VFI Performance (TASC July 2004)

The trading systems described by Markos Katsanos in "Volume Flow Indicator Performance" are easily implemented in NeuroShell Trader.  It should be noted that these systems use the VFI custom indicator, which was described in last month’s Traders’
Tips.

TEST 1: INDICATOR LEVEL
To recreate the first test – the indicator level trading system – for the volume flow indicator in NeuroShell Trader, 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:
   CrossAbove(ExpAvg(VFI, 7),0)

Generate a sell long MARKET order if ALL of the following are
true:
   CrossBelow(ExpAvg(VFI, 7),0)

TEST 2: DIVERGENCE
To implement the second test – the divergence trading system – in NeuroShell Trader, you should first create the divergence
indicator in a chart and then create a Trading Strategy based on that indicator and its components.  To recreate the
divergence indicator, select "New Indicator…" from the Insert menu and use the Indicator Wizard to create each
of the following:

LRS:
   Divide(LinRegSlope(Close, 120), Lag(Close, 120))

LRSI:
   Divide(LinRegSlope(VFI, 120), Lag(VFI, 120))

DIVERGENCE:
   Multiply2(ExpAvg(Subtract(LRSI, LRS), 3), 100)

To recreate the divergence trading system test for the volume flow indicator in NeuroShell Trader, 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(Lag(DIVERGENCE, 1), 100)
   A<B(DIVERGENCE, Lag(DIVERGENCE, 1))
   A>B(LRSI, 0)

Generate a sell long MARKET order if ONE
of the following are true:
   A<B(DIVERGENCE, 0)
   A<B(LRSI, 0)

TEST 3: BREAK FROM BASE
To recreate the third test – the break from base trading system – for the volume flow indicator in NeuroShell Trader, 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(VFI, -2)
   A>B(LinRegSlope(VFI, 20), 0.1)
   A>B(VFI, ExpAvg(VFI, 40))
   A<B(LinRegSlope(Close, 30), Multiply(0.006, Lag(Close, 30)))
   A>B(LinRegSlope(Close, 30), 0)

Generate a sell long MARKET order if
ONE of the following are true:
   A<B(LinRegSlope(VFI, 20), -0.8)
   A<B(VFI, -2)

TEST 4: INDICATOR DIRECTION
To recreate test 4 – the indicator direction trading system – for the volume flow indicator in NeuroShell Trader, 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:
   ExpAvgCrossAbove(VFI, 11, 25))
 

Generate a sell long MARKET order if ALL of the following are
true:
   ExpAvgCrossBelow(VFI, 11, 25))

File Download

tip0704.exe

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