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In "Designing Volatility Breakout Systems," Paolo Pezzutti sets intraday entry and exit conditions. Intraday signals can only be tested using MetaStock Professional. The following system test replicates the TradeStation signals given in the article.
To create a system test in MetaStock, select...
Then copy this crude code in:
Volatility Breakout System
Commission:=21; {for Buy+Sell+Stop}
TradeAmt:=10000;
Buy:=O+((Ref(H,-1)-Ref(C,-1))*.7);
Sell:=C;
Stop:=O;
Trade:= O < Ref(C,-1) AND H > Buy AND Ref(C,-1) < Ref(C,-2) AND
Ref(C,-2) < Ref(C,-3) AND Ref(C,-3) < Ref(C,-4);
{Trigger for...
Shows stocks where the price increased 5% and the volume is 50% above a 50-day moving average. Rank results by % change in price, then check the volume.
Price and Volume Breakout
Column A
CLOSE
Column B
Ref(CLOSE,-1)
Column C
ROC(CLOSE,1,percent)
Column D
VOLUME
Column E...