Detecting Breakouts Intraday (TASC September 2003)

To implement Markos Katsanos’ breakout-detection trading system using the modified finite volume elements (FVE) indicator in NeuroShell Trader, you should first create the modified FVE indicator in a chart and then create a NeuroShell Trading Strategy based on that indicator.

To create the modified finite volume elements indicator, select “New Indicator…” from the Insert menu and use the Indicator Wizard to create each of the following:

TYPICAL:
   Avg3(High, Low, Close)

MIDPOINT:
   Avg2(High, Low)

MF:
   Add2(Sub(Close, MIDPOINT), Momentum(TYPICAL, 1))

INTRA:
   Sub(Ln(High), Ln(Low))

INTER:
   Momentum(Ln(TYPICAL), 1)

CUTOFF:
   Add2(Mult2(0.1, StndDev(INTRA, 50)), Mult2(0.1, StndDev(INTER, 50)))

INEQUALITY:
   IfThenElseIfThen(A>B(MF, Mult2(CUTOFF, Close)), Volume, A<B(MF, Mult3(-1, CUTOFF, Close)), Mult2(Volume, -1),0)

MFVE:
   Mult2(Divide(Divide(Sum(INEQUALITY, 22), MovAvg(Volume, 22)), 22), 100)

To create the modified finite volume elements trading system, select “New Trading Strategy…” from the Insert menu and enter the following long entry and exit conditions in the appropriate locations of the Trading Strategy Wizard:

Generate a buy long MARKET order if ALL of the following are true:
   A<B<C(-20, MFVE, 10)
   A>B(InvTan(LinRegSlope(MFVE, 20)), 30)
   A>B(MFVE, ExpAvg(MFVE, 40))
   A<B<C(-30, %Change(LinRegSlope(Close, 30), 30), 60)

Generate a sell long MARKET if ONE of the following is true:
   A<B(InvTan(LinRegSlope(MFVE, 20)), -20)
   BarsSinceFill(Trading Strategy, 50)

If you have NeuroShell Trader Professional, you can also choose whether the system parameters should be optimized.  After backtesting the trading strategy, use the “Detailed Analysis…” button to view the backtest and trade-by-trade statistics for the modified finite volume elements system.

File Download

tip0903FVE.exe

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