PMKing Trading LLC
The Efficiency System
***** OMG *****

This mini-eBook describes in detail a complete trading system based on a way to measure the “efficiency” of price movement of financial instruments.  For the purposes of testing this system, the S&P 500 Exchange Traded Fund (SPY) was used.  The concepts and ideas presented, however, could be applied to any liquid financial instrument or list of financial instruments where historical price data is readily available.


A trading system consists of the following main components


  1. Beliefs and Idea
  2. Tradable Instrument List
  3. Setup
  4. Entry
  5. Position Sizing
  6. Exits


Each component of the system will be discussed specifically for the Efficiency System idea presented.


The actual code for the system is written in TradeStation® EasyLanguage® and is included at the end of this eBook and is available as an EasyLanguage® Document (ELD) by contacting us.


Formatting Conventions


The following formatting conventions have been used for different parts of this eBook.


Trading system code is represented using the Courier font, for example:


if Close[1] > High then


Formulas are represented in bold, for example:


Distance Traveled = å True Range over Time Period


Spreadsheet formulas are represented by the small Courier font, for example:



© PMKing Trading LLC 2002-2015.  Disclaimer & Other Legal Stuff.