Trade Size & Detecting Breakouts?
In “Detecting Breakouts” article of Stocks & Commodities magazine (issue January 2005), Markos Katsanos presents a relatively simple breakout system designed for trading penny stocks. The system itself combines a couple of indicators to detect breakouts from the base. The code in listing 1 plots normalized standard deviation chart along with the chart of standard deviation multiplied by ADX indicator. The code in listing 2 implements trading system presented in the article. One note of caution should be added to the system test results presented in the article: the author mentions 2728% profit gained trading VION over 1758 days, while these results are completely unrealistic due to the fact that the liquidity of stock in question does not allow to enter such huge positions that result from compounding. For example 3rd trade (50K shares at approx $0.30) on VION occurs in the middle of April 2004 when total daily trading volume is just about 50K shares. One can not place such huge orders
