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18

ShonSignal

Calculations

1. Calculate the base count ofthe lower float channel (BCl™).

2. Calculate the TableDelta - TableFactor ATRjo (default TableFactor = 0.35).

3. Determine the Highest Low of the kst 3 bars (HLj).

4. Determine the Lowest Low of the bst 3 bars (LLj).

I Entry Rules

1. BCl.„,>=7

2. Low < FCl™,, t ATRjo

3. HL,-LL3<= TableDelta

4. Close <MA5o

5. Sell Short the next bar at or below the Low - (EntryFactor * ATRjo}

I Exit Rules: Profit Target

1. Cover half of the position at or above the Low-(ProfitFactorATRjo)

2. Cover halfofthe position at or above the Lowof ProfitBars ago-(2* ProfitFactorATRjo)

I Exit Rules: Stop Loss

1. Cover all shares at or below the Highest High for StopBars + (ExitFactorATRj,)

4.4.2 Pullback System (Acme FP)

Here are the long and shoit signals for the Sjstem. The Exit Rules are the same because both sjstems use the Acme Trade Manager signal for profit targets and stop losses.

LongSignal

Calculations

1. Calculate the +DMI tor the FilterLehght of 30 days.

2. Calculate the DM for the same period

I Entry Rules

L LQw<FCr™,tATR,o

2. *DMI.-DMI

3. Close >MA!o

4. Buy the next bar at or above the High + (EntryFactor * ATRju)

I Exit Rules: Profit Target

1. Sell half of the position at ot above the High + (ProfitFactor ATRjo)

2. Sell half ot the position at or above the High of ProfitBars ago > (2 • ProfitFactor * ATRjo)

I Exit Rules: Stop Loss

1. Sell all shares at or below the Lowest Low for StopBars -(ExitFactorATRjo)

ShortSignal

Calculations

1. Calculate the +DMI for the FtlterUngth of 30 days.

2. Calculate the -DMI for the same period.

I Entry Rules

1. High>FCup„,-ATR,„

2. -DMI>+DM1

3. Close <MA!o

4. Sell Short the next bar at or below the Low - (EntryFactor * ATRio)

I Exit Rules: Profit Target

1. Cover half of the position at or above the Low -(ProfitFactor •ATRii,)

2. Cover halfofthe position at or above the l>w of ProfitBars ago-(2 •ProfitFactor ,,,)

I Exit Rules: Slop b)ss

1 r..«-r.,ll-.l,.ii.-....... I..I0

(F..«.iK......• 1 .,)

ll.. I l.v.li. .1 1 l.i.li I... Si,.pit.,,

The Acme F Sj-stem relies on a known and current value ofthe float for a given stock (ETFs do not have floats). TradeStation does not transmit the float value in real-time, so we have provided the AcmeGeiFloat fiinction in Chapter for adding a sj-mbol with its associated float 1 . The sj-mbol must be added alphabetically within the AcmeGetFloai fimction, and the function must be verified before it takes effect.

To find a stocks fioat and update the TradeStation code, do the fohowing:

1. Go to the Yahoo Finance Web site at hup: fiiiance.yahoo.com/.

2. Enter the stock sj-mbol and chck on the Get button,

3. Cb±on Profile.

4. Scroh down to the bottom ofthe page.

5. On the left-hand side. Float is the last field under Share-Relaiedlteim.

6. Enter the fioat value (in miUions) in the /fimction.

7. Verify the AcmeGeiFloat function.

The code for the AcmeF Sj-stemis shown below in Example 4.1. Example 4.1. Acme F System

Acme F System: Look for float breakouts and pullbacks

Inputs:

{F Parameters)

FloatFactor(l.o),

BaseBars(7),

BaseFactor(0.25),

TableBars(3),

TableFactor(0.35),

(Filter Parameters)

FiltersOn(True),

FilterLength(30),

MinimumPrice(l5),

(Position Parameters)

Equity(100000),

RiskModel(3),

RiskPercent(2.0),

RiskATR(l.O),

EntTyFactor(0.3),

DrawTargets(True);

Variables: N(o).

1 (<>..)).

ATRLength(20),

HA(0.0),

HALength(50),

ShortStop(O.O),

(F Variables)

TheFloat(O.O),

FloatHiglil(o.o),

FloatHigli2(o.O),

HighBaseCount(l),

FloatLowl(O.O),

FloatLow2(o.o),

LowBaseCount(l),

BaseDelta(o.o),

TableDelta(o.O);

If TheFloat = 0.0 Then Begin

{Compute the number of base bars based

TheFloat = FloatFactor

float turnover} AcmeCetFloat(CetSymbolName);

End Else If TheFloat > 0.0 Then Begin

{Initialize variables)

ATR = Average(Range, ATRLength); HA = Average(Close, HALength); FloatHighl = AcmeFloatChannelHigh(TheFloat); FloatLowl = AcmeFloatChannelLow(TheFloat);

If FiltersOn Then

{Calculate shares based on risk model}

tg = AcmeGetShares (Equity, RiskModel, RiskPercent, RiskATR); (Entry Signals)

BuyStop = High + (EntryFactor * ATR); Shortstop = Low - (EntryFactor * ATR); BaseDelta = BaseFactor * ATR; TableDelta = TableFactor * ATR;

If HighBjseCoiirl > BaspB-irs .ird lli>h > (I l(>.illli)<lil 1 ) .ind

ili-hr.4iii-,b, i.ihbli.ii-.) .1 .. ):1, 1.<11.11-.) l.ilib-lh-ll.i .iriil

Close > HA Then Begin

{Draw Entry Targets on the Chart)

If DrawTargets Then

Conditionl = AcmeEntryTargets("F", BuyStop, 0, 0, 0);

If LowBaseCount >= BaseBars and Low < (FloatLowl + ATR) and

Highest{Low, TableBars) - Lowest(Low, TableBars) <= TableDelta and Close < HA Then Begin

{Draw Entry Targets on the Chart)

If DrawTargets Then

Conditionl = AcmeErtryTargetsCF", 0, 0, Shortstop, 0);

SellCAcme SE FB") N Shares Next Bar at Shortstop Stop; End;

If Low <= (FloatLowl + ATR) and

DMIPlus(FilterLength) > DMIMinus(FilterLength) and

Close > HA Then Begin

{Draw Entry Targets on the Chart}

If DrawTargets Then

Conditionl = AcraeEntryTargetsCF", BuyStop, 0, 0, 0);

If High >= (FloatHighl - ATR) and

DMIHinus(FilterLength) > DMIPlus(FilterLength) and

Close < HA Then Begin

(Draw Entry Targets on the Chart) If DrawTargets Then

Conditionl = AcmeEntryTargetsCF", 0, 0, Shortstop, 0); Sell("Acme SE FP") N Shares Next Bar on Shortstop Stop; End; End;

{Calculate running base count and changing float channel values}

If AbsValue(FloatHighl - FloatHigh2) <= BaseDelta Then

HighBaseCount = HlghBaseCount + 1 Else

HlghBaseCount = l; FloatHigh2 = FloatHighl;

If AbsValue(FloatLowl - FloatLowl) BaseDelta Then

LowBaseCount = LowBaseCount + l Else

LowBaseCount = i; FloatLow? - FloatLowl; liKl;

4.5 Examples

The following charts are examples oftrades generated by the Acme F System, with both Acme FB and Acme FP signals. Each example uses starting Equity of \$100,000 and the Percent Volatilitj- Model with a risk of Zo. Trade filtering is tumed on. Because ofthe longer fioat cycle, profit targets have been turned off.

4.5.1 THQ Incorporated

Figure 4.4 shows several examples of an Acme FB long entrj After the initial failed breakout, the stock THQCTHQENasdaq) broke abo-e the upper Float Channel after forming a long base. Fourteen days later, it formed another base and broke to new highs again. After the second long entrj the Float Percentage reached 100°ro, shortly before the stockbegan a correction.

thqilastiaily acme float Channe41.0,7ji.3) 27.2s0 15.125

acmelx-

• r--fb acme float (1 , . . .0. ) 18.27

......I ll

-10.00d

90.00 80.00 30.00

Fure 4.4. THQIncorporated

When stocks form bases, examine the magnitude of fioat that was turned over during the formation of the base. If the total volume is greater than one float turnover, then that stock is a better tiading candidate than a base formed on low volume. The best tiading candidates will show a Float Percentage of 80°o or hiiher coinciding; with a breakout of a lon; base. Note that the float turnover rate of a slock influences the length of the base. A stock with high volume and a low float does not get the chance to form a reasonable base, so the base may be no longer than three or four bars

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