Trend Following Systems: A DIY Project - Batteries Included: Can You Reboot and Fix Yesterday's Algorithms to Work with Today's Markets?

01 buyLevel = highest(myHigh,80,curBar,1) 02 shortLevel = lowest(myLow,80, curBar,1) 03 longExit = lowest(myLow,20, curBar,1) 04 shortExit = highest(myHigh,20, curBar,1) 05 ATR = sAverage(myTrueRange,30, curBar,1) 06 posSize = .005 dailyPortCombEqu/(ATR myBPV) 07 posSize = int(posSize)

Go to: www.trendfollowingsystems.com Click on TradingSimula18 Website password: pruittTS-18

08 if posSize == 0 : posSize = 1

Trend following must be able to cull from a larger universe of markets – the more the markets the higher chance of a large trend move.

This trend following system tries to eliminate false break outs by incorporating a volatility buffer above and below the 39-bar moving average.

–Building Reliable Trading Systems: Tradable Strategies That Perform As They Backtest and Meet Your Risk-Reward Goals. John Wiley & Sons, 2013.