CTA George Kleinman presented a long/short trend following strategy at the end of his 2005 book "Trading Commodities and Financial Futures." He refers to it as the TMVTT Strategy. The other interesting strategy in that book is the Voice From The Tomb strategy (really!) which I haven't tested yet.
Anyway, TMVTT uses daily data, with two simple rules:
1. For longs, on a daily chart the market must close above the 23 and 30 day EMA. This day forms what is known as the set-up bar.
2. The market must subsequently exceed the high of the set-up bar to generate the buy signal.
Opposite for shorts... making it an "always in" strategy.
As this is a trend following method, he does conceed that it will perform poorly in a choppy market and suggests using it against at least three different diverse instruments (a currency, a grain, and a metal or index product are suggested). There is also a suggestion that identifying chop and sitting it out will save you money (:)).
Strategy attached. It has some interesting results in backtesting, but the code as-is is wrong. I have been unable to figure out a way to code the set up bar logic.
If anyone can help with the set up bar logic that would be great.