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This is a follow up to our Zone Analysis research. Based on this research I created a very simple system framework. Here is some trade examples and performance results for the past four years.
//Zone Program by George Pruitt // Buy when market opens in zone 1 and dips into zone 3 // Sell when market opens in zone 4 and rises into zone 2 vars: myZone1B(0),myZone2T(0),myZone2B(0),myZone3T(0),myZone3B(0),myzone4T(0); vars:oz1cz1(0),oz1cz2(0),oz1cz3(0),oz1cz4(0); vars:oz2cz1(0),oz2cz2(0),oz2cz3(0),oz2cz4(0); vars:oz3cz1(0),oz3cz2(0),oz3cz3(0),oz3cz4(0); vars:oz4cz1(0),oz4cz2(0),oz4cz3(0),oz4cz4(0); vars:myBarCount(0),buysToday(0),sellsToday(0); inputs: profitAmt$(1000),riskAmt$(500),stopEntryTime(1300); if date <> date then begin buysToday = 0; sellsToday = 0; myBarCount = 1; end; if(marketPosition = 1) then buysToday = 1; if(marketPosition =-1) then sellsToday = 1; if date date then myBarCount = myBarCount + 1; myZone1B = highD(1) + minMove/PriceScale; myZone2T = highD(1); myZone2B = (highD(1) + lowD(1))/2 + minMove/PriceScale; myZone3T = (highD(1) + lowD(1))/2; myZone3B = lowD(1); myZone4T = lowD(1) - minMove/PriceScale; if openD(0) > myZone1B and low < myZone2B and myBarCount >1 and buysToday = 0 and time < stopEntryTime then buy next bar at low limit; if openD(0) < myZone3T and high > myZone3T and myBarCount >1 and sellsToday=0 and time < stopEntryTime then sellshort next bar at high limit; setExitOnClose;
Here is an idea that could lead to a full blown trading system. Since we still have an opening time in the stock market this type of analysis should still be applicable. Here I have cut the day into 4 distinct zones based off of yesterdays trading range:
Zone1 = high of yesterday + minTick and above
Zone2 = high of yesterday down to midPoint of yesterday + minTick
Zone3 = midPoint of yesterday down to low of yesterday + minTick
Zone4 = low of yesterday and below
Refer to the chart. I wanted to see where the market closed in relation to where it opened. I was thinking that if the market opened in Zone1 (above yesterday’s high) then there would be a higher likelihood of it closing below Zone1. The following table illustrates the different open zones and closing zones.
Open Z1: Open Z2: Open Z3: Open Z4:
Close Z1: 0.175 0.108 0.043 0.005
Close Z2: 0.041 0.108 0.059 0.019
Close Z3: 0.023 0.062 0.086 0.032
Close Z4: 0.010 0.031 0.081 0.089
Would you like to see a system based on this analysis?
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Reports are currently updated through October 31, 2013. Systems within report: Aberration, Andromeda, BigBlue2, Delphi2, Dollar Trader for Currencies, Early Bird 2, Golden SX, Hi-Prob, I-Master, Impetus, R-Mesa, RSG, Simple Harmony, Stemwinder, Super Turtle, TrendWeaver.
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Disclaimer: For informational purposes only. Past performance is not indicative of future results. There is significant risk involved in futures and options trading.