S&C 2005-02 | The Truth About Volatility (Berg) by Eugene

Published in February 2005 Stocks & Commodities.

Setup:

  1. Rising trend: 34-week SMA is rising and Close price is above the MA

  2. RSI oversold: RSI at 30 or below (disabled by default)

Entry: If the close is greater than the 20-day lowest low value plus twice the 10-period ATR, then enter a long position.

Exit: User can choose from two trailing exit strategies:

Exit on a trailing stop if the close is less than the 20-day highest high value minus twice the 10-day ATR.

Exit on a Volatility trailing stop if the close is less than the 15-day highest close value minus twice the 10-day ATR.

In all cases, the Volatility Profit Taker is executed when the price exceeded a 13-day EMA plus 2 times the 10-day ATR.

Author: Eugene
Category: Trend Following
Creation Date: 7/14/2014
Licence: Freeware
Availability: Globally
Instructions for Script Download
  1. In Wealth-Lab client software, open the Strategy Explorer (Ctrl+O)
  2. Click the "Download..." button
  3. Click "Begin Download"