That’s the strategy, but what about the trading rules?  How should the opportunities that the strategy finds be traded?  

For the stop loss we used one of the more advanced options available in the OddsMaker.  Instead of using a traditional stop loss we selected ‘Another Alert’ as the exit condition called ‘Trailing stop, volatility down’.  This alert is triggered when a stock moves down an amount equal to the average 15 minute volatility multiplied by the number of 15 minute bars we decide – in this case 2.  For example if the average 15 minute volatility is 10 cents, this alert would not trigger until a stock moves down at least 20 cents.

Here is what The OddsMaker tested for given the following trade rules:

• On each alert, sell short the symbol (price moves down to be a successful trade)
• Schedule an exit for the stocks 30 minutes after entry
• Start trading from the open and stop trading 30 minutes later
• Set a stop using the alert, ‘Trailing stop, volatility down’, with a setting of 2 bars

I have a few other strategies also up and ready to trade, but I’ll watch what comes through here and short the large spikes in price I see from this set-up.