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

AverageUpVolume = Average(Volume, AverageUpLength);

HighAvgUpVolume = Highest(AverageUpVolume, AverageUpLength);

LowAvgUpVolume = Lowest(AverageUpVolume, AverageUpLength);

RelAvgUpVolume = (AverageUpVolume - LowAvgUpVolume) /

(HighAvgUpVolume - LowAvgUpVolume);

InvRelAvgUpVolume = 1 - RelAvgUpVolume;

VolWeightedUpAvg = RelAvgUpVolume * AvgPrice +

InvRelAvgUpVolume * VolWeightedUpAvg;

If MarketPosition = 0 and Close < VolWeightedUpAvg and

VolWeightedUpAvg < VolWeightedUpAvg[1] Then

Buy ("L-July01") Next Bar NumCont Contracts at Highest(High,

TriggerLength) Stop;

End;

If AllowShort = True Then Begin

160 PART 2 Trading System Development

FIGURE 13.1

Merck trading using revised volume-weighted average system.