Spreadsheet: john_arnold__15462__autotrader2
Sheet: model2

 | Constants |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Transaction Formula Lookup Table |  |  |  | Spreads Lookup Table
 | Intensity Factor |  |  |  | 4 |  | Spread Minimum |  | 0.04 |  | Position Sensitivity |  | 40000
 | Dead Interval |  |  |  | 240 |  | Offset Minimum |  | 0 |  | V-Factor adjust |  | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Trans | Spread | Offset |  | Intensity | Spread
 | Offset Reversion Ratio (ORR) |  |  |  | 0.3 |  | Spread-Offset Minimum |  | 0.01 |  | Spread Sensitivity |  | 0.5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0 | -0.01 |  | 0 | 0.02
 | Transaction Reversion Ratio (TRR) |  |  |  | 0.1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | -0.01 |  | 11 | 0.01
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | -0.01 |  | 20 | 0
 | Transaction Formula |  |  |  |  |  | Intensity Formula |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | -0.01 |  | 220 | -0.01
 |  | INPUTS |  | OUTPUTS |  |  |  | INPUTS | OUTPUTS |  | Model Description: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.01
 | Formula # | # [NAME] |  | Spread | Offset | Suspend | Formula # | Intensity | Spread |  | V-Factor Adjustment. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.01
 | V1 | <=3 |  | n/a | -0.01 | F | S1 | >220 | -0.01 |  | When position exceeds specified level, system will try to reduce position size by accelerating the momentum (V-factor). |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.01 | 0.02
 | V2 | >3 |  | n/a | 0.01 | F | S2 | <20 | 0.01 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.01 | 0.02
 | V3 | >5 |  | 0.01 | 0.02 | F | S3 | <10 | 0.02 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.01 | 0.02
 | V4 | >10 |  | 0.02 | 0.04 | F |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.01 | 0.02
 | V5 | >13 |  | 0.04 | 0.15 | F |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.01 | 0.02
 | V6 | >20 |  | n/a | n/a | T |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.02 | 0.04
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.02 | 0.04
 | Application Example |  |  |  |  | V-Factor Adjusted |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.02 | 0.04
Entry | Time (sec) | Action | Intensity | #Buys | #Sells | #Buys | #Sells | Buy Offset | [NAME] | Spread | Bid | Offer | Mid | Last Trade | WAB | WAS | Total Buys | Total Sells | Net Pos | Cash | MTM |  | Notes |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.04 | 0.15
1 | 0 | Start | 240 | 0 | 0 |  |  |  | 0 |  | 25 | 25.04 |  |  |  |  |  |  | 1e-05 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.04 | 0.15
 |  | Sell | 240 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Initial Offset is zero, Initial Spread is 0.04. Formula V1 applies. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.04 | 0.15
 |  | Sell | 240 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.04 | 0.15
 |  | Sell | 240 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.04 | 0.15
 |  | Sell |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Low Intensity value triggers Intensity [NAME]. The change in spread triggers a Last Trade is Mid action. Note that the sells are reduced by 1 as the buy occurs.V1 also applies. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.04 | 0.15
 |  | Sell |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | S2. Change in spread triggers Last Trade is Mid. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0.04 | 0.15
 |  | Sell |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Increase in #Sells triggers Transaction [NAME], boosting the Sell Offset by 0.01
 |  | Sell |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V2. Note that the following sequence of buys triggers an increasing offset and spread.
 |  | Sell |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V3. Offset now increasing by 0.02 with each Sell. V3 also specifies in increase in Spread by 0.01.
 |  | Sell |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V3
 |  | Sell |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V3
 |  | Sell |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V3. Note that V3 would have increased the offset to equal the spread, but the Spread-Offset Minimum kicks in and adjusts the spread to be 0.01 higher than the offset.
 |  | Sell |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V3
 |  | Sell |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V4. Offset now increased by 0.04 with each Sell
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V4
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V4
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V1 for the Buy. Note that #[NAME] is reduced by the TRR and the Sell offset by the ORR. Spreads reduced 0.01 according to V1.
 |  | Buy |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V3 for the Sell. Note that the impact of the [NAME] was to slow the rate of price increase on the Sells, but the rate of increase quickly resumes over the next few transactions.
 |  | Buy |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V4
 |  | Buy |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V4
 |  | Buy |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V4. Again, the Spread-Offset Minimum impacts the calculation
 |  | Buy |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V5
 |  | Buy |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Dead Interval Passes. The market run is almost out of steam. [NAME] reduced by ORR and transactions by TRR. No change in Spread and no transaction, so prices remain unaffected.
 |  | Buy |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V1 for the Buy. Market starts to reestablish "normal" trading at new level.
 |  | Buy |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Dead Interval Passes.
 |  | Buy |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V3
 |  | Buy |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Dead Interval Passes
 |  | Buy |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V1
 |  | Buy |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Dead Interval Passes
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Dead Interval Passes
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Dead Interval Passes
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Dead Interval Passes
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Multiple Dead intervals deemed to pass here.
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V1,S1 - minimum values apply
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V1,S1 - minimum values apply
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V1,S1 - minimum values apply
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V2,S1
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V2,S3
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V3,S3
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V3,S3
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V3,S3
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V3,S3
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V3,S3
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V4,S3
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V4,S3
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V4,S3
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V5,S3
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V5,S3
 |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | V5,S3
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 |  | [NAME] |  |  |  |  |  |  |  |  | 25 | 25.04
 |  | Buy