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Hello All.
I want to prevent a tick-data based strategy from taking trades on ticks
which are unlikely to be tradable. I can get a start on this by putting
into the strategy something like:
AvgChng=average(absvalue(close-close[1]),50);
goodpx=true;
if (close-close[1])>3*AvgChng and (close-close next bar)>3*AvgChng then
goodpx=false;
if (close-close[1])<-3*AvgChng and (close-close next bar)<-3*AvgChng then
goodpx=false;
if goodpx then begin
...strategy here
end;
That way, ticks that are significantly above or below the surrounding ticks
won't be traded -- which is fine by me, as I probably couldn't get executed
anyway.
My question is this: Is there a way of doing something similar in an
indicator rather than a strategy? My TS6 EasyLanguage editor tells me "Next
bar's prices can only be used in a Strategy". Is there a workaround within
EL, or must I use a dll?
Thanks in advance for any help....
Alex
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