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.

Price/momentum exit rules:

1. Set the initial stop at six times the 10-day ATR from the entry price (below for long trades, above for short trades).
2. For long trades subtract 0.1 of the 10-day ATR from the stop distance each day; for short trades add 0.05 of the 10-day ATR each day.
3. Whenever price makes a new high in a long trade, subtract 0.2 ATRs from the stop distance. Whenever price makes a new low in a short trade, add 0.1 ATRs to the stop distance.
4. 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.
5. Sell/cover tomorrow on a stop at the resulting trailing stop level.