DALE"!!!! HARNESSING THE (MIS)BEHAVIOR OF MARKETS !!! Author: Rick Martinelli, TASC June 2006 !!! Coded by: Richard Denning 4/9/06 !! SET PARAMETERS NN is 3. ! LR LINE LENGTH DD is 7. ! STD DEV LENGTH ! ALPHA SIGNAL VALUE CUTOFF Cutoff is 1.25. XCutOff is iff(symbol()="RMBS",1.00,iff(symbol()="F",1.10, iff(symbol()="GM",1.04,iff(symbol()="SYMC",1.31, iff(symbol()="IBM",1.19,iff(symbol()="SUNW",1.19, iff(symbol()="DELL",1.91,iff(symbol()="GE",2.22, iff(symbol()="CSCO",1.04,iff(symbol()="MSFT",1.00, iff(symbol()="ZIMH",2.04,iff(symbol()="ORCL",1.04, iff(symbol()="AMZN",1.00,iff(symbol()="DJ",1.50, iff(symbol()="INTC",1.34,iff(symbol()="SEBL",1.28, iff(symbol()="SIRI",1.30,iff(symbol()="TWX",1.01, iff(symbol()="QQQQ",1.10,iff(symbol()="DJI",1.40, iff(symbol()="KCS",1.65,iff(symbol()="DIA",1.35, iff(symbol()="DUK",1.00,iff(symbol()="AZN",1.02, iff(symbol()="LSI",1.12,iff(symbol()="WFMI",2.42, iff(symbol()="GOOG",1.41,iff(symbol()="AAPL",1.38, 2.00 )))) )))) )))) )))) )))) )))) )))). !! CODING ABBREVIATIONS: YY is [close]. YY1 is val([close],1). !! FIND FORECASTED PRICE ONE DAY AHEAD USING !! NN(3) DAY LINEAR REGRESSION LINE (Excel fx FORECAST) slope is slope2(YY,NN). intercept is simpleavg(YY,NN) - (slope * (NN + 1) / 2). ForeCast is intercept + (NN+1) * slope. deltaPp is ForeCast - YY. !! CALCULATE THE STANDARD DEVIATION OF THE !! LAST DD (7) PRICE CHANGES (Excel fx STDEVP) deltaP is YY - YY1. SDPdeltaP is sqrt(variance(deltaP,DD) * ((DD*(DD-1)) / (DD*DD))). !! CALCULATE ALPHA AS FORECASTED PRICE !! CHANGE DIVIDED BY THE STANDARD DEVIATION Alpha is deltaPp / SDPdeltaP. !! DATA FILTER FOR PRICE (>$4) AND VOLUME (>500k avg) PV if YY > 4 and expavg([volume],50) > 5000. !! TRADING BUY AND SELL SHORT RULES BASED !! ON ALPHA AND CUTOFF LE if Alpha > CutOff and PV. ! LONG ENTRY BUY SIGNAL SE if Alpha < -Cutoff and PV. ! SHORT ENTRY SELL SIGNAL !! ENTER TRADES AT THE CLOSE AND EXIT NEXT !! DAY AT THE CLOSE EntryPr is YY1. ExitPr is YY1. List if 1. Rule Libraryÿÿ CCodeViewLEÿÿ CReportView ÐSymbolÀ<¡YYÀ5 ¡ForeCastÀ?¡deltaPÀ> ¡SDPdeltaPÀ:¡deltaPpÀ>¡AlphaÀ=¡CutOffÀ9¡NNÀ2¡DDÀ5 ¡interceptÀ=¡slopeÀ9¡YY1ÀAGM33Bsw!B€™™>Íñ>? š?¸…?@@à@{wBÿÿ>BSE€ ÐSymbolÀ<¡YYÀ5 ¡ForeCastÀ?¡deltaPÀ> ¡SDPdeltaPÀ:¡deltaPpÀ>¡AlphaÀ=¡CutOffÀ9¡NNÀ2¡DDÀ5 ¡interceptÀ=¡slopeÀ9¡YY1ÀAList€ ÐSymbolÀ<¡YYÀ5 ¡ForeCastÀ?¡deltaPÀ> ¡SDPdeltaPÀ:¡deltaPpÀ>¡AlphaÀ=¡CutOffÀ9¡NNÀ2¡DDÀ5 ¡interceptÀ=¡slopeÀ9¡YY1ÀAGM33Bsw!B€™™>Íñ>? š?¸…?@@à@{wBÿÿ>BTnas100ÿÿÿÿÿÿCBackTestPropertyLE1PPØå$ HMBM Sys1 LESPXPEntryPrExitPrnas100 ÆÅ€SEPPnp HMBM Sys1 SESPXPEntryPrExitPrHMBMLST ÆÅ00:00