BEGIN Investor/RT TRADING SIGNAL DEFINITION for VF_Main COMMENT=NONE SOURCE=Chad Payne PLATFORM=Windows 7 (6.1, Build 1DB0) DATE=06/22/2010 10:42 VERSION=10.2.1 DATAFEED=IQFEED NAME=VF_Main BARCOUNT=AUTOMATIC ELEM=V#12:Target (V#12) ELEM=V#13:Stop (V#13) ELEM=CTX:RTL Context ELEM=CTX_OPTI:Optimizing ELEM=POS:Position Indicator:POS[ ] Result 1 PREFS: 0,255,0,1,0,0,255,0,0,1,0,0,1,6,744744,10, ELEM=V#15:V#15 ELEM=POS_STATE:Backtesting 1=Long 2=Short ELEM=V#16:BandBasis (V#16) ELEM=V#17:V#17 ELEM=CTX_BKTST:Backtesting ELEM=CTX_TSYS:TSYS Indicator Context ELEM=TRUE:TRUE SIGNAL=IF(CTX != CTX_OPTI) THEN (SET(V#12, 9.75) AND SET(V#13, 5) AND SET(V#16, 7)); /* V#12 = Target, V#13 = Stop, V#16 = Band Basis*/ - Comments END Investor/RT TRADING SIGNAL DEFINITION for VF_Main BEGIN Investor/RT TRADING SIGNAL DEFINITION for VF_EOD_Exit COMMENT=NONE SOURCE=Chad Payne PLATFORM=Windows 7 (6.1, Build 1DB0) DATE=06/22/2010 10:42 VERSION=10.2.1 DATAFEED=IQFEED NAME=VF_EOD_Exit BARCOUNT=AUTOMATIC ELEM=POS:Position Indicator:POS[ ] Result 0 PREFS: 0,255,0,1,0,0,255,0,0,1,0,0,0,6,744744,10, SIGNAL=POS = 1 - Comments END Investor/RT TRADING SIGNAL DEFINITION for VF_EOD_Exit BEGIN Investor/RT TRADING SIGNAL DEFINITION for VF_CoverStop COMMENT=NONE SOURCE=Chad Payne PLATFORM=Windows 7 (6.1, Build 1DB0) DATE=06/22/2010 10:42 VERSION=10.2.1 DATAFEED=IQFEED NAME=VF_CoverStop BARCOUNT=AUTOMATIC ELEM=LO:Low ELEM=ENTRY:Entry price ELEM=V#10:V#10 ELEM=HI:High ELEM=V#13:Stop (V#13) ELEM=V#15:V#15 ELEM=V#11:V#11 SIGNAL=SET(V#11, ENTRY + V#13);\HI >= V#11 AND SET(V#10, V#11); - Comments END Investor/RT TRADING SIGNAL DEFINITION for VF_CoverStop BEGIN Investor/RT TRADING SIGNAL DEFINITION for VF_SellStop COMMENT=NONE SOURCE=Chad Payne PLATFORM=Windows 7 (6.1, Build 1DB0) DATE=06/22/2010 10:42 VERSION=10.2.1 DATAFEED=IQFEED NAME=VF_SellStop BARCOUNT=AUTOMATIC ELEM=LO:Low ELEM=ENTRY:Entry price ELEM=V#10:V#10 ELEM=V#13:Stop (V#13) ELEM=V#15:V#15 ELEM=V#11:V#11 SIGNAL=SET(V#11, ENTRY - V#13);\LO <= V#11 AND SET(V#10, V#11) - Comments END Investor/RT TRADING SIGNAL DEFINITION for VF_SellStop BEGIN Investor/RT TRADING SIGNAL DEFINITION for VF_Cover COMMENT=NONE SOURCE=Chad Payne PLATFORM=Windows 7 (6.1, Build 1DB0) DATE=06/22/2010 10:42 VERSION=10.2.1 DATAFEED=IQFEED NAME=VF_Cover BARCOUNT=AUTOMATIC ELEM=HI:High ELEM=VWAPI:VWAP Indicator:VWAP[ ] PREFS: 255,0,0,1,2,0,0,128,0,1,0,0,6,10021002,T,F,1.000000,2.000000,255,0,0,1,0,0,0,0,0,0,0,0,0,128,0,1,0,0,0,0,0,0,0,0,0,240,120,0,1,0,0,240,120,0,1,0,0,3.000000,F,F,F,F,3350039956,F,F,405,F, ELEM=V#10:V#10 ELEM=LO:Low ELEM=V#11:V#11 ELEM=ENTRY:Entry price ELEM=V#12:Target (V#12) ELEM=V#15:V#15 SIGNAL=SET(V#11, ENTRY - V#12); /* VWAPI */\LO <= V#11 AND SET(V#10, V#11) - Comments END Investor/RT TRADING SIGNAL DEFINITION for VF_Cover BEGIN Investor/RT TRADING SIGNAL DEFINITION for VF_Sell COMMENT=NONE SOURCE=Chad Payne PLATFORM=Windows 7 (6.1, Build 1DB0) DATE=06/22/2010 10:42 VERSION=10.2.1 DATAFEED=IQFEED NAME=VF_Sell BARCOUNT=AUTOMATIC ELEM=HI:High ELEM=VWAPI:VWAP Indicator:VWAP[ ] PREFS: 255,0,0,1,2,0,0,128,0,1,0,0,6,10021002,T,F,1.000000,2.000000,255,0,0,1,0,0,0,0,0,0,0,0,0,128,0,1,0,0,0,0,0,0,0,0,0,240,120,0,1,0,0,240,120,0,1,0,0,3.000000,F,F,F,F,3350039956,F,F,405,F, ELEM=V#10:V#10 ELEM=V#11:V#11 ELEM=ENTRY:Entry price ELEM=V#12:Target (V#12) ELEM=V#15:V#15 SIGNAL=SET(V#11, ENTRY + V#12); /* VWAPI */\HI >= V#11 AND SET(V#10, V#11) - Comments END Investor/RT TRADING SIGNAL DEFINITION for VF_Sell BEGIN Investor/RT TRADING SIGNAL DEFINITION for VF_Buy COMMENT=NONE SOURCE=Chad Payne PLATFORM=Windows 7 (6.1, Build 1DB0) DATE=06/22/2010 10:42 VERSION=10.2.1 DATAFEED=IQFEED NAME=VF_Buy BARCOUNT=AUTOMATIC ELEM=LO:Low ELEM=V#10:V#10 ELEM=VWAPL:VWAPI Lower Band:VWAP[ ] PREFS: 255,0,0,1,2,0,0,128,0,1,0,0,6,10021002,T,F,7.000000,2.000000,255,0,0,1,0,0,0,0,0,0,0,0,0,128,0,1,0,0,0,0,0,0,0,0,3,240,120,0,1,0,0,240,120,0,1,0,0,3.000000,F,F,F,F, ELEM=TIME: Bar Time - hhmm.ss ELEM=V#15:V#15 ELEM=V#16:BandBasis (V#16) ELEM=VWAPI:VWAP Indicator:VWAP[ ] PREFS: 255,0,0,1,2,0,0,128,0,1,0,0,6,10021002,T,F,1.000000,2.000000,255,0,0,1,0,0,0,0,0,0,0,0,0,128,0,1,0,0,0,0,0,0,0,0,0,240,120,0,1,0,0,240,120,0,1,0,0,3.000000,F,F,F,F,3350039956,F,F,405,F, SIGNAL=LO <= VWAPI.1 - V#16 AND LO.1 > VWAPI.2 - V#16 AND SET(V#10, VWAPI.1 - V#16) AND TIME >= 0930 AND TIME <= 1530 - Comments END Investor/RT TRADING SIGNAL DEFINITION for VF_Buy BEGIN Investor/RT TRADING SIGNAL DEFINITION for VF_Short COMMENT=NONE SOURCE=Chad Payne PLATFORM=Windows 7 (6.1, Build 1DB0) DATE=06/22/2010 10:42 VERSION=10.2.1 DATAFEED=IQFEED NAME=VF_Short BARCOUNT=AUTOMATIC ELEM=LO:Low ELEM=V#10:V#10 ELEM=TIME: Bar Time - hhmm.ss ELEM=HI:High ELEM=VWAPU:VWAPI Upper Band:VWAP[ ] PREFS: 255,0,0,1,2,0,0,128,0,1,0,0,6,10021002,T,F,7.000000,2.000000,255,0,0,1,0,0,0,0,0,0,0,0,0,128,0,1,0,0,0,0,0,0,0,0,3,240,120,0,1,0,0,240,120,0,1,0,0,3.000000,F,F,F,F, ELEM=V#15:V#15 ELEM=V#16:BandBasis (V#16) ELEM=VWAPI:VWAP Indicator:VWAP[ ] PREFS: 255,0,0,1,2,0,0,128,0,1,0,0,6,10021002,T,F,1.000000,2.000000,255,0,0,1,0,0,0,0,0,0,0,0,0,128,0,1,0,0,0,0,0,0,0,0,0,240,120,0,1,0,0,240,120,0,1,0,0,3.000000,F,F,F,F,3350039956,F,F,405,F, SIGNAL=HI >= VWAPI.1 + V#16 AND HI.1 < VWAPI.2 + V#16 AND SET(V#10, VWAPI.1 + V#16) AND TIME >= 0930 AND TIME <= 1530 - Comments END Investor/RT TRADING SIGNAL DEFINITION for VF_Short BEGIN Investor/RT TRADING SYSTEM DEFINITION for VWAP_Fade SOURCE=Chad Payne PLATFORM=Windows 7 (6.1, Build 1DB0) DATE=06/22/2010 VERSION=10.2.1 DATAFEED=IQFEED NAME=VWAP_Fade PERIODICITY= 1 Minute SYSTEM=VWAP_Fade,.All Symbols,@ES#,1,31,17330639,10,10,0.000000,0.000000,3360047894,3348172800,3350391007,50,3,\0,VF_,1,0,31,0.000000,0.000000,50,0,\0,0,0,^TYX,100000.000000,0.000000,0.000000, FIND=VF_ RULE 1: Action: NONE, Signal: VF_Main,11,2,10,33,0,16,0,0,24,0,0,0,0,0,0,3,1,0, RULE 2: Action: SELL, Signal: VF_EOD_Exit,5,2,10,33,0,16,0,0,24,0,0,0,0,0,0,3,1,0, RULE 3: Action: COVERSHORT, Signal: VF_EOD_Exit,10,2,10,33,0,16,0,0,24,0,0,0,0,0,0,3,1,0, RULE 4: Action: COVERSHORT, Signal: VF_CoverStop,10,41,10,33,0,16,0,0,24,0,0,0,0,0,0,3,1,0, RULE 5: Action: SELL, Signal: VF_SellStop,5,41,10,33,0,16,0,0,24,0,0,0,0,0,0,3,1,0, RULE 6: Action: COVERSHORT, Signal: VF_Cover,10,41,10,33,0,16,0,0,24,0,0,0,0,0,0,3,1,0, RULE 7: Action: SELL, Signal: VF_Sell,5,41,10,33,0,16,0,0,24,0,0,0,0,0,0,3,1,0, RULE 8: Action: BUY, Signal: VF_Buy,1,41,10,33,0,16,0,0,24,0,0,0,0,0,0,3,1,0, RULE 9: Action: SELLSHORT, Signal: VF_Short,6,41,10,33,0,16,0,0,24,0,0,0,0,0,0,3,1,0, END Investor/RT TRADING SYSTEM DEFINITION for VWAP_Fade