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Resent-Date: Thu, 7 May 1998 00:22:32 -0700 (PDT)
From: heypeter@xxxxxxxxxxxxxx
Date: Thu, 07 May 1998 15:18:27 +0800
Reply-To: heypeter@xxxxxxxxxxxxxx
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To: angus@xxxxxxxxxxxx
CC: omega-list@xxxxxxxxxx
Subject: Re: TRANSLATE THIS ELA INTO ENGLISH
Resent-From: omega-list@xxxxxxxxxx
X-Mailing-List: <omega-list@xxxxxxxxxx> archive/latest/17790
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Hi
Hmmm . . . looks like a volatility stop that (for long trades) adjusts
if today's high >= yesterday's 20 day xaverage of the highs. If so,
take the highest close in the last 21 days and subtract the vol amount
(ARC), and you get the stop level (Sar) for tomorrow.
\Sorry if this comes in twice, all thumbs
Peter Chan
iPT
angus@xxxxxxxxxxxx wrote:
>
> Can someone translate this ela in english ..the idea behind it.. I know it
> is volatility but what to undesstand it..thanks
>
> iNPUT: LENGTH (21), CONST(3.05);
> vaR: SWITCH(1), TR(0), ARC(0), SAR(0),HISIC(0),LOSIC(0);
> TR= VOLATILITY (LENGTH);
> ARC= TR* CONST;
> IF CURRENTbar = length then begin
> hisic=c;
> losic=c;
> if h>= xaverage (h,length-1) [1] then begin
> hisic= highest(c,length);
> Sar=hisic-arc;
> switch= 1;
> end;
> if l <= xaverage (l,length-1) [1] then begin
> losic= lowest (c,length);
> sar = losic +arc;
> switch=0;
> end;
> end;
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