MarketTrak Question/Comment Message


Posted By: Jim   Date: Sun Aug 26, 2007

Title: New Trading Rules?

Message:
  Can you please confirm that Trading Rules #4 and #5 have had their
  thresholds changed from -0.001(negative 0.001) to
  -0.0005(negative 0.0005)?
  Thanks,
  Jim

Response:
  The SHORT trading position set point and the ANO delay was changed with this update (version 12.1). The LONG position set point was not changed. The ANO delay is now 5 days instead of 7. The SHORT set point is now -0.0005 (negative 0.0005). Since this value is higher than before, tighter stops should be used when entering a short position.

Here are the rules from the trading model web page:

The trading rules are given below. Work down the rule list in the order shown. When a rule fires, exit the list. All trades are done at the close of the current trading day.

Rule 1: If you have been stopped out in the last two days, do nothing and remain in cash.

Rule 2: If in cash, establish a long position (buy DIAMONDS or SPDRS) when the delayed ANO value moves above +0.0005 (positive 0.0005).

Rule 3: If long, close your long position (sell the shares you purchased) and go to cash when the delayed ANO value moves below +0.0005 (positive 0.0005).

Rule 4: If in cash, establish a short position (sell DIAMONDS or SPDRS) when the delayed ANO value moves below -0.0005 (negative 0.0005).

Rule 5: If short, cover your short position (buy back the shares you sold) and go to cash when the delayed ANO value moves above -0.0005 (negative 0.0005).

Rule 6: If long, close your position should the price of the security falls below the trailing stop. Your position has been stopped out.

Rule 7: If short, close your position should the price of the security rises above the trailing stop. Your position has been stopped out.

When you exit the trading rules, you should have a suggested trading position.

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