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Hi T.O Will have to read the article again, maybe it will say, will
advise later.
Ray
--- In amibroker@xxxxxxxxxxxxxxx, "t_ohrt" <to56@xxx> wrote:
>
> Ray,
>
> can you explain in words how the filters are supposed to work?
>
> T.O.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "me_rayme" <rayme9@> 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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