Channel Breakout - Exrem problem.

[gmulhall@xxxx]

Folks,

Attached is a variation on Tomasz's breakout code. This avoids the 
problem of having to specify a percentage threshold as it uses the 
average true range to dynamicaly determine if there has been a 
breakout.

There is also code to ensure you are only looking at a stock which is 
outperforming it's index and that index is out performing the whole 
of market index (XAO - All ordinaries in Aust). 

It's simple but pretty effective. The idea comes from Chris 
Tate's 'The Art of Trading' Wrightbooks.

I still find exrem removes buy signals which I'm not expecting it to. 
Any ideas anyone. 

Tomasz ??

Geoff


/* Breakout - Afl implementation by Geoff Mulhall 18/4/2001 */

dollars = 5000;

range = 20;
maLong = 150;
maShort = 13;
maRelStr = 2;

/* sufficient liquidity ie share purchased less than 2% of weekly 
volume*/

cond1 = dollars/close < 0.02 * sum(volume,maLong)/(maLong/5);

/* Breakout Criteria */

channeltop = ref(hhv(high,range), -1);
channelbottom = ref(llv(low,range),-1);
oneAtr = ref(atr(range),-1);

cond2 = close > channeltop + oneAtr; 

/* one white soldiers detected */

cond3 = close > open; 

/* gradient of the relative strength is increasing compared to its 
index */

cond4 = ma(relstrength(""), maRelStr) >= ref(ma(relstrength(""), 
maRelStr), -1 * maRelStr);

/* relative strength of the stocks index is increasing compared to 
XAO*/

indexStr = relstrength("XAO")/relstrength("");

cond5 = ma(indexStr,maRelStr) >= ref(ma(indexStr, maRelStr), -1 * 
maRelStr);

buy = cond1 AND cond2 AND cond3 AND cond4 AND cond5;

sell = 0; 

/* buy = exrem(buy,sell); */ 
/* sell = exrem(sell,buy); */