To implement in NeuroShell Trader the trading system described by Scott Castleman in this issue, you should first create the day length indicators in a chart, and then create a NeuroShell Trading Strategy based on those indicators.
To create the day length indicators, select "New Indicator…" from the Insert menu and use the Indicator Wizard to create each of the following:
| IV%K: Stochastic%K ( IVClose, IVClose, IVClose, 252 ) VOL%K: Stochastic%K ( Volume, Volume, Avg(Volume, 10), 50) IV%K: Williams%R ( IVClose, IVClose, IVClose, 252 ) VOL%K: Williams%R ( Volume, Volume, Avg(Volume, 10), 50)
DAYLENGTHLONG: |
To recreate the implied volatility and volume trading system, select "New Trading Strategy…" from the Insert menu and enter the following long and short entry 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 ( High, PriceHighDynamic( Lag(High, 1), DAYLENGTHLONG )
Generate a sell long MARKET if ONE of the following are true:
A<B ( Low, PriceLowDynamic( Lag(Low, 1), DAYLENGTHSHORT )
Note that the PriceHighDynamic and PriceLowDynamic are custom indicators that compute the maximum and minimum based on a dynamic lookback instead of a static lookback. 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 implied volatility and volume system.
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