This strategy was featured in the December 2012 issue of Active Trader magazine.

The Wealth-Lab Moving Average idea by Gene Geren.

Requires installed Community Indicators library v.2012.06 or higher.

Determine the WLMA’s variable lookback period:

1. Determine the initial number (n) of swing points to use in the calculation (e.g. five bars).
2. Count the number of price bars it takes for the nswing points to form.
3. To determine the current look-back period, divide step 2 by step 1 and round the result.

System rules:

1. Buy tomorrow on the open when today’s close is at or below the lower WLMA band minus 1%.
2. Sell tomorrow on the open when today’s close is above the upper WLMA band.
3. Sell with a stop-loss if the position’s loss exceeds 20%