tested my own variation of the system using a moving average condition to filter the trades in addition to the range filter. If you compare their code with mine you'll also see that I have reversed the threshold signals, keeping with my tendency to "do the opposite" per my earlier Castanza studies. Average holding times are about a week and over the test period the system generated about 1 trade/month. Clearly the short side has wildly outperformed the long side, as reflected in the equity chart and the downtrend that has characterized the markets for the last 14 months. As I have mentioned before, my use of the system would be to confirm other Kit of Part system signals for short term cycle tops and cycle bottoms. This, in turn, guides the daily bias of my daytrading. . . either selling the rallies or buying the dips. . .depending on the direction of short term momentum.
Finally, I hope you checked into the Future I-Trade site I mentioned yesterday. The presentation by 20 year trading veteran Al Brooks is really an eye-opener for daytraders as Al uses no indicators (other than a 20 EMA) to guide his trades. Clearly a unique approach and packed with nuggets of trading wisdom.
As usual, blogger is not letting post the open code beacuse of the > symbols. The open code is posted as comment #1 for you cut and pasters.