for the strategy, go to the TradeStation and EasyLanguage Support Forum (https://www.tradestation.com/Discussions/Forum.aspx? Forum_ID=213). After logging into the support forum, search for the file "Gardner-Etf.eld." If you've been to the support forum before, you may not have to log in when you return.

TradeStation does not endorse or recommend any particular strategy.
 

FIGURE 3: TRADESTATION, PORTFOLIO TRADING. Here is an example of the Gardners' ETF trading strategy applied to a daily chart of S&P Depository Receipts (SPY). Price and trading is displayed in the upper subgraph. The blue line is a 200-day moving average. The lower subgraph displays a two-day RSI. When the RSI drops below 2, the color changes.

Strategy:  Gardener-ETFs
inputs:
    Price( High ),
    AvgLength( 200 ),
    RSIThresholdToday( 2 ),
    RSIThresholdYesterday( 1 ),
    ExitLookback( 2 ),
    ExitPercent( 7.5 ),
     MaxPositionLength( 6 ),
    LimitOffsetPercent( 2.5 ) ;
variables:
    ExitPercentMult( 0 ),
    LimitPercentMult( 0 ),
    MaxBarsSinceEntry( 0 ),
    AvgValue( 0 ),
    RSIValue( 0 ) ;
if CurrentBar = 1 then
    begin
    ExitPercentMult = 1 + 0.01 * ExitPercent ;
    LimitPercentMult = 1 + 0.01 * LimitOffsetPercent ;
    MaxBarsSinceEntry = MaxPositionLength - 1 ;
    end ;
AvgValue = Average( Price, AvgLength ) ;
RSIValue = RSI( Price, 2 ) ;
if RSIValue < RSIThresholdToday
    and RSIValue[1] > RSIThresholdYesterday
    and Price > AvgValue
then
    Buy( "LE" ) next bar Low * LimitPercentMult limit ;
if MarketPosition = 1 and ( Price > High[ExitLookBack]
 or Price > Price[ExitLookBack] * ExitPercentMult or
 BarsSinceEntry >= MaxBarsSinceEntry ) then
    Sell( "LX" ) next bar at market ;

--Mark Mills
TradeStation Securities, Inc.
A subsidiary of TradeStation Group, Inc.
www.TradeStation.com

GO BACK

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eSIGNAL: PROFIT WITH ETFs

For this month's tip, we've provided the formula Rsi_TimingModel.efs based on the formula code given in Gerald and Trent Gardner's article in this issue, "Profit With Etfs."

The study is a long-only strategy configured for backtesting with the Strategy Analyzer. The strategy colors the price bar corresponding to the entry and exit trades. The price bar will be colored green on entry; red for the time-out exit; red for the two-bar high plus 7.5% exit; and yellow for the two-bar high exit. See Figure 4 for a sample eSignal chart.

FIGURE 4: eSIGNAL, GARDNERS' TIMING MODEL. This eSignal chart shows an example trade entered on 4/15/1999 (green bar) and its corresponding exit trade on 4/22/1989 (red bar).

To discuss these studies or download a complete copy of the formula code,
please visit the Efs Library Discussion Board forum under the Forums link
at www.esignalcentral.com or visit our Efs KnowledgeBase at www.esignalcentral.com/support/kb/efs/.
/*********************************
Provided By:
    eSignal (Copyright © eSignal), a division of Interactive Data
    Corporation. 2007. All rights reserved. This sample eSignal
    Formula Script (EFS) is for educational purposes only and may be
    modified and saved under a new file name.  eSignal is not responsible
    for the functionality once modified.  eSignal reserves the right
    to modify and overwrite this EFS file with each new release.
 
Description:        Profit With ETFs
                    by Gerald Gardner and Trent Gardner
Version:            1.0  4/15/2008
Notes:
* June 2008 Issue of Stocks and Commodities Magazine
* Study requires version 8.0 or later.
* Study is configured for back testing only.
**********************************/
function preMain(){
    setStudyTitle("RSI Timing Model");
    setPriceStudy(true);
    setColorPriceBars(true);
    setDefaultPriceBarColor(Color.grey);
    setCursorLabelName("Entry",0);
    setCursorLabelName("Target",1);
    setCursorLabelName("H2",2);
    setPlotType(PLOTTYPE_FLATLINES,0);
    setPlotType(PLOTTYPE_FLATLINES,1);
    setPlotType(PLOTTYPE_FLATLINES,2);
    setDefaultBarFgColor(Color.blue,0);
    setDefaultBarFgColor(Color.red,1);
    setDefaultBarFgColor(Color.red,2);
    setDefaultBarThickness(2,0);
    setDefaultBarThickness(2,1);
    setDefaultBarThickness(2,2);
}
var bInit = false;
var xRSI  = null;
var xSMA  = null;
var BarCounter  = 0;
var bVersion    = null;
var Entry = null;
var Target = null;
var H2 = null;
function main(){
    if (bVersion == null) bVersion = verify();
    if (bVersion == false) return;
    if(bInit == false){
        xRSI  = rsi(2,high());
        xSMA  = sma(200);
        bInit = true;
    }
 
 
    if(xSMA.getValue(0) == null || xRSI.getValue(-1) == null || getCurrentBarIndex() == 0) return;
 
    if(getBarState() == BARSTATE_NEWBAR){
        if(Strategy.isLong()){
            BarCounter++;
        }else{
            BarCounter = 0;
        }
    }
 
    if (Strategy.isLong() == false) {
        Entry = null;
        Target = null;
        H2 = null;
    }
 
    if(Strategy.isLong()){
        Target = (high(-2)*1.075);
        H2     = high(-2);
        if(BarCounter == 6){
            Strategy.doSell("TimeOut Exit", Strategy.MARKET, Strategy.THISBAR);
            setPriceBarColor(Color.red);
        }
        else if(high(0) > (high(-2)*1.075) && low(0) < (high(-2)*1.075)){
            Strategy.doSell("Limit Exit", Strategy.LIMIT, Strategy.THISBAR, Strategy.ALL, (high(-2)*1.075));
            setPriceBarColor(Color.cyan);
        }
        else if(close(0) > high(-2)){
            Strategy.doSell("H2 Exit", Strategy.CLOSE, Strategy.THISBAR);
            setPriceBarColor(Color.yellow);
        }
    }
 
    if(!Strategy.isLong()){
        if(xRSI.getValue(0) < 2 && xRSI.getValue(-1) > 1 && close(0) > xSMA.getValue(0)){
            if(low(0) < (low(-1)*1.025) && high(0) > (low(-1)*1.025)){
                Entry = (low(-1)*1.025);
                Strategy.doLong("Enter Long", Strategy.LIMIT, Strategy.THISBAR, Strategy.DEFAULT, (low(-1)*1.025));
                setPriceBarColor(Color.lime);
                BarCounter = 1;
            }
        }
    }
 
 
    return new Array (Entry, Target, H2);
}
function verify() {
    var b = false;
    if (getBuildNumber() < 779) {
        drawTextAbsolute(5, 35, "This study requires version 8.0 or later.",
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
            null, 13, "error");
        drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=http://www.esignal.com/download/default.asp",
            Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
            null, 13, "upgrade");
        return b;
    } else {
        b = true;
    }
 
    return b;
}

--Jason Keck
eSignal, a division of Interactive Data Corp.
800 815-8256, www.esignalcentral.com

GO BACK

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 AMIBROKER: RSI TIMING MODEL FOR ETFs

In "Profit With ETFs" by Gerald and Trent Gardner in this issue, the authors present a simple trading system based on the relative strength index.
 

FIGURE 5: AMIBROKER, PORTFOLIO SIMULATION. A portfolio equity chart (upper pane) is shown together with the system percentage drawdown chart (lower pane).

Backtesting of the system was performed on a basket on 100 ETFs. Coding such a system and performing portfolio-level backtesting is very easy in AmiBroker. It's just a matter of picking the watchlist to test on, setting up a portfolio money allocation scheme, and setting up the trading entry/exit rules.

The code listing provided here shows a ready-to-use formula. To use it, simply enter the code into the Formula Editor, then choose the Tools-> Backtest menu from the editor. You may need to adjust the From-To date range and define the watchlist for the test using the Filter window. In a few seconds the portfolio-level backtest is finished and you can display equity and test reports.
 

AmiBroker code:
// settings
SetTradeDelays( 0, 0, 0, 0 );
SetOption("MaxOpenPositions", 3 );
SetPositionSize( 33, spsPercentOfEquity );
// trading rules follow
r = RSIa( High, 2 );
/* entry */
Entry = r < 2 AND Ref( r, -1 ) > 1 AND Close > MA( Close, 200 );
EntryPrice = 1.025 * Ref( Low, -1 );
Buy = Ref( Entry, -1 ) AND Low <= EntryPrice;
/* exits */
ApplyStop( stopTypeNBar, stopModeBars, 6 );
ExitAtOpen = Ref( Close > Ref( High, -2 ), -1 );
TargetPrice = 1.075 * Ref( High, -2 );
LimitExit = High >= TargetPrice;
SellPrice = IIf( ExitAtOpen, Open, TargetPrice );
Sell = ExitAtOpen OR LimitExit;

--Tomasz Janeczko
www.amibroker.com

GO BACK

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METASTOCK: RSI TIMING MODEL FOR ETFs

It is possible to replicate the test discussed in Gerald and Trent Gardner's article in this issue, "Profit With ETFs," in MetaStock, but it requires a slightly unusual setup:

1. Select Tools > the Enhanced System Tester
2. Click New
3. Enter a name, "Timing Model for ETFs"
4. Select the Buy Order tab and enter the following formula:
 

 RSI(H,2)<2 AND
      Ref(RSI(H,2),-1)>1 AND
    C>Mov(C,200,s)

5. Set the Order Type to Stop Limit
6. Select the Limit or Stop Price and enter the following formula:
 

L*1.025

7. On the Strategic Delay (bars) line, set Day to 1
8. Select the Sell Order tab and enter the following formula:
 

C>Ref(H,-2) OR
C>Ref(C*1.075,-2) OR
Simulation.CurrentPositionAge>=6

9. Set the Order Type to Stop Limit
10. Select the Limit or Stop Price and enter the following formula:
 

If(C>Ref(H,-2), Ref(H,-2),
If(C>Ref(C*1.075,-2) , Ref(C*1.075,-2), C))

11. Click OK to close the system editor.

Then, when running a trading simulation, you must also make one additional setting change:

1. On the third screen (System Testing Options), click the More button in the lower-right corner. This brings up a new window.
2. Click the Trade Execution tab.
3. Make sure Realistic Market Prices is not checked.
4. Set the Delay Order Opening value to zero.
5. Click OK to close the window.
6. Continue setting up the simulation as you wish.

    Once you have made this setting change, this setting will remain until you change it to something else.

--William Golson
Equis International
www.MetaStock.com

GO BACK

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NEUROSHELL TRADER: RSI TIMING MODEL FOR ETFs

The Rsi system described by Gerald and Trent Gardner in "Profit With ETFs" in this issue can be easily implemented in NeuroShell Trader by combining a few of NeuroShell Trader's 800+ indicators. See Figure 6 for a sample chart demonstration.
 

FIGURE 6: NEUROSHELL TRADER, ETF RSI CHART. Here is a NeuroShell Trader chart that demonstrates Gerald and Trent Gardner's RSI trading system.

To recreate the Gardners' RSI trading strategy, select "New Trading Strategy..." from the Insert menu and enter the following in the appropriate locations of the Trading Strategy Wizard:

Buy long, limit order, if all of the following are true:

A<B( RSI( High, 2 ), 2 )
A>B( Lag( RSI( High, 2), 1), 1 )
A>B( Close, Avg( Close, 200 ) )

Limit Price: Multiply2( 1.025, Low )

Sell long, limit order, if all of the following are true:

A=B(Close, Close )

Limit Price:  IfThenElse( And2( A>B(Close, Lag(High,2)), BarsSinceFill>=X(Trading Strategy, 6) ), Low, Mult2(1.075,High) )

To implement the authors' restriction to not trade an additional Etf if three are already being traded, you can add the following rule to the long-entry conditions or to a second strategy that utilizes the output signals of the first:

A<B ( ChartPageSum ( Position (Trading Strategy, 0) ), 3  )

If you have NeuroShell Trader Professional, you can also choose whether the system parameters should be optimized. After backtesting the trading strategies, use the "Detailed Analysis ..." button to view the backtest and trade-by-trade statistics.

Users of NeuroShell Trader can go to the STOCKS & COMMODITIES section of the NeuroShell Trader free technical support website to download a copy of this or any previously published Traders' Tips.

For more information on NeuroShell Trader, visit www.NeuroShell.com.

--Marge Sherald, Ward Systems Group, Inc.
301 662-7950, sales@wardsystems.com
www.neuroshell.com

GO BACK

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BLOCKS SOFTWARE: RSI TIMING MODEL FOR ETFs

Note: To use the charts and layouts referenced in this article, you will need the free Blocks software. Go to www.Blocks.com to download the software and get detailed information on the available datapacks.

The model presented by Gerald and Trent Gardner in their article in this issue, "Profit With ETFs," can be easily implemented in Blocks. To download a layout built around this model, click the Share button, click the Layouts tab, type in "Profit with ETFs," then click the Search button.

Figure 7 shows the "Profit with ETFs" layout in Blocks. We built this layout using a combination of drag-and-drop conditions from the chart as well as RealCode conditions that let you take advantage of real .Net code. Trade entry markers are displayed in green on the chart and trade exit markers in red.

FIGURE 7: BLOCKS, ETF TRADING MODEL. The scan lights on the watchlist show you which ETFs in the list are meeting the entry and exit rules. The condition markers on the chart show when these rules were met for every point in time on the active symbol.

The watchlist on the left in Figure 7 is a list of all ETFs in the Blocks database filtered to only scan ETFs with a 90-day average volume of more than one million shares. The green and red scan lights on the chart show the ETFs currently passing the entry rules (green) and exit rules (red). We're using a daily time frame here, but you can chart and scan on any time frame.

For more information and to view Blocks tutorial videos, go to www.Blocks.com.

-- Patrick Argo and Bruce Loebrich
Worden Brothers, Inc.

GO BACK

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STRATASEARCH: RSI TIMING MODEL FOR ETFs

During volatile market periods like we're currently seeing, many traders move toward less volatile products as well as diversification across industries. ETFs can be a good option in such cases, so the trading system presented by Gerald and Trent Gardner in their article in this issue, "Profit With ETFs," is quite timely.

In our tests of their system, we recreated a sector containing the 100 ETF symbols given in the article and ran the system as described. Indeed, the system performed as suggested, with many positive qualities. There was a significant profit, high percentage of profitable trades, low drawdowns, and short holding periods. A Monte Carlo analysis also showed that these characteristics carried across the entire range of signals and not just those from the portfolio selection.

FIGURE 8: STRATASEARCH, ETF TRADING SYSTEM. The results show a system with significant profit but with a relatively low average trade return percent.

A primary area of concern for this system, however, is the relatively low return per trade. At roughly 0.70% return per trade, there is very little room for spread and slippage. In fact, figuring even half a percentage point loss for slippage would evaporate the majority of the profits. Nevertheless, the fact that this system had trades in the market only 25% of the time means there is significant potential to make improvements to the system.

As with all other Traders' Tips, additional information -- including plug-ins -- can be found in the Shared Area of the StrataSearch user forum. This month's plug-in contains a prebuilt trading rule that will allow you to include this indicator in your automated searches. Simply install the plug-in and let StrataSearch identify whether there are supporting indicators that might prove helpful.
 

//***************************************
// Position Entry
//***************************************
rsi2(high, 2) < 2 and
ref(rsi2(high, 2), -1) > 1 and
close > mov(close, 200, simple)
Order Type: Limit
low * 1.025
//****************************************
// Position Exit
//****************************************
close > ref(high, -2)
Order Type: Limit
ref(high, -2) * 1.075

--Pete Rast
Avarin Systems Inc
www.StrataSearch.com

GO BACK

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OMNITRADER: RSI TIMING MODEL FOR ETFs

To help implement the system discussed in Gerald and Trent Gardner's article in this issue, "Profit With ETFs," we are providing three files: RsiforEtfs.txt, EtfStop.txt, and GardnerEtfs.ots.

The first file, RsiforEtfs.txt, is an OmniLanguage system that fires entry signals based on the Gardners' RSI conditions. The second file, EtfStop.txt, is an OmniLanguage stop that provides exit signals when the Etf closes above the high two bars prior.

The last file, GardnerEtfs.ots, is the Omnitrader strategy, which implements the trading methodology the Gardners describe. In addition, the OmniLanguage indicator StdRsi.txt has been included.

By default, OmniTrader uses a slightly modified Rsi calculation. For this reason, the StdRsi indicator should be used when using the RsiforEtfs system (Figure 9).

FIGURE 9: OMNITRADER, ETF trading system. Here's a daily price chart of IJY with the Gardners' system and strategy plotted.

To use the indicator, first copy the following files to the appropriate locations:

RSIforETFs.txt (C:\Program Files\Nirvana\OT2008\VBA\Systems), StdRSI.txt (C:\Program Files\Nirvana\OT2008\VBA\Indicators), ETFStop.txt (C:\Program Files\Nirvana\OT2008\VBA\Stops), and GardnerETFs.ots (C:\Program Files\Nirvana\OT2008\Strategies).

Next, open OmniTrader and click Edit:OmniLanguage. You should see the RsiforEtfs, StdRsi, and EtfStop in the Project pane. Click "compile." Now the code is ready to use.

For more information and complete source code, visit http://www.omnitrader.com/ProSI.
 

#System
‘**********************************************************************
‘*   RSI for ETFs  (RSIforETFs.txt)
‘*     by Jeremy Williams
‘*       Dec. 10, 2007
‘*
‘*    Adapted from Technical Analysis of Stocks & Commodities
‘*     June 2008
‘*
‘*  Summary:
‘*  This system generates signals based on the RSI methodology Gerald
‘*  Gardner described in "Profit With ETF's" from the June 2008 edition
‘*  of Technical Analysis of Stocks & Commodities. For more
‘*  information, see Trader's Tips in the June 2008 issue of Technical
‘*  Analysis of Stocks & Commodities.
‘*
‘*  Note: Here, the RSI is based on the close.
‘*
‘*  Parameters:
‘*  Periods -  Specifies the number of periods for the RSI calculation
‘*
‘**********************************************************************
#Param "Periods",2
Dim myRSI    As Single
‘ Calculate the RSI Indicator
myRSI = stdRSI(Periods)
‘ If the entry conditions are met fire a long signal
If (myRSI <2) And (myRSI[1] > 1) Then
    Signal = LongSignal
End if
‘ Plot the System with the trigger line
SetScales(0,100)
PlotLabel(2)
Plot("myRSI",myRSI)
#Stop
‘*******************************************************************
‘*   ETF Stop  (ETFStop.txt)
‘*     by Jeremy Williams
‘*       April 14,2008
‘*
‘*    Adapted from Technical Analysis of Stocks & Commodities
‘*     June 2008
‘*
‘*  Summary:
‘*
‘*  This stop generates exit signals when the a bar closes above its
‘*  high from two bars prior. It is described in Gerald
‘*  Gardner's article "Profit With ETF's" from the June 2008 edition
‘*  of Technical Analysis of Stocks & Commodities. For more
‘*  information, see Trader's Tips in the June 2008 issue of Technical
‘*  Analysis of Stocks &Commodities.
‘*
‘*  Parameters:
‘*
‘*  Period -  Specifies the number of periods used in the calculation
‘*
‘********************************************************************
#Param "Periods",2
‘ If exit conditions are met, fire exit signal
If signal = longsignal And c>h[periods] Then
    Signal = ExitSignal
Else if signal = shortsignal and c<low[periods] then
    Signal = ExitSignal
End if

--Jeremy Williams, Trading Systems Researcher

Nirvana Systems, Inc.
www.omnitrader.com
www.nirvanasystems.com

GO BACK

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AIQ: RSI TIMING MODEL FOR ETFs

The AIQ code for Gerald and Trent Gardner's article in this issue, "Profit With ETFs," is given here. We used the RSI based on the close.

I ran simulations using a list of 447 ETFs. I used a long list because I noticed that there are not enough trades generated from the system when shorter lists are used, leaving much of the capital idle.

Since the trading system uses a limit-order entry, we cannot, in good conscience, use a ranking formula such as relative strength or even the one the authors suggest (alphabet sort) since we do not know which signals will get filled first. In order to get an idea of the effect of trade selection, I ran 20 tests using a random-number generator to choose the trades when there were more than one trade signal per day (Figure 10).

FIGURE 10: AIQ, TRADE SELECTION FOR ETF TRADING SYSTEM. Here is an example of 20 equity curves generated by using a random-number generator to choose which signal to trade.

The average return on investment varied from a low of 6.18% per year to a high of 10.41% per year with an average of 8.34% and a standard deviation of 1.24. I ran these tests putting 100% of available capital into each trade with only one trade allowed open at any time. I also ran a test using relative strength to sort the trades even though it would be difficult to apply this to actual trading. The relative strength curve showed a return on investment of 10.11%, which is on the high side compared to the 20 random curves. The equity curve from this test is shown in Figure 11 and is compared to the S&P 500 index.

FIGURE 11: AIQ, RETURN ON INVESTMENT. This sample equity curve was generated by using long-term relative strength (AIQ formula) to select trades. You can compare this equity curve to the S&P 500 index (SPX).

The AIQ code can be downloaded from the AIQ website at www.aiqsystems.com and also from www.tradersedge systems.com/traderstips.htm.
 

!! PROFITING WITH ETFs
! Authors: Gerald Gardner & Trent Gardner, TASC June 2008
! Coded by: Richard Denning 04/10/08
! CODING ABBREVIATIONS:
H    is [high].
H2    is val([high],2).
L    is [low].
L1     is val([low],1).
C    is [close].
C1    is val([close],1).
O    is [open].
PEP    is {position entry price}.
PD    is {position days}.
!! RSI WILDER
! To convert Wilder averaging to exponential averaging:
! ExponentialPeriods = 2 * WilderPeriod - 1.
U     is C - C1.
D     is C1 - C.
W1    is 2.
rsiLen1    is 2 * W1 - 1.
AvgU     is ExpAvg(iff(U>0,U,0),rsiLen1).
AvgD     is ExpAvg(iff(D>=0,D,0),rsiLen1).
rsi2     is 100-(100/(1+(AvgU/AvgD))).
!! TRADING SYSTEM ENTRY RULES:
! 1) Today's close is greater than 200 SMA and
! 2) Today the two-period RSI crosses below 2
! 3) Enter on a limit order next day at today's low times 1.025
! 4) When more signnals than needed choose by alphabetic sort
!    based on the ETFs name
SetUp    if C > simpleavg(C,200) and rsi2 < 2 and valrule(rsi2 >=2,1).
Buy    if valrule(SetUp,1) and L<L1*1.025 and hasdatafor(210)>=201.
EntryPr    is min(O,L1 * 1.025).
!! TRADING SYSTEM EXIT RULES:
! 1) Profit target on limit set to high of two bars ago * 1.075 or
! 2) Next day profit exit if today's close is greater than high of
!          two bars ago then exit at market next day or
! 3) Exit next bar at market if position days >= 6.
ProfitTgt  if H > H2 * 1.075.
ProfitNext if C > H2.
TimeExit   if PD >= 6.
Exit    if ProfitTgt or valrule(ProfitNext,1) or valrule(TimeExit,1).
ExitPrice is iff(ProfitTgt and not valrule(ProfitNext,1) and
       not valrule(TimeExit,1),H2*1.075,iff(valrule(ProfitNext,1),O,
       iff(valrule(TimeExit,1),O,-99))).

--Richard Denning, AIQ Systems
richard.denning@earthlink.net

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CQG: RSI TIMING MODEL FOR ETFs

Here is the CQG trading system definition to go with Gerald and Trent Gardner's article in this issue, "Profit With ETFs."

A CQG component pac is available at the CQG website (http://www.cqg.com/Support/Downloads.aspx) to install this system in CQG.
 

Trading system: ETFSystem
    Parameters:
      Target = 1.075
    Costs: 0.00 per trade
    Entry#1
      Name: t1
      Type: Long
      Order: Limit
      Signal: P1:= (Low(@))*1.025;
       t1:= RSI(@,Period:=2,InputChoice:=#High) < 2 AND
            RSI(@,Period:=2,InputChoice:=#High)[-1] > 1 AND
            Close(@) > MA(@,MAType:=Sim,Period:=200,InputChoice:=#Close);
 
      t1[-1]
      And
      Low(@) <= P1[-1]
      Price: P1:= (Low(@))*1.025;
 
      P1[-1]
      Limit Price: 0
      Size: 1
      Exit#1 (on)
        Name: x1b
        Order: Limit
        Signal: BarsSinceEntry(@,EntryOffset:=0,EntryType:=All,WhichTrades:=ThisTradeOnly) > 1
         and
        High(@)[-1]>  High(@)[-3]*Target
         and
        Low(@)[-1]>= High(@)[-3]*Target
 
        Price:  High(@)[-3]*Target
        Limit Price: 0
        Size: OpenPositionEntrySize(@,WhichTrades:=ThisTradeOnly)
      Exit#2 (on)
        Name: x2
        Order: Market
        Signal: X2:= Close(@)>  High(@)[-2];
 
        X2[-1]
        Price: Open(@)
        Limit Price: 0
        Size: OpenPositionEntrySize(@,WhichTrades:=ThisTradeOnly)
      Exit#3 (on)
        Name: x3
        Order: Market
        Signal:  BarsSinceEntry(@,EntryOffset:=0,EntryType:=All,WhichTrades:=ThisTradeOnly)>=6
        Price:  Open(@)
        Limit Price: 0
        Size: OpenPositionEntrySize(@,WhichTrades:=ThisTradeOnly)

--Thom Hartle
www.CQG.com

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ASPEN RESEARCH: RSI TIMING MODEL FOR ETFs

The timing model presented in "Profit With ETFs" by Gerald and Trent Gardner in this issue can be easily recreated in Aspen Graphics Workstation 4.20. Aspen also offers several ways to view the timing model.

Figure 12 is an overlay on a candlestick chart. It displays not only the bar in which one should enter and exit a position in IGM, but also at what price points to set the limits.

FIGURE 12: NEOTICKER, ETF trading system. The RSI and moving average system plots current equity in NeoTicker.

Figure 13 presents another way of looking at the same time period for IGM. An Aspen color rule is used to indicate which bars offer good entry and exit points according to the timing model.

FIGURE 13: NEOTICKER, PERORMANCE REPORT. For a performance report that provides detailed analysis of the system, right-click "system plot" on the chart and select Trading System> Open Performance Viewer.

The best approach in Aspen is to create a formula that returns a minimum number of values. This formula can be used to serve multiple-view applications and also email alerts and alarms.

Aspen users can download the complete timing model page suite from: http://www.aspenres.com/forums/viewtopic.php?f=3&t=18.
 

timingModel(input, period = 200) = begin
    retval = nonum
    testval  = timingModelInTrade($1, 200)
 
    if(testVal == 1 and timingModelInTrade($1, 200)[1] != 1 ) then
       retval = ‘buy'|ftiny|clr_green|vertical|arrow|below

    if(testVal == 2 and timingModelInTrade($1, 200)[1] != 2 ) then
       retval = ‘sell'|ftiny|clr_red|vertical|arrow|above
 
    retval
end

timingPositionVals(input, period = 200, entry = 1.00025, exit = 1.00075) = begin
    retval = nonum
 
    testVal = timingModelInTrade($1, period)
    testVal2 = timingModelInTrade($1, period)[1]

    if(testVal == 1) then retval = $1.low[1] * entry

    if(testVal == 2 and testVal2 != 2) then retval = $1 * exit

    retval
end

timingModelInTrade(series, period = 200) = begin
retval = timingModelInTrade($1)[1]
percPrice = $1 * 1.075

    if(rsi($1.high,2) < 2 and rsi($1.high, 2)[1] > 1 and
       $1 > savg($1, period) ) then retval = 1

    if(retval == 1 and $1 > $1.high[2] or
       $1 > percPrice) then retval = 2

    if( retval == nonum) then retval = 0

    retval
end

For a free trial of Aspen Graphics, please contact our sales department at sales@aspenres.com, 800 359-1121, or visit our website at http://aspenres.com.

--Jeremiah Adams
Aspen Research Group, LTD
800 359-1121, support@aspenres.com

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NEOTICKER: RSI TIMING MODEL FOR ETFs

Here is the NeoTicker formula language that can be used to implement the RSI and moving average trading system presented in "Profit With ETFs" by Gerald and Trent Gardner.

The trading system is named "TASC Profit with ETF" (Listing 1). It has two parameters: the RSI period and moving average period. Both are integer values that must be greater than 1. The system plots current equity (Figure 14).

FIGURE 14: NEOTICKER, ETF trading system. The RSI and moving average system plots current equity in NeoTicker.

The trading system is coded according to the code given in the article's sidebar. It trades only the long side. For a performance report that provides detailed analysis of the system, right-click "system plot" on the chart and select Trading System> Open Performance Viewer (Figure 15).
 

FIGURE 15: NEOTICKER, PERFORMANCE REPORT. For a performance report that provides detailed analysis of the system, right-click "system plot" on the chart and select Trading System> Open Performance Viewer.

A downloadable version of this system will be available at NeoTicker's blog site.
 

LISTING 1
RSIval := rsindexmod (high, param1);
longlimit ((openpositionflat > 0) and
           (RSIval < 2) and (RSIval(1) > 1) and
           (barsnum > param2) and (data1 > average(data1, param2)),
           low*1.025,
           defaultordersize,
           "long limit signal");
longexitatmarket((openpositionlong > 0) and
                 ((data1 > high(2)) or
                  ((barsnum-openpositionentrybar) > 6)),
                  defaultordersize,
                  "exit stop");
longexitlimit(openpositionlong > 0,
              h(2)*1.075,
              defaultordersize,
              "exit target");
plot1 := currentequity;

--Kenneth Yuen, TickQuest Inc.
www.tickquest.com

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NINJATRADER: RSI TIMING MODEL FOR ETFs

The timing model strategy discussed in "Profit With ETFs" by Gerald and Trent Gardner in this issue is available for download from www.ninjatrader.com/SC/June2008SC.zip.

FIGURE 16: NINJATRADER, ETF TIMING MODEL. The screenshot shows the TimingModel strategy backtested in the Strategy Analyzer against the DIA ETF.

Once it is downloaded, from within the NinjaTrader Control Center window, select the menu File > Utilities > Import NinjaScript and select the downloaded file. This strategy is for NinjaTrader version 6.5 or greater.

You can review the strategy's source code by selecting the menu Tools > Edit NinjaScript > Strategy from within the NinjaTrader Control Center window and selecting TimingModel.

NinjaScript strategies are compiled DLLs that run native, not interpreted, which provides you with the highest performance possible.

--Raymond, NinjaTrader, LLC
www.ninjatrader.com

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TRADINGSOLUTIONS: RSI TIMING MODEL FOR ETFs

In "Profit With ETFs" in this issue, authors Gerald and Trent Gardner outline an entry/exit system based on several simple rules. The TradingSolutions formula for this system is shown here and is also available as a function file that can be downloaded from the TradingSolutions website (www.tradingsolutions.com) in the Free Systems section.
 

System Name: ETF Timing System
Inputs: High,, Close
Enter Long when all of these are true:
1. LT (RSI (High, 2), 2)
2. GT (Lag (RSI (High, 2), 1), 1)
3. GT (Close, MA (Close, 200))
4. LE (Close, Lag (High, 2))
Exit Long when any of these are true:
1. GT (Close, Lag (High, 2))
2. GE (Close, Mult (1.075, Lag (High, 2)))
3. Rule_ExitOnLength(6,0)

--Gary Geniesse
NeuroDimension, Inc.
800 634-3327, 352 377-5144
www.tradingsolutions.com

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 TRADE NAVIGATOR: RSI TIMING MODEL FOR ETFs

Authors Gerald and Trent Gardner in their article in this issue, "Profit With ETFs," offer timing rules for trading ETFs.

A complete mechanical trading system based on this strategy can be accessed by downloading the specially created file, "SC0608." Platinum owners of Trade Navigator can create their own rules and use the strategy for backtesting and charting; gold owners are able to download the file and apply the strategy to a chart.

Strategies are created by clicking Edit and then Strategies. The strategy consists of four rules, one entry, and one exit. From within the New Strategy window, click New Rule, then create the rule.

Use the sample chart in Figure 17 and following table to construct the rules according to specifications.

FIGURE 17: TRADE NAVIGATOR, GARDNER TIMING MODEL. Here is the Gardners' RSI and moving average timing model applied to a chart of AGG (ishares Lehman Aggregate Bond).

Rules:
Rule Name:    Beyond 7.5% Increase of Two Days Ago
Condition:    IF True
Action:    Long Exit (SELL)
Order Type:    Limit
Limit Price:    Close.2 * 1.075
Exit on Entry Bar:    True
_____________________________________________________________
Rule Name:    Exceed High of Two Days Ago
Condition:    IF True
Action:    Long Exit (SELL)
Order Type:    LIMIT
Limit Price:    High.2
Exit on Entry Bar:    True
_____________________________________________________________
Rule Name:    Six Day Exit
Condition:    IF Bars Since Entry >= 6
Action:    Long Exit (SELL)
Order Type:    MARKET
Exit on Entry Bar:    False
_____________________________________________________________
Rule Name:   Trade Entry Long
Condition:   IF RSI (High, 2, False) < 2 And RSI (High, 2, False) > 1 And Close > Moving Avg. (Close, 200)
Action:      Long Entry
Order Type:  Market

After creating the four rules, save the strategy.

The downloadable file for this month includes a symbol group made up of ETFs. This should provide the basket of symbols that the article endorses for use with the strategy. To download the file, click on File and then Update Data. Click Download Special File and type "SC0608." Click Start, and then follow the upgrade prompts.

--Dave Kilman
Genesis Financial Technologies, Inc.
www.GenesisFT.com

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VT TRADER: RSI TIMING MODEL FOR ETFs

In "Profit With ETFs" in this issue, Gerald and Trent Gardner discuss the use of a simple RSI and moving average trading system to trade ETFs (or other tradable instruments). The VT Trader code and instructions for recreating the Gardners' trading system are as follows.
 

FIGURE 18: VT TRADER, GARDNER TRADING SYSTEM. Here is the Gardners' RSI and moving average trading system on a GBP/JPY one-hour candle chart.

 
 

Gardner's RSI/Moving Average Trading System
1. Navigator Window>Tools>Trading Systems Builder>[New] button
2. In the Indicator Bookmark, type the following text for each field:
Name: TASC - 06/2008 - Gardner's Traders Tip
Short Name: tasc_Gardmer
Label Mask: TASC - 06/2008 - Gardner's Traders Tip (MA: %pr1%,%tp1%,%mTp1%,
   RSI: %rsipr%,%rsitpr%, RSI OB: %RSIOBL%, RSI OS: %RSIOSL%, Exit Bars: %ExitTradeBars%)
3. In the Input Bookmark, create the following variables:
[New] button... Name: pr1 , Display Name: MA Price , Type: price , Default: Close
[New] button... Name: tp1 , Display Name: MA Periods , Type: integer , Default: 200
[New] button... Name: mTp1 , Display Name: MA Type , Type: MA Type , Default: Simple
[New] button... Name: rsipr , Display Name: RSI Price , Type: Price , Default: Close
[New] button... Name: rsitpr , Display Name: RSI Periods , Type: integer , Default: 2
[New] button... Name: RsiOBL , Display Name: RSI Overbought Level , Type: integer , Default: 98
[New] button... Name: RSIOSL , Display Name: RSI Oversold Level , Type: integer , Default: 2
[New] button... Name: ExitTradeBars , Display Name: Exit Trade After n-Bars? ,
   Type: integer (with bounds) , Default: 6
4. In the Output Bookmark, create the following variables:
    [New] button...
Var Name: MA
Name: MA
* Checkmark: Indicator Output
Select Indicator Output Bookmark
Color: blue
Line Width: slightly thicker
Line Style: solid
Placement: Price Frame
    [OK] button...
    [New] button...
Var Name: RSIndex
Name: RSI
* Checkmark: Indicator Output
Select Indicator Output Bookmark
Color: green
Line Width: thin
Line Style: solid
Placement: Additional Frame 1
    [OK] button...
    [New] button...
Var Name: RSIOB
Name: RSI Overbought Level
* Checkmark: Indicator Output
Select Indicator Output Bookmark
Color: red
Line Width: thin
Line Style: dashed
Placement: Additional Frame 1
    [OK] button...
    [New] button...
Var Name: RSIOS
Name: RSI Oversold Level
* Checkmark: Indicator Output
Select Indicator Output Bookmark
Color: red
Line Width: thin
Line Style: dashed
Placement: Additional Frame 1
    [OK] button...
    [New] button...
Var Name: LongEntrySignal
Name: LongEntrySignal
Description: Long Entry Signal Alert
* Checkmark: Graphic Enabled
* Checkmark: Alerts Enabled
Select Graphic Bookmark
Font [...]: Up Arrow
Size: Medium
Color: Blue
Symbol Position: Below price plot
Select Alerts Bookmark
Alerts Message: Long Entry Signal!
Choose sound for audible alert
[OK] button...
[New] button...
Var Name: LongExitSignal
Name: LongExitSignal
Description: Long Exit Signal Alert
* Checkmark: Graphic Enabled
* Checkmark: Alerts Enabled
Select Graphic Bookmark
Font [...]: Exit Sign
Size: Medium
Color: Blue
Symbol Position: Above price plot
Select Alerts Bookmark
Alerts Message: Long Exit Signal!
Choose sound for audible alert
[OK] button...
[New] button...
Var Name: ShortEntrySignal
Name: ShortEntrySignal
Description: Short Entry Signal Alert
* Checkmark: Graphic Enabled
* Checkmark: Alerts Enabled
Select Graphic Bookmark
Font [...]: Down Arrow
Size: Medium
Color: Red
Symbol Position: Above price plot
Select Alerts Bookmark
Alerts Message: Short Entry Signal!
Choose sound for audible alert
[OK] button...
[New] button...
Var Name: ShortExitSignal
Name: ShortExitSignal
Description: Short Exit Signal Alert
* Checkmark: Graphic Enabled
* Checkmark: Alerts Enabled
Select Graphic Bookmark
Font [...]: Exit Sign
Size: Medium
Color: Red
Symbol Position: Below price plot
Select Alerts Bookmark
Alerts Message: Short Exit Signal!
Choose sound for audible alert
[OK] button...
[New] button...
Var Name: OpenBuy
Name: OpenBuy
Description: Automated Open Buy Trade Command
* Checkmark: Trading Enabled
Select Trading Bookmark
Trade Action: Buy
Traders Range: 5
Hedge: no checkmark
EachTick Count: 1
[OK] button...
[New] button...
Var Name: CloseBuy
Name: CloseBuy
Description: Automated Close Buy Trade Command
* Checkmark: Trading Enabled
Select Trading Bookmark
Trade Action: Sell
Traders Range: 5
Hedge: no checkmark
EachTick Count: 1
[OK] button...
[New] button...
Var Name: OpenSell
Name: OpenSell
Description: Automated Open Sell Trade Command
* Checkmark: Trading Enabled
Select Trading Bookmark
Trade Action: Sell
Traders Range: 5
Hedge: no checkmark
EachTick Count: 1
[OK] button...
[New] button...
Var Name: CloseSell
Name: CloseSell
Description: Automated Close Sell Trade Command
* Checkmark: Trading Enabled
Select Trading Bookmark
Trade Action: Buy
Traders Range: 5
Hedge: no checkmark
EachTick Count: 1
[OK] button...
5. In the Formula Bookmark, copy and paste the following formula:
{Provided By: Visual Trading Systems, LLC & Capital Market Services, LLC (c) Copyright 2008}
{Description: RSI & Moving Average Trading System}
{Notes: June 2008 T.A.S.C. magazine - Gerald & Trend Gardner's Traders Tip}
{tasc_Gardner Version 1.0}
{Moving Average}
MA:= mov(pr1,tp1,mTp1);
{Relative Strength Index}
rsi_r:= (rsipr - ref(rsipr,-1));
rsi_rs:= Wilders(if(rsi_r>0,rsi_r,0),rsitpr) / Wilders(if(rsi_r<0,Abs(rsi_r),0),rsitpr);
RSIndex:= 100-(100/(1+rsi_rs));
RSIOB:= RsiOBL;
RSIOS:= RSIOSL;
{Define Final Trade Entry/Exit Criteria}
LongEntryCond1:= C>MA;
LongEntryCond2:= RSIndex<RSIOS;
LongEntryCond3:= ref(RSIndex,-1)>(RSIOS-1);
ShortEntryCond1:= C<MA;
ShortEntryCond2:= RSIndex>RSIOB;
ShortEntryCond3:= ref(RSIndex,-1)<(RSIOB+1);
LongEntrySetup:= Cross((LongEntryCond1+LongEntryCond2+LongEntryCond3),2.5);
LongExitSetup:= Cross((ShortEntryCond1+ShortEntryCond2+ShortEntryCond3),2.5);
ShortEntrySetup:= Cross((ShortEntryCond1+ShortEntryCond2+ShortEntryCond3),2.5);
ShortExitSetup:= Cross((LongEntryCond1+LongEntryCond2+LongEntryCond3),2.5);
{Define Final Trade Entry/Exit Signal Criteria}
LongEntrySignal:= (LongTradeAlert=0 AND ShortTradeAlert=0 AND LongEntrySetup) OR
                  (LongTradeAlert=0 AND Cross(0.5,ShortTradeAlert) AND LongEntrySetup) OR
                  (LongTradeAlert=0 AND ShortExitSetup);
LongEntryPrice:= valuewhen(1,LongEntrySignal,C);
BarsSinceLongEntry:= BarsSince(LongEntrySignal);
LongEntryInitialStop:= if(LongTradeAlert=1 OR LongEntrySignal OR LongExitSignal,
                       LongEntryPrice - (ref(C,-2)*0.75), null);
LongEntryProfitTarget:= if(LongTradeAlert=1 OR LongEntrySignal OR LongExitSignal,
                        LongEntryPrice + (ref(C,-2)*0.75), null);
LongExitSignal:= (LongTradeAlert=1 AND Cross(LongEntryInitialStop,C))
              OR (LongTradeAlert=1 AND Cross(C,LongEntryProfitTarget))
              OR (LongTradeAlert=1 AND BarsSinceLongEntry=ExitTradeBars)
              OR (LongTradeAlert=1 AND LongExitSetup);
LongExitPrice:= valuewhen(1,LongExitSignal,C);
ShortEntrySignal:= (ShortTradeAlert=0 AND LongTradeAlert=0 AND ShortEntrySetup) OR
                   (ShortTradeAlert=0 AND Cross(0.5,LongTradeAlert) AND ShortEntrySetup) OR
                   (ShortTradeAlert=0 AND LongExitSetup);
ShortEntryPrice:= valuewhen(1,ShortEntrySignal,C);
BarsSinceShortEntry:= BarsSince(ShortEntrySignal);
ShortEntryInitialStop:= if(ShortTradeAlert=1 OR ShortEntrySignal OR ShortExitSignal,
                        ShortEntryPrice + (ref(C,-2)*0.75), null);
ShortEntryProfitTarget:= if(ShortTradeAlert=1 OR ShortEntrySignal OR ShortExitSignal,
                         ShortEntryPrice - (ref(C,-2)*0.75), null);
ShortExitSignal:= (ShortTradeAlert=1 AND Cross(C,ShortEntryInitialStop))
               OR (ShortTradeAlert=1 AND Cross(ShortEntryProfitTarget,C))
               OR (ShortTradeAlert=1 AND BarsSinceShortEntry=ExitTradeBars)
               OR (ShortTradeAlert=1 AND ShortExitSetup);
ShortExitPrice:= valuewhen(1,ShortExitSignal,C);
{Simulated Open Trade Determination and Trade Direction}
LongTradeAlert:= SignalFlag(LongEntrySignal,LongExitSignal);
ShortTradeAlert:= SignalFlag(ShortEntrySignal,ShortExitSignal);
{Create Auto-Trading Functionality}
OpenBuy:= LongEntrySignal and (eventCount('OpenBuy')=eventCount('CloseBuy'));
CloseBuy:= LongExitSignal and (eventCount('OpenBuy')>eventCount('CloseBuy'));
OpenSell:= ShortEntrySignal and (eventCount('OpenSell')=eventCount('CloseSell'));
CloseSell:= ShortExitSignal and (eventCount('OpenSell')>eventCount('CloseSell'));
6. Click the "Save" icon to finish building the Gardner's trading system.

To attach the trading system to a chart (Figure 18), select the "Add Trading System" option from the chart's contextual menu, select "TASC - 06/2008 -- Gardners Traders Tip" from the trading systems list, and click the [Add] button.

To learn more about VT Trader, visit www.cmsfx.com.

--Chris Skidmore, CMS Forex
(866) 51-CMSFX, trading@cmsfx.com
www.cmsfx.com

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MISTIGRIFX: RSI TIMING MODEL FOR ETFs

Here is code for use in Mistigri FX to go with the article, "Profit With ETFs," by Gerald and Trent Gardner in this issue.
 

//+--------
+
//|                                TASC062008-TimingModel.mq4 |
//|                            Copyright © 2008, MistigriFX.com |
//|                                   http://www.MistigriFX.com |
//+--------
+
#property copyright "Copyright © 2008, MistigriFX.com"
#property link      "http://www.MistigriFX.com"
//+--------
+
//| expert extern inputs                                             |
//+--------
+
extern double        Lots = 0.01;
extern int     TakeProfit = 50;
extern int       StopLoss = 50;
extern int    MagicNumber = 98878787;
//+--------
+
//| expert Global Vars                                               |
//+--------
+
datetime  CurrTime = 0;
datetime  PrevTime = 0;
  string   Symbole = "";
     int TimeFrame = 0;
     int    Ticket = 0;
//+--------
+
//| expert init / deinit                                             |
//+--------
+
int init()
{
    CurrTime = iTime( Symbole, TimeFrame, 1 );
    PrevTime = iTime( Symbole, TimeFrame, 2 );
     Symbole = Symbol();
   TimeFrame = PERIOD_D1;
// The system was developped for Daily data but you could replace
// PERIOD_D1 with 0 for testing other timeframes.
   return(0);
}
int deinit() { return(0); }
//+--------
+
//| expert start function                                            |
//+--------
+
int start()
{
   CurrTime = iTime( Symbole, TimeFrame, 1 );
   if( CurrTime != PrevTime )
   {
         double  RSI1 =   iRSI( Symbole, TimeFrame, 2, PRICE_HIGH, 1 );
         double  RSI2 =   iRSI( Symbole, TimeFrame, 2, PRICE_HIGH, 2 );
         double   SMA =    iMA( Symbole, TimeFrame, 200, 0, MODE_SMA, PRICE_CLOSE, 1 );
         double CLOSE = iClose( Symbole, TimeFrame, 1 );
         double CLOS2 = iClose( Symbole, TimeFrame, 3 );
         double HIGH2 =  iHigh( Symbole, TimeFrame, 3 );
 
      //----
      if( CountAll( Symbole, MagicNumber ) == 0 )
      {
         if( RSI1 < 2.0 && RSI2 > 1.0 && CLOSE > SMA )
         {
            RefreshRates();
            Ticket = OrderSend( Symbole, OP_BUY, Lots, Ask, 0, Ask - ( StopLoss * Point ),
                     Bid + ( TakeProfit * Point ), "", MagicNumber, 0, Green );
            if( Ticket < 0 )
            {
               Alert( GetLastError() );
               return(-1);
            }
         }
         // This is not for ETF so why not use Sell Signals as well :)
         else
         if( RSI1 > 98.0 && RSI2 < 99.0 && CLOSE < SMA )
         {
            RefreshRates();
            Ticket = OrderSend( Symbole, OP_SELL, Lots, Bid, 0, Bid + ( StopLoss * Point ),
                     Ask - ( TakeProfit * Point ), "", MagicNumber, 0, Red );
            if( Ticket < 0 )
            {
               Alert( GetLastError() );
               return(-1);
            }
         }
      }
      else
      {
         OrderSelect( Ticket, SELECT_BY_TICKET, MODE_TRADES );
 
         if(                            CLOSE > HIGH2 ||
             ( ( CLOSE - CLOS2 )/ CLOSE )*100.0 > 7.5 ||
             TimeDay( CurrTime - OrderOpenTime() ) > 6
         )
         {
            if( OrderType() == OP_BUY  ) { OrderClose( Ticket, OrderLots(),Ask, 0 , Pink); }
            if( OrderType() == OP_SELL ) { OrderClose( Ticket, OrderLots(),Bid, 0 , Pink); }
         }
      }
      PrevTime = CurrTime;
   }
   //----
   return(0);
}
//+--------
+
//+--------
+
//+   CountAll Function                                              |
//+--------
+
int CountAll( string Sym, int Mgc )
{
   int Count = 0;
 
   for( int i = OrdersTotal()-1; i >=0; i-- )
   {
      OrderSelect( i, SELECT_BY_POS, MODE_TRADES );
      if( OrderSymbol() == Sym )
      {
         if( OrderMagicNumber() == Mgc ) { Count++; }
      }
   }
   return( Count );
}

-- Patrick Nouvion
MistigriFX.com, a div. of Mistigri.net
admin@mistigri.net

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Originally published in the June 2008 issue of Technical Analysis of STOCKS & COMMODITIES magazine. All rights reserved. © Copyright 2008, Technical Analysis, Inc.

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