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Description:

This follows institutional investing by using volume as an indicator.

Formula:

/*
Follow The Leader.
Kelly Griffiths (4Oct04)

Large volume trades can have a quick impact on the price of a position up or 
down (supply and demand).  Institutions are typically responsible for
most large volume trades.  I developed this formula to track the trading 
activity of institutional investors, so that a small investor can capitalize
on thier research without doing the research.

Some assumptions are made that are typical of institutional investors.  The
first assumption is that institutional investors follow trading practices 
that require them to sell at certain percentage gains or losses.  The next 
assumption is that institutional investors will not hold on to a stock 
for more than a given number of days in order to minimize their exposure.
The final assumption is that institutional investors have done their
homework and know when to buy, hold or sell.

This formula identifies the days when institutional investors buy or sell
(SinceLastHit).  It also records the price that was paid on that day 
(CLast).  It then tracks the profit/loss that the institutional holders 
have made since their purchase (ChLast).  Using some averages, I came up 
with some settings to determine what the selling points will be 
(SellHigh and SellLow) and how many days to hold the position (StopBars). 

My goal is not to present the most optimal solution, although this is not bad
as it stands.  My intent is to share the fundamental formula so that others
can integrate it with their own trading systems.
*/


// Settings
SellHigh = 15;			// Selling percentage for profit
SellLow = -11;			// Selling percentage for loss
StopBars = 70;			// Time window to hold position
BackRef = 150;			// Number of days to look back (identify peaks)
MaxChLast = 2.8;			// This ensures the profit is not already gone
RSIMin = 40;				// Minimum RSI for entry


// Number of bars since the last volume spike
SinceLastSpike = BarsSince(V>(MA(V,BackRef)+StDev(V,BackRef)));
// Closing price since the last volume spike
CLast = Ref(C,-SinceLastSpike);
// Profit/loss percentage (multiplied by 100)
ChLast = ((C-CLast)/CLast)*100;


// Trading rules
PositionScore = RSI();
Buy = Cross(ChLast,0) AND (ChLast<MaxChLast) AND IIf(RSI()>RSIMin,1,0);
Sell = Cross(ChLast,SellHigh) OR Cross(SellLow,ChLast);
ApplyStop(stopTypeNBar,stopModeBars,StopBars);


// Exploration 
Filter = Buy OR Sell;
AddColumn(IIf(Buy,66,83),"Signal",formatChar);
AddColumn(SinceLastSpike,"Bars since last spike");
AddColumn(ChLast,"Change % since last spike");
AddColumn(RSI(),"Reletive strength");

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