The program rules are as follows:
To generate a buy signal:
1. | |
2. | The market subsequently must exceed the high price of the set-up bar. When both steps are met, a new buy signal is generated, indicating that the market is now in a confirmed up-trend. |
To generate a sell signal:
1. | On the daily chart, the market must close below the band (both the 23 and 30 moving averages). This is the set-up bar for a potential sell signal. |
2. | If the market then exceeds the low price of the set-up bar, a new sell signal is generated, indicating that the market is now in a confirmed downtrend. Using these simple rules, 13 signals were generated for the 2003 crude oil contract year. |