This strategy was featured in the October 2010 issue of Active Trader magazine.

System rules:

1. Go long with a stop order at the highest high of the past 55 days.
2. Exit long position with a stop-loss at the lowest low of the past 90 days.
3. If the exited long position was a loser, go short (and double the trade size) at the close of the same day.
4. Cover short position with a stop-loss at the high-est high of the past 55 days.

Money management rules:

1. Set the initial stop at six times the 10-day ATR from the entry price (below for long trades, above for short trades).
2. For long trades subtract 0.1 of the 10-day ATR from the stop distance each day; for short trades add 0.05 of the 10-day ATR each day.
3. Whenever price makes a new high in a long trade, subtract 0.2 ATRs from the stop distance. Whenever price makes a new low in a short trade, add 0.1 ATRs to the stop distance.
4. The trailing stop level is only modified when the new stop price is above (when long) or below (when short) the current trailing stop price.
5. Sell/cover tomorrow on a stop at the resulting trailing stop level.

Pyramiding PosSizer requires installed MS123 PosSizers library!