Tondon,
I believe what you are referring to is something that I am using. I use Kaufman's Adaptive Moving Average and plot volatility bands on either side, and if I recall the bands were derived from PK's work. I use the system for intraday trading in conjunction with a variant of Dahl - I use the same Adaptive moving average in calculating Dahl and ADX.
I have an alert set on tick volume, when tick volume for the current bar is 3 times or more greater than the either of the previous two, an alert is set.
Basic long entry rule
- two closes above the AMA of close and also above the upper band
- ADX was low (say under 20, under 30 fer sure) and has made a sharp move up
- Dahl is positive or moving up quickly and close to positive
- no code for this rule, but I look for a period of consolidation prior to the signal, usually a dip near the end of it.
It tests fairly well, but my real purpose for using it is to alert me when chart conditions warrant focusing attention on a particular stock. Frankly plotting trend lines along areas of consolidation and watching for break outs on high volume will achieve much the same thing! And that technique lately has been working very well...
Finally as the trend starts to bend, the MA will level, the bands widen and level out, and that's my time to exit. Typically I will have exited already based on candle sticks and a range expansion. If you like I can email you some GIFs of chart with this stuff plotted on it - and I'll send you as many where it doesn't work out as where it does.
I never arrived at the zen of system trading (but maybe I will yet) - I discovered I like candle sticks and patterns, so I primarily trade (long and short) retests of a trend and failed tests of a top/bottom. Over the past year I have evolved somewhat and only day trade on the largest most active stocks, and pick from a list of 25 that exhibit higher Average True Range (thanks Richard, again) and also those that have "nicer-looking" charts from a candlestick perspective. It amazes me that two different stocks both trading 2M shares a day can have very different charting characteristics, but that's what my eyes tell me. (i.e. compare QWST and GBLX on a 5 minute chart lately - GBLX to my eyes offers clues in candlesticks much more readily).
A rambling reply... |
