Trading Systems and Money Management : A Guide to Trading and Profiting in Any Market

AverageDownVolume = Average(Volume, AverageDownLength);

HighAvgDownVolume = Highest(AverageDownVolume, AverageDownLength);

LowAvgDownVolume = Lowest(AverageDownVolume, AverageDownLength);

RelAvgDownVolume = (AverageDownVolume - LowAvgDownVolume) /

(HighAvgDownVolume - LowAvgDownVolume);

InvRelAvgDownVolume = 1 - RelAvgDownVolume;

VolWeightedDownAvg = RelAvgDownVolume * AvgPrice +

InvRelAvgDownVolume * VolWeightedDownAvg;

If MarketPosition = 0 and Close > VolWeightedDownAvg and

VolWeightedDownAvg > VolWeightedDownAvg[1] Then

Sell ("S-July01") Next Bar NumCont Contracts at Lowest(Low,

TriggerLength) Stop;

End;

If MarketPosition = 1 and Close < VolWeightedUpAvg Then

ExitLong on Close;

If MarketPosition = -1 and Close > VolWeightedDownAvg Then

ExitShort on Close;

{Code for testing stops in Excel goes here (see Part 3 of book), with

Normalize(False). Set SurfaceChartTest(True). Disable original stops in system.}

{Code for initial market export goes here, with Normalize(True). Set

ExportSwitch(True).}

{Code for testing robustness goes here (see Part 3 of book), with Normalize(True).

Set RobustnessSwitch(True).}

{Code for exporting results for money management analysis goes here (see Part 4

of book), with Normalize(False). Set MoneyExport(True).}

CHAPTER 13 Volume-weighted Average 161