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2 Day High With Volume Spike

Description
This is a simple pattern with an increase in volume.

Enter Long/Close Short
Enter long or close short when the day price closes above the high of the last two days and volume is 175% above the 20 day moving average.

Close Long/ Enter Short
Close long or enter short when the day price close is below the low of the last two days and volume is 175% above the 20 day moving average.

Results
Results using 5% of equity per trade
using the DJIA from 1/5/1990 to 10/4/2002 ranged from
 

Stock Annualized
Annual %
Buy & Hold
Annual %
Total Trades Total Profitable Trades Average Profit Average Loss
GM 5.27 -.78 30 20 139.69 -89.99
AA 2.00 .39 46 14 86.45  -92.28

 

Code for Metastock users:
Long
state:=If(BarsSince(C>Ref(H,-2) AND (V>1.75*Mov(V,20,S)))<BarsSince(C<Ref(L,-2) AND (V>1.75*Mov(V,20,S))),1,0);
state=1 AND Ref(state,-1)=0

Short
state:=If(BarsSince(C>Ref(H,-2) AND (V>1.75*Mov(V,20,S)))>BarsSince(C<Ref(L,-2) AND (V>1.75*Mov(V,20,S))),1,0);
state=1 AND Ref(state,-1)=0

 

 

 

 

 

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