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46

AcmeN Strategy

Table 11.14. Acme N Strateg>-

Signal Name

Lm

Long Exit

Short

lort Exit

Acme N System

Acme Trade Manager

acme N system

Signal

Acme n system: use the range ratio to find narrow range patterns

inputs:

(n parameters}

ratiolengthl(l).

ratioleneth2(7),

rangepercert(0.7),

hakrangeratio(0.7),

retracebars(2),

(filter parameters)

filterson(Triie),

filterlen6th{l4),

minimumprice(20),

minimumadx(38),

hinimumhv{0.5),

(position parameters}

equity(100000),

riskmodel(3),

riskpercent(2.0),

riskatr(l.o),

entryfactor(0.10),

drawtargets(true);

variables: n(o). atr(o.o), atrlength(20). ha(o.o), halcngth(50). t,.uh-i illrr(lm.-).

shortstofko.o), (n variables) nlengthks), nlength2(l0). nlength3(4), lowvolatility(false);

atr = volatility(atrlength); ha = average(close, halength);

(set entry and exit stops}

buystop = high + (entryfactor * atr); shortstop = low - (entryfactor * atr);

(acme n setup}

conditionl = acmenarrowrange(nlengthl, l) and acmenarrowrange{nlengthl, o)[l];

condition2 = low > low[i] and high < high[l] and low[l] > idw[2] and high[l] < high[2];

conditions = acmenarrowrange{nlength2, 0); condition4 = acmeinsidedaynr(nlength3, 0);

conditions = acmerangeratio(ratiolengthl, ratiolength2) <= haxrangeratio; lowvolatility = conditionl or condition2 or conditions or condition4 or conditions;

{run trade filters}

if filterson then

tradefilter = close > hinimurnprice and adx(filterlength) >= minimumadx and acmevolatility(filterlength) >= 11 ;

if lowvolatility and

range <= rangepercent atr and

tradefilter then begin

(calculate shares based on risk model}

n = acmegetshares(equity, riskmodel. riskpercent, riskatr);

{harrow range}

tradefilter = true; if filterson then

tradefilter = hedianprice > ha;

if tiadefiller jnd acncrftracroown(retrac(£ar<.) jnd tr.idefillcr thrn rrgln

(dr.iw hitiy 1.> >>- nil ihi- (ImiI i

11 lir.twl )>.1-1-. ilini

< niiilil lopil 11 1 1.1)-;-1-.(" ". liiiymiii, n, u,



LE N") N Shares Next Bar at BuyStop Stop; End;

TradeFilter = True; If FiltersOn Then

TradeFilter = MediarPrice < HA;

If TradeFilter ard AcmeRetraceUpCRetraceBars) and TradeFilter Then Begin

{Draw Entry Targets on the Chart) If DrawTargets Then

Conditioni = AcmeEntryTargetsCN", 0. 0, ShortStop, 0); SellCAcme SE N") N Shares Next Bar at Shortstop Stop; End; End;

NR: Display the narrowest range bar in n bars

Inputs:

RangeLength(lO);

If AcmeNarrowRangeCRangeLength, 0) Then I PlotPaintBar(High, Low, "Acme NR"); AlertCAcme NR Alert");

Else Begin

NoPlot(l);

NoPlot(2); End;

Jt of ATR

Inputs:

RangeLength(lo), RangeFactor(0.6s);

Variables: ATR(O.O);

ATR = Volatility(RangeLength);

If Range RangeFactor * ATR Then Begin

PlotPaintear(High, Low. "Acme NR%");

AlertCAcme NR% Alert");

Else Begin

NoPlot(l);

NoPlot(2); End;

Acme NR2: Display 2 narrow range bars in a row

Inputs:

RangeLength(5);

If AcmeNarrowRange(RangeLength, l) and AaneNarrowRange(RangeLength, o)[l} Then Begin

PlotPaintBar(High, Low, "Acme NR2");

Alert("Aane NR2 Alert");

Else Begin

NoPlot(l);

NoPlot(2); End;



AcmePStrategy

The Acme P System is a self-contained system with its own exit strategy, thus, it does not use the Acme Trade Manager.

Table 11.15. Acme P Strategy

:h(ilName

Lceig Entry

Long Exit

81 1 Entry

81 1

AcmeP Syisteni

Acme P Syscetn

S/gna/

ftcme P System: Pairs Trading

Requlreiients

Datai:Stock l Intraday DataZ: Stock 2 Intraday Data3: Stock 1 Daily (hidden) Data4: Stock 2 Daily (hidden)

Inputs:

Pricel(Close of Data3), Price2(Close of Data4), StandardDeviations(l.5), Length(30),

{Position Sizing Parameters) Equity(100000}, Ri5kModel(3), RiskPercent(2.o), Ri5kATR(l.o). {Trade Logging} logTrades{False), logFileCDrders.txt");

Variables: N(O), HVl(O.O), HV2(n.O), 1 V(ll.i)).

Viil.iiililyli.....I(it.ti),

VolatilityConstant(o.0523), UpperBand(O.O), LowerBand(o.o), Spread(o.O);

If Date <:> Date[l] Then Begin

N = AcmeCetShares(Equity, RiskModel, RiskPercent, RiskATR) of Data3;

HVl = AcmeVolatility(Length) of Data3; HVZ = AcmeVolatility(Length) of Data4; CV = Colielation(Pricel, Price2, Length); VolatilityBand = VolatUityConstant * (HVl + HVZ) ♦ (1 - CV); UpperBand = StandardDeviations * VolatilityBand; LowerBand = StandardDeviations * (-VolatilityBand); End;

Spread = (Close of Datai / Pricel) - (Close of Data2 / Price2);

If Spread crosses above LowerBand Then

BuyCAcme P LE") N Shares This Bar on Close;

If Spread crosses above 0 Then

ExitLongCAcme P LX +") This Bar on Close Else If Spread StandardDeviations * LowerBand Then

ExitlongCAcme P LX This Bar on Close;

If Spread crosses below UpperBand Then

SeUCAcme P SE") U Shares This Bar on Close;

If Spread crosses below Then

ExitShortCAcme P SX +") This Bar on Close Else If Spread >= StandardDeviations * UpperBand Then

ExitShortCAcme P SX -") This Bar on Close;

{Log Trades for Spreadsheet Export}

Conditionl = AcmeLogTrades(LogTrades, LogFile, "P");

.e.. i[[eRStLat-Ejgy

11.16. Acme R Stiategy

SigiiNcuHe

LorE-at

Emrv

Short Est

Acme R System

Acme Trade Manager



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