TS Bond Futures LR Surfing System

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Trading System "Bond Futures LR Surfing System"

Descrizione: "Surfing The Linear Regression Curve With Bond Futures."  (Technical Analysis of Stocks & Commodities 05/98)

Autore: Dennis Meyers

Formula per Tradestation™:

INIZIO FORMULA

Type : Indicator, Name : Bond Futures LR Surfing System
inputs: ndays(30),
pctup(.01425),
pctdn(.01425),
jmpup(.0035),
jmpdn(.0050);

vars: pf(0),
le(0),
se(0);

pf = linearregvalue(close, ndays, 0);

if currentbar > ndays then begin

if marketposition = 0 then begin
if pf / pf[2] > 1 + jmpup then begin
buy tomorrow open;
le = 1;
end;
if pf / pf[2] < 1 - jmpdn then begin
sell tomorrow open;
se = 1;
end;
end;

if marketposition = 1 then begin
if pf < highest(pf, le) * (1 - pctdn) then begin
sell tomorrow open;
le = 0;
end;
le = le + 1;
end;

if marketposition = -1 then begin
if pf > lowest(pf, se) * (1 + pctup) then begin
buy tomorrow open;
se = 0;
end;
se = se + 1;
end;

end;


FINE FORMULA

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