NeoTicker Blog

As of 2008 Mar 31 close.

SP_D3A model : short

Here is the trading system I presented in the Futures Magazine article, Using market breadth in trading systems, in the January 2008 issue.

System Setup

1. Emini S&P regular trading hours (RTH) only.

2. 130-minute bar. Drop the last 15 minute from RTH because there is no breadth data to collect in that 15 minutes.

3. SP_D3A is the signal generating series.

4. It is a multiple day swing trading system

Downloadable Code

Those of you who have NeoTicker can download the formula language based system here.

S&P 500 3-Day Advance Issues Trading System

I wrote an article on the concept of 3-Day Advance Issues in the Futures magazine – Using market breadth in trading systems, in the January 2008 issue. As oppose to repeating what was written in the article, I will focus on the discretionary aspect of this particularly interesting breadth data.
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As of 2008 Mar 28 close.

As of 2008 Mar 26 close.

As of 2008 Mar 25 close. Extreme SP_D3A reading.

This example build a TICK index with a custom symbol list. The advantage of having a custom tick index is it can be updated as fast as 1 second instead of exchange broadcast $TICK which update every 10 seconds, also with custom tick index calculation value will be based on your own symbol list instead of all exchnage traded symbols.
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As of 2008 Mar 24 close.

NeoTicker trading system fire orders after bar completion, this limition is done to emulate real-time condition when a signal is only confirmed after a bar is completed. However when signal indicators are based on higher time frames (e.g. 15 minutes, 30 minutes and etc.), this order placement method suffer when order placed at next bar could be 15 to 30 minutes after signal bar, compress series in NeoTicker can be used to compensate for this deficiency and make trading systems enter with acturate prices and fills.
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As of 2008 Mar 20 close.