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Ray,
can you explain in words how the filters are supposed to work?
T.O.
--- In amibroker@xxxxxxxxxxxxxxx, "me_rayme" <rayme9@xxx> wrote:
>
> 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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