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Dennis Meyers meyersx@xxxxxxxxxxxxxxxxxxx has some code as part of the
"package" of systems he sells.
One is called %UP-%DN and another is $UP-$DN.
I can't send you the code since it would be unfair to this vendor but it
may be what you're looking for.
Carlos Lourenco
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> From: Peter Iovanella <ivo1@xxxxxxxxx>
> To: omega-list@xxxxxxxxxx
> Subject: Using Fib level/retracement stops
> Date: Thursday, June 25, 1998 8:57 AM
>
> I'm trying to figure out how best to code the following idea into a
system
> I'm writing, which waits for trend confirmation based on a moving average
> filter, and enters in the direction of the trend based on breaks
above/below
> key resistance/support points. What I'd like to do is measure the size
of
> the current trend, and tell the system (by way of an exit strategy) to
> ExitShort if the market retraces 13% from its lowest point and ExitLong
if
> the market comes off 11% from it's highest point. What I came up with
was
> this:
>
> Input: Length(55)
>
> IF MP > 0 then begin
> ExitLong at ((Highest(High,Length) - Lowest(Low,Length))*.89 +
> Lowest(Low,Length)) stop;
>
> IF MP < 0 then begin
> ExitShort at ((Highest(High,Length) - Lowest(Low,Length))*.13 +
> Lowest(Low,Length)) stop;
>
> It seems to me there's got to be a better way than just arbitrarily
> assigning some Length input number, and than using the Highest and Lowest
> functions, which change on a daily basis.
>
> Ideally, I'd like to figure out some way to anchor the high of the move
> (once a downtrend has been confirmed) or the low of the move (once an
> uptrend is confirmed) and then Exit should the market price make high/low
> and then come back off of that high/low by 11%/13%. I guess it's just a
> rather complicated way of placing a trailing stop, since as the market
makes
> new highs/lows, the stop level will move up/down.
>
> So if anyone has any ideas on this, please contribute them to the list.
And
> to me. Thanks!
>
> BJ
>
>
>
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