Feeder Cattle Volume Breakout | Strategy of the Month February 2022

Feeder Cattle is a market in which trading volumes send strong forward-looking price signals. In this video, Dave Whitcomb, CFA, Head of Research, shows you a complete systematic trading strategy that's profited from the high-volume breakouts in Feeder Cattle futures.

Timestamps:

0:00 Feeder Cattle is a Small, Illiquid Market
0:54 What Makes the Feeder Cattle Unique
1:29 Volume Sends Important Forward-Looking Price Signals
1:40 Fully-Coded Volume-Close Filter System
2:43 System Profit Statistics
3:12 Three Things to Like About this System
3:51 Simple, Its Works, We Know Why It Works
4:05 Where to Find Other Strats Like This

Full Code:

Inputs: LengthFixed(10), ProfitTarget(3000), StopLoss(1000), BarsAfterEntry(20);
Variables: VolumeCloseFilter(0);
VolumeCloseFilter = Volume * (close-close[1]);
If Time ◄ 1200 and ((high[0]►(low[0]+low[0]*0.75/100))) then begin
If VolumeCloseFilter ► 0 and VolumeCloseFilter ►= highest(VolumeCloseFilter, LengthFixed)[1] then buy next bar at high stop;
end;
If ((high[0]►(low[0]+low[0]*0.75/100))) and ((close[1]-low[1])◄0.20*(high[1]-low[1])) = False
then begin
If VolumeCloseFilter ◄ 0 and VolumeCloseFilter ◄= lowest(VolumeCloseFilter, LengthFixed)[1] then sellshort next bar at low stop;
end;
if ProfitTarget ►0 Then SetProfitTarget(ProfitTarget);
if StopLoss ► 0 Then SetStopLoss(StopLoss);
if barssinceentry ►= BarsAfterEntry then
begin if marketposition ► 0 then sell next bar at market;
if marketposition ◄ 0 then buytocover next bar at market;
end;

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