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May 2011 Stocks and Commodities Traders Tips


In The Volume Zone :

AIQ Version:

Original article by Walid Khalil and David Steckler
AIQ Code by Richard Denning

The AIQ code for Walid Khalil and David Steckler’s article, “In The Volume Zone”, is shown below. I coded both the Volume Zone Oscillator Indicator (VZO) and the system that uses the VZO indicator. I had to use my own interpretation of what the rules of their system mean since the exact code for the system is not given in the article. The divergence sell/cover rules were especially troublesome to interpret. My version may not be what the authors intended. Also note that the non-trending case is not provided or tested.

I ran a back test using the Portfolio Manager module from 1/1/98 to 3/11/11 using the NASDAQ 100 and also the Russell 1000 list of stocks. In Figure 1, I show the test results of simulating trading the NASDAQ 100 list of stocks, using the following parameters for capitalization:

1) Maximum positions per day = 3
2) Maximum total positions allowed = 10
3) Choose candidates using ADX values in descending order
4) Size each position at 10% of total account equity recomputed every day
For the test period, the average annual return was 13.5% with a maximum drawdown of 49.9% on 12/31/02.

The short side test was unsuccessful as the system lost all its capital during the early years of the test. These results are not shown in any figures. I tried adding an index trend filter but this did not save the short side from total loss.

Caption:
Figure 1 – VZO system equity curve trading longs only using the NASDAQ 100 list of stocks compared to the SPX index for the test period 1/1/98 to 3/11/11.

EDS Code for In The Volume Zone:
VolumeZone.EDS
(right click and choose Save As)



Traders Studio Version :

Original article by Walid Khalil and David Steckler
Traders Studio Code by Richard Denning

The TradersStudio code for the VZO indicator from Walid Khalil and David Steckler’s article, “In The Volume Zone”, is shown below.

In Figure 1, I show the VZO indicator on a chart of ADBE.

Traders Studio Code for In The Volume Zone:
VZO_IND_TSZ.zip
(right click and choose Save As)

 

 

 

 

 

 

 

 

 

 

 

 

 

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