Unfortunately, the short side did not produce good enough results to warrant
trading without any other types of adjustments, such as the addition of a trend fil-
ter or relative-strength filter. Nonetheless, we will take this version of the system
with us to Part 3 where we will try to substitute the stops and make the system
more short term. We will also look at how the system will operate with a trend or
relative-strength filter, in an effort to decrease the percentage of time spent in the
market. Figure 8.1 shows a few sample trades in the NASDAQ 100 index, gener-
ated with this latest version of the system.TradeStation Code
Variables:
{These variables can also be used as inputs for optimization purposes.}
AllowLong(True), AllowShort(False), RetracePeriod(6), Aggressiveness(3),102 PART 2 Trading System Development
FIGURE 8.1
NASDAQ 100 index traded using Hybrid System I.