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Date updated:08-05-2007

The QQQQ Crash Plus System

This is a simple long-only system that buys the QQQQ if it has an accelerated down-move or if the position is held for a certain amount of time.

BUY: If the closing value of the Qs is more than 1.5 Standard Deviations below a 10 day moving average of daily lows. BUY at the next day’s open.

SELL: If the system is long the Qs, sell at the close of the second of consecutive up close to close days, or at the close of the 20th day the system has been long.

Backtest: Simulated on the QQQQ from March 1999 until February 2007.

Results: 46 of 62(74.19%) trades successful for an average return of 2.73% per trade.

Simulated using Wealth-lab, a product of Fidelity.

Wealth-Lab Code:

var Bar : integer;

for Bar := 11 to BarCount() - 1 do
begin

if LastPositionActive() then
begin

if ((priceclose(Bar) > priceclose(bar - 1)) AND
(priceclose(bar - 1) > Priceclose(bar - 2))) or (Bar - PositionEntryBar(lastposition) > 20)
then

begin
SellAtClose(bar,lastposition,'SellAtClose');
end;
end
else
begin
if priceclose(bar) < BBandLower( Bar , #low, 10, 1.5) then
begin
buyatmarket(Bar + 1, 'BuyAtOpen');

end;

end;
end;

Check the System Trades of the Day every morning for the latest entry buys triggered by this system.

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