Spreadsheet: john_arnold__15462__autotrader2
Sheet: model3

 | Constants |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Transaction Formula Lookup Table |  |  |  | Spreads Lookup Table
 | Intensity Factor |  |  |  | 4 |  | Spread Minimum |  |  |  | 0.04 |  |  |  | Position Sensitivity |  | 40000 |  | BuySell Ratio | 0.7
 | Dead Interval |  |  |  | 240 |  | Offset Minimum |  |  |  | 0 |  |  |  | V-Factor adjust |  | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | Trans | Spread | Offset |  | Intensity | Spread
 | Offset Reversion Ratio (ORR) |  |  |  | 0.1 |  | 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 |  |  |  | Whipsaw Test |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.01
 | V1 | <=3 |  | n/a | -0.01 | F | S1 |  |  | >220 | -0.01 |  |  |  | With high momentum, contrary trades should cause a shock widening of spread. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.02
 | V2 | >3 |  | n/a | 0.01 | F | S2 |  |  | <20 | 0.01 |  |  |  | If the market is whipsawing, the high offset (shocked spread) ensures the whipsaw is led. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.02
 | V3 | >5 |  | 0.01 | 0.02 | F | S3 |  |  | <10 | 0.02 |  |  |  | If the market is not whipsawing, the spread will contract until a trade is done on either side. |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.02
 | V4 | >10 |  | 0.02 | 0.04 | F |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.02
 | V5 | >13 |  | 0.04 | 0.15 | F |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.02
 | V6 | >20 |  | n/a | n/a | T |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.04
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.04
 | Application Example |  |  |  |  | V-Factor Adjusted |  | [NAME] |  |  |  | [NAME] |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.04
Entry | Time (sec) | Action | Intensity | #Buys | #Sells | #Buys | #Sells | #Buys | #Sells | Buy Offset | [NAME] | Buy Offset | [NAME] | Spread | Bid | Offer | Mid | Last Trade | WAB | WAS | Total Buys | Total Sells | Net Pos | Cash | MTM |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.15
1 | 0 | Start | 240 | 0 | 0 |  |  |  |  |  | 0 |  |  |  | 25 | 25.04 |  |  |  |  |  |  | 1e-05 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.15
 |  | Sell | 240 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.15
 |  | Sell | 240 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.15
 |  | Sell | 240 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.15
 |  | Sell |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.15
 |  | Sell |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 0.15
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