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2002issue C031-4

Inspect mechanical stochastic daytrade rules on one bar

A sell-side daytrading procedure requires stacked FastD conditions before a support sell stop is armed, then applies a same-session gate and a session-close exit. Bar-level commentary is compared with the chart so the coded rules can be confirmed against the intended design.

  • A sell stop is armed at the lowest low of the last 10 bars only after a 45-period FastD reading above 70, a prior-bar 7-period FastD reading above 88, and a current 7-period FastD turn lower are all true.
  • The slower FastD condition may be satisfied only on the day the trade would be entered, and the boolean flag is forced false on the second-to-last bar of the session.
  • The system is specified for five-minute bars and closes every position at the end of the trading session, with no other protective stop described in the construction.
  • Bar-level commentary of both FastD values, the 10-bar lowest-low support level, and the entry flag is compared with the same quantities on the chart to confirm the coded conditions match the intended design.
Entries in this reading3 entries
Mechanical trading system158 readingsCurrent trackStochastic oscillator170 readingsRule-based entry174 readings

Stack the FastD conditions before arming a stop

The sell-side daytrading procedure is constructed so that three Stochastic oscillator conditions must all be true before a sell stop is armed. A 45-period FastD reading must stand above 70, the prior-bar 7-period FastD reading must stand above 88, and the current 7-period FastD must turn lower.

Only then is a sell stop armed at the lowest low of the last 10 bars.

Keep the slower FastD gate inside the same session

The same-session constraint is built into the procedure. The slower FastD condition may be satisfied only on the day the trade would be entered.

The boolean flag is forced false on the second-to-last bar of the session.

Specify the holding rule as a same-day exit

The mechanical holding rule is a same-day exit. The system is specified for five-minute bars and closes every position at the end of the trading session.

No other protective stop is described in the construction.

Confirm the coded bar against the intended design

A bar-level commentary output is used during construction to display both FastD values, the 10-bar lowest-low support level, and the true or false state of the entry flag on a selected bar.

The construction check compares those commentary values with the same stochastic and price quantities shown on the chart so the coded conditions can be confirmed as matching the intended entry design.

Exercise the assembled rules as a sell-side illustration

The procedure was exercised on September 2001 S&P 500 five-minute data from August 20 through September 5, 2001, as a sell-side-only illustration of the assembled rules.

Sell-side dual stochastic daytrade P/L on the September 2001 S&P 500

The sell-only five-minute rules booked $6,800 net on the September 2001 S&P 500 contract, from $12,725 of gross gains against $5,925 of losses and a $3,950 peak intraday drawdown. Dollar figures are the All Trades lines on the TradeStation performance summary for 20 August through 5 September 2001.
The sell-only five-minute rules booked $6,800 net on the September 2001 S&P 500 contract, from $12,725 of gross gains against $5,925 of losses and a $3,950 peak intraday drawdown. Dollar figures are the All Trades lines on the TradeStation performance summary for 20 August through 5 September 2001.September 2001 S&P 500 (SP200109) · 5 min · 2001-08-20T00:00:00.000Z to 2001-09-05T00:00:00.000Z

The source tested only the short side, armed a sell stop at the 10-bar lowest low, and exited at the session close with no other stop. Eight trades, 37.5 percent winners, profit factor 2.15, one contract.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
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All readings on this track · 42 readings
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  2. 1989Building the stochastic oscillator from close location
  3. 1990Monthly stochastics as a multi-year bond regime filter
  4. 1990Walk-forward screen for yen indicator rules
  5. 1990Slow stochastic construction for index pullback entries
  6. 1991Random Walk Index construction with an adaptive lookback
  7. 1991Building a two-stage stochastic oscillator from close location
  8. 1992Constructing fast and slow stochastic oscillator lines
  9. 1992Constructing nested stochastic lookbacks
  10. 1994Construct the four-state price-volume rank before filtering it
  11. 1996Crowded stochastics, false breakouts, and hidden stops
  12. 1997Fade and follow entries from stochastic extremes
  13. 1998Oversold confirmation as a staged rule-based-entry case
  14. 1999Constructing regular and slow stochastic oscillators
  15. 2001Construct a variable-interval simple moving average from stacked extremes
  16. 2001Threshold RSI and stochastic setups with next-bar stops
  17. 2001Two tests of a rate-adjusted earnings-yield gap
  18. 2002Constructing a two-line stochastic from a range-normalized close
  19. 2002Inspect mechanical stochastic daytrade rules on one bar
  20. 2003Constructing an adaptive stochastic RSI
  21. 2003Four parameters that construct a stochastic oscillator
  22. 2004Volume breakout as signal, pullback as entry
  23. 2004A first currency-market checklist with two averages and a slow stochastic
  24. 2005Shared-scale cycle indexes with companion oscillators
  25. 2005Current-bar versus prior-bar range construction for the stochastic oscillator
  26. 2005Two-session moving-average pullback short
  27. 2006Market condition as a permission layer for moving averages and oscillators
  28. 2008Lock the stop at support before sizing a stochastic entry
  29. 2010Construct a center-line volume oscillator and read it with a stochastic oscillator
  30. 2010Sharpened RSI turns with rainbow averages and a slow stochastic
  31. 2011Build a Spearman rank oscillator from ordered closes
  32. 2012Gold as a regime-dependent hedge in the euro-area crisis
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  34. 2014Two-leg stochastic stress oscillator as a rebuild drill
  35. 2014Ingress dates as price bases for relative strength, stochastics, and moving averages
  36. 2017Constructing a dual EMA stochastic from range normalization
  37. 2018Constructing a two-stage stochastic RSI for comparable price-oscillator divergences
  38. 2018Combining a weekly stochastic, a long moving average, and two-day resistance
  39. 2018Weekly and daily stochastic readings with a long moving average and support
  40. 2018A confirming workflow for rotating from discretionary to staples
  41. 2019Stochastic scan thresholds, averages, and formula syntax
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