This strategy was featured in the September 2010 issue of Active Trader magazine.

Entry rules:

1. Go long tomorrow on a stop at the highest high of the past 20 days when the closing price is above the 100-day simple moving average of closing prices.
2. Go short tomorrow on a stop at the lowest low of the past 20 days when the closing price is below the 100-day simple moving average of closing prices.

Efficiency ratio exit rules:

1. Set the initial stop at six times the 10-day ATR from the entry price (below for long trades, and above for short trades).
2. If the 10-day Efficiency Ratio is below 0.3, leave the stop level as its current level.
3. If the ER is above 0.3 but below 0.6, subtract 0.1 of the 10-day ATR from the stop distance for long trades, or add 0.05 of the 10-day ATR for short trades.
4. If the ER is above 0.6, subtract 0.2 ATRs from the stop distance for long trades or add 0.1 for short trades.
5. The trailing stop level is only modified when the new stop price is above (when long) or below (when short) the current trailing stop price.
6. Sell/cover tomorrow on a stop at the trailing stop level.