3SOF

Probably the original and most famous of mechanical / system trading were the Turtle Traders.

"In mid-1983 famous commodities trader Richard Dennis was having an ongoing dispute with his long-time friend Bill Eckhardt about whether great traders were born or made. Richard believed that he could teach people to become great traders. Bill thought that genetics was the determining factor.

In order to settle the matter, Richard suggested that they recruit and train some traders and give them actual accounts to trade to see which one of them was correct."

The whole experiment was/is fascinating. This link is the 'most official' Turtle site (there are many copies) and gives great overview and detail on the Traders, their systems and approach.

http://www.tradingblox.com/originalturtles/index.htm

The .pdf file I have attached (which is also downloadable from the Turtle site) details the trading system and rules used by the Turtles.

Finally for MetaStock users out there. Here is someMS code which attempts to replicate the Turtle Traders system. To describe it in very simple terms it is based on a break 20 day high, but really the whole system is so much more than that:

Col A: Close C
Col B: Previous Ref(C,-1)
Col C: ROC ROC(C,1,%)
Col D: Avg T/O Mov(C,21,S)*Mov(V,21,S)
Filter: H>=Ref(H,-1) AND H>=Ref(H,-2) AND H>=Ref(H,-3)
AND H>=Ref(H,-4) AND Mov(C,13,E)>
Ref(Mov(C,13,E),-1) AND
Trough(1,L,4)>Trough(2,L,4)AND C>Mov(C,180,E) AND
O>Ref(C,-1) AND L > Ref(H,-5)