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FYI,
Here is some code for Kase Dev Stops mentioned in the article posted
earlier:
Wayne
//*********************************************************
//Kase DevStop I
AVTR= MA(HHV(H,3) - LLV(L,2),21);
SD= StDev(HHV(H,3) - LLV(L,2),21);
Val4= HHV(H-AVTR-3.4*SD,21);
Val3= HHV(H-AVTR-2.1*SD,10);
Val2= HHV(H-AVTR-SD,34);
Val1= HHV(H-AVTR,21);
/* Kase DevStop II
Pd= Param("Max Length",13,100,30,2);
RWH= (H-Ref(L,-Pd))/(ATR(Pd)*sqrt(Pd));
RWL= (Ref(H,-Pd)- L)/(ATR(Pd)*sqrt(Pd));
Pk= WMA((RWH-RWL),3);
AVTR= MA(HHV(H,2) - LLV(L,2),20);
SD= StDev(HHV(H,2) - LLV(L,2),20);
Val4= IIf(Pk>0,HHV(H - AVTR-3.6*SD,21),LLV(L + AVTR+3*SD,21));
Val3= IIf(Pk>0,HHV(H - AVTR-2.2*SD,10),LLV(L + AVTR+2*SD,10));
Val2= IIf(Pk>0,HHV(H - AVTR-1.0*SD,30),LLV(L + AVTR+SD,30));
Val1= IIf(Pk>0,HHV(H - AVTR,21),LLV(L + AVTR,21));*/
Plot(Val4,"3SDev",IIf(Val4 > C OR Val4 < Ref(Val4,-1),34,42),24);
Plot(Val3,"2SDev",IIf(Val3 > C OR Val3 < Ref(Val3,-1),16,34),24);
Plot(Val2,"1SDev",6,24);
Plot(Val1,"Warning",32,1);
Plot(C,"close",55,64);
/*As can be seen from the formula, Kase uses standard deviations for the
user to decide at what point to exit a position. Stops are set where
there is increasing statistical probability of reversal against the
trend. This issupposedly based on the log normal shape of the curve of
the range curve.The manual which describes how to operate the software
is at http://www.fimi.com/Kase/k0.htm
Philosophy:
The DevStop is the closest we can come to an ideal stop level in the
real world. The indicator mathematics accounts for volatility (which is
directly proportional to risk), AND also for the variance of volatility
(how much risk changes from bar to bar) AND volatility skew (the
propensity for volatility to spike higher from time to time).
Specifically, the DevStop places exit points at 1, 2 AND 3 standard
deviations over the mean two bar True Range, corrected for skew. So we
can take profit OR cut losses at levels at which the probability of a
trade remaining profitable is Low, without taking more of a loss OR
cutting profits any sooner than necessary.
Interpretation:
The stop consists of four exit points, a Warning line AND Dev 1, 2 AND
3. Two closes against the warning count as Dev 1.*/
>
>
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