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October 2011 Stocks and Commodities Traders Tips


The JK HiLo Index :

AIQ Version:

Original article by Jay Kaeppel
AIQ Code by Richard Denning

The AIQ code for Jay Kaeppel’s JKHL Indicator from the article, “The JK HiLo Index”, is provided at the web site noted below. The JKHL indicator is shown in Figure 1 on a chart of the S&P 500 Index.

Captions:
Figure 1 – The JKHL indicator shown on a chart of the S&P 500 Index together with a 200 bar moving average.

EDS Code for JK HiLo Index:
JK HiLo Index.EDS
(right click and choose Save As)


 

Traders Studio Version :

Original article by Jay Kaeppel
Traders Studio Code by Richard Denning

The TradersStudio code for Jay Kaeppel’s JKHL Indicator from the article, “The JK HiLo Index”, is provided at the web sites noted below. The following code files are provided in the download from the websites:

  • Function: ”JKHL” computes the indicator values
  • Indicator Plot: “JKHL_IND” for displaying the custom indicator on a session chart
  • System: “JKHL_SYS” a sample system I created that uses the indicator

The rules of the system that I created to try out the indicator are:

  • Enter a long position the next day at market on open when:
    • JKHL indicator is less than the buy level one bar ago and
    • JKHL is higher today than yesterday
  • Exit a long position when:
    • After X bars the position is not profitable
    • Or,
    • JKHL indicator is above the sell level one bar ago and JKHL is lower today than yesterday
  • Enter a short position the next day at market on open when:
    • JKHL indicator is above the shorting level and JKHL is lower today than yesterday
  • Exit a short position when:
    • After X bars the position is not profitable
    • Or,
    • JKHL indicator is less than the cover short level one bar ago andJKHL is higher today than yesterday

The parameters that I used are listed in the system code. I ran the code on the SP futures contract using Pinnacle data. In Figure 1, I show the resulting log equity curve and in Figure 2, I show the underwater equity curve using the PctMarginPlan that ships with TradersStudio. I used a tradeplan parameter of 10% of margin to determine the number of contracts to trade on each signal.

Captions:
Figure 1: Log equity curve for the sample system that uses the JKHL indicator trading the large S&P 500 futures contract.

Figure 2: Underwater equity curve for the sample system that uses the JKHL indicator trading the large S&P 500 futures contract.

Traders Studio Code for JK HiLo Index:
JKHL Code_TSZ.zip
(right click and choose Save As)

 

 

 

 

 

 

 

 

 

 

 

 

 

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