The SuperVolume presents itself!

A. Aldrovandi

You can see the gross equity line on the left and the net equity line (commissions and slippage included) on the right.
We include the tests carried out at the time (in 2013) on the Dax30 futures at 60 minutes (eSignal data), also showing the difference between the equity line without considering slippage and th equity line with 35 € slippage + trade commissions.
As always, the spirit of these articles is not to provide a ready-to-use formula but a search and study base for advanced enthusiasts, neophytes and traders. There are many improvements that can be made to this strategy but sensitivity and experience are needed …
Good study and good trading !!

The last 4 trades.

Equity line without commissions on the left,and net equity line on the right.

// Multicharts Code

[LegacyColorValue = true];

vars: PriceW(0), ShareW(0), Count(0), VolWAPValue(0), VolWAPVariance(0), VolWAPSD(0);

if date > date[1] then begin PriceW = 0; ShareW = 0; Count = –1; Value1 = 0; Value2 = 0; VolWAPValue = 0; end; PriceW = PriceW + (AvgPrice * (UpTicks+DownTicks)); ShareW = ShareW + (UpTicks+DownTicks); Count = Count + 1; Value3 = 0; if ShareW > 0 then VolWAPValue = PriceW / ShareW; For Value1 = 0 To Count Begin if sharew <> 0 then Value2 = ((UpTicks[Value1]+DownTicks[Value1])/ShareW) * (Square(AvgPrice[Value1]-VolWAPValue)); Value3 = Value3 + Value2; End; VolWAPVariance = Value3;

Var: volatilita(0), prezzomediano(0), bandaup(0), bandadn(0), trend(0), supertrend(0), colore(0), inizio(0); input: Moltiplicatore(2), Nm_periodi(75); volatilita = avgtruerange(Nm_periodi); prezzomediano = (H + L) / 2; bandaup = prezzomediano + (moltiplicatore * volatilita); bandadn = prezzomediano – (moltiplicatore * volatilita); if inizio = 0 then begin trend = 1; inizio = 1; end; if trend = 1 and C < bandadn[1] then Begin trend = –1; bandaup = prezzomediano + (moltiplicatore * volatilita); supertrend = bandaup; end; if trend = 1 and C >= bandadn[1] and bandadn < bandadn[1] then Begin bandadn = bandadn[1]; supertrend = bandadn; end; if trend = 1 and C >= bandadn[1] and bandadn >= bandadn[1] then supertrend = bandadn; if trend =-1 and close > bandaup[1] then begin trend = 1; bandadn = prezzomediano – (moltiplicatore * volatilita); supertrend = bandadn; end; if trend =-1 and close <= bandaup and bandaup > bandaup[1] then begin bandaup = bandaup[1]; supertrend = bandaup; end; if trend =-1 and close <= bandaup and bandaup <= bandaup[1] then supertrend = bandaup; if T >= sess1firstbartime and T < 2000 then begin if close > supertrend and C[1] < supertrend[1] and marketposition = 0 then buy next bar at open; if C < supertrend and C[1] > supertrend[1] and marketposition = 0 then sellshort next bar at open; if marketposition = 1 and C[1] < VolWAPValue[1] and C < VolWAPValue then sell next bar at open; if marketposition = –1 and C > VolWAPValue and C[1] > VolWAPValue[1] then buytocover next bar at open; end;

if barssinceentry >= 5 and openpositionprofit>700 then begin if marketposition = 1 then sell next bar at entryprice+10 stop; if marketposition = –1 then buytocover next bar at entryprice–10 stop; end;