Differenze tra le pagine "TS Finite Volume Element (FVE) System" e "TS First 2 Hour Channel System"

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imported>Stefano Fanton
 
imported>Stefano Fanton
 
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'''''Trading System "Finite Volume Element (FVE) System"'''''  
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'''''Trading System "First 2 Hour Channel System"'''''  
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Markos Katsanos' nel suo articolo "Detecting Breakouts" descrive il calcolo di un indicatore prezzo-volume e lo chiama "finite volume element" (FVE). Questa è la strategia per TradeStation in EasyLanguage."
 
  
 
Formula per Tradestation™:  
 
Formula per Tradestation™:  
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INIZIO FORMULA  
 
INIZIO FORMULA  
  
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Type : Strategy, Name : FiniteEleVol
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Type : Signal, Name : First 2 Hour Channel System
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INPUT:<br>BEGINCH(SESS1STARTTIME),<br>ENDCH(1300);
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{ 1300 IS AN EXAMPLE }
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VARS:CH(H),CL(L);
  
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inputs:<br>CutOff( .003 ),<br>Samples( 22 ) ;
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IF TIME = BEGINCH + BARINTERVAL THEN BEGIN<br>CH = H;<br>CL = L;<br>END;
  
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variables:<br>TP( 0 ),<br>MF( 0 ),<br>VolumePlusMinus( 0 ),<br>FVEsum( 0 ),<br>FveFactor( 0 ),<br>FVE( 0 ) ;
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IF TIME &gt;= BEGINCH AND TIME &lt;= ENDCH THEN BEGIN<br>IF H &gt; CH THEN CH = H;<br>IF L &lt; CL THEN CL = L;<br>END;
  
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TP = (High + Low + Close ) / 3 ;<br>MF = (Close - (High + Low ) / 2 )+ TP - TP[1] ;<br>if MF &gt; CutOff * Close then<br>FveFactor = 1<br>else if MF &lt; -1 * CutOff * Close then<br>FveFactor = -1<br>else<br>FveFactor = 0 ;<br>if BarNumber &gt; Samples then<br>begin<br>VolumePlusMinus = Volume * FveFactor ;<br>FVEsum = Summation( VolumePlusMinus, Samples ) ;<br>FVE = ( FVEsum / (Average( Volume, Samples ) * Samples ) ) * 100 ;<br>Value1 = LinearRegSlope( FVE , 35 ) ;<br>Value2 = LinearRegSlope( Close, 35 ) ;<br>if FVE crosses over -5 and Value1 &gt; 0<br>and Value2 &lt; 0<br>then<br>Buy Next Bar at Market ;<br>if ( LinearRegSlope( FVE, 25) &lt; 0 ) or<br>( DateToJulian( Date ) - DateToJulian( EntryDate ) &gt; 50*( 7 / 5 ) )<br>then<br>Sell Next bar at Market ;<br>end ;<br><br>FINE FORMULA  
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IF TIME &gt; ENDCH AND DATE = DATE TOMORROW THEN BUY AT CH STOP;<br>IF TIME &gt; ENDCH AND DATE = DATE TOMORROW THEN SELL AT CH STOP;<br><br>FINE FORMULA  
  
 
== Vedi anche:  ==
 
== Vedi anche:  ==

Versione attuale delle 08:46, 22 mar 2012

Trading System "First 2 Hour Channel System"

Formula per Tradestation™:

INIZIO FORMULA

Type : Signal, Name : First 2 Hour Channel System

INPUT:
BEGINCH(SESS1STARTTIME),
ENDCH(1300);

{ 1300 IS AN EXAMPLE }

VARS:CH(H),CL(L);

IF TIME = BEGINCH + BARINTERVAL THEN BEGIN
CH = H;
CL = L;
END;

IF TIME >= BEGINCH AND TIME <= ENDCH THEN BEGIN
IF H > CH THEN CH = H;
IF L < CL THEN CL = L;
END;

IF TIME > ENDCH AND DATE = DATE TOMORROW THEN BUY AT CH STOP;
IF TIME > ENDCH AND DATE = DATE TOMORROW THEN SELL AT CH STOP;

FINE FORMULA

Vedi anche:

Estratto da "http://traderpedia.it/wiki/index.php?title=TS_Finite_Volume_Element_(FVE)_System&oldid=1833"