Very neat trick with the *(p1==0) and so on, love it! ]]>

If you use an appropriate filter system, you might not need to know exactly when it was in the index (unless you’re checking trades specifically based on add/drop from an index). Something like “price > $20 and 20-day average volume > 100000” will avoid illiquid stocks.

]]>Entry is at next day’s open, holding just for the day, exit at same day’s close.

ATR is calculated after the close to determine if there’s a signal.

ATR must be greater than ten trading days ago. It does NOT have to be the max of the 10 days, only greater than the 10th day prior.

The day must open up from the previous day. That’s why you multiply the ATR by some factor (0.4 in this case), add it to the close of the previous day, and there’s your stop. If it doesn’t open at or above that level, you don’t enter.

Make sense?

]]>So in 1995… I am using the russell 3000 list for 1995 at that time.. then of course it changes every other day…

So was wondering if you use the ‘changing’ historical list for your back tests?

]]>The one I did was:

1. Work out ATR5

2. For entry signal: If today’s ADT 5 is the maximum of all previous 10 days value, enter market.

Do you suggest I multiply 0.4 by every day ATR5? Or whats the steps I need to take to integrate the 0.4?

Thanks,

Andrew

Whoops forgot the link first time.

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