[amibroker] Channel Trading

["me_rayme" <rayme9@xxxxxxx>]

Has anybody converted this to AB and would love to share including 
the plot info. Interesting article.

Ray

June 2007  activetradermag.
TradeStation code for "Short-term, channel trading ," p. 29

The base strategy
inputs:length(10);
vars:lrgh(0),lrgl(0);
lrgh=linearregvalue(h,length,0);
lrgl=linearregvalue(l,length,0);
buy next bar at lrgh stop;
sell short next bar at lrgl stop;

The first filter
if (lrgh > lrgh[1] ) then buy next bar at lrgh stop;
if (lrgl < lrgl[1] ) then sell short next bar at lrgl stop;

The second filter
if (lrgh < lrgh[1] and c<lrgh ) then buy next bar at lrgh stop;
if (lrgl > lrgl[1] and c>lrgl ) then sell short next bar at lrgl stop;

Behle-Conway modified exit strategy

Inputs: stopbars(3), exitfactor(0.25),
length(14), profitbars (3), profitfactor (0.9);
Vars: sellstop(0),Coverstop(0),ATR(0), selltarget1(0),covertarget1
(0),selltarget2(0),covertarget2(0);
ATR=Avgtruerange(length);
Sellstop=lowest(low,stopbars)-(exitfactor*ATR);
Coverstop=highest(high,stopbars)=(exitfactor*ATR);
Selltarget1 =h+(profitfactor*atr);
Covertarget1=low - (profitfactor*atr):
Selltarget2=highest(h,profitbars)+(2*profitfactor*atr);
Covertarget2=lowest(l,profitbars)-(2*profitfactor*atr);
If marketposition<>0 then begin
Sell next bar at sellstop on stop;
Buy to cover next bar at coverstopon stop;
End;
If Marketposition<>0 then begin

Sell currentcontracts/2 contracts next bar at selltarget1 on stop;
Buy to cover currentcontracts/2 contracts next bar at covertarget1 on 
stop;
Sell next bar at selltarget2 on stop;
Buy to cover next bar at covertarget2 on stop;




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