Response:
The SHORT trading position set point and the ANO delay was changed with
this update (version 12.1). The LONG position set point was not changed. The
ANO delay is now 5 days instead of 7. The SHORT set point is now -0.0005 (negative
0.0005). Since this value is higher than before, tighter stops should be used
when entering a short position.
Here are the rules from the trading model web
page:
The trading rules are given below. Work down the rule list in the order
shown. When a rule fires, exit the list. All trades are done at the close
of the current trading day.
Rule 1: If you have been stopped out in the last two days, do nothing
and remain in cash.
Rule 2: If in cash, establish a long position (buy DIAMONDS or SPDRS)
when the delayed ANO value moves above +0.0005 (positive 0.0005).
Rule 3: If long, close your long position (sell the shares you purchased)
and go to cash when the delayed ANO value moves below +0.0005 (positive
0.0005).
Rule 4: If in cash, establish a short position (sell DIAMONDS or
SPDRS) when the delayed ANO value moves below -0.0005 (negative 0.0005).
Rule 5: If short, cover your short position (buy back the shares
you sold) and go to cash when the delayed ANO value moves above -0.0005
(negative 0.0005).
Rule 6: If long, close your position should the price of the security
falls below the trailing stop. Your position has been stopped out.
Rule 7: If short, close your position should the price of the security
rises above the trailing stop. Your position has been stopped out.
When you exit the trading rules, you should have a suggested trading
position.
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