Differenze tra le pagine "TS High Percentage Trading System" e "TS His.Vol w/ Patterns"

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imported>Stefano Fanton
 
imported>Stefano Fanton
 
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'''''Trading System "High Percentage Trading System"'''''  
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'''''Trading System "His.Vol w/ Patterns"'''''  
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His.Vol w/ Patterns creato da Laurence Connors e Linda Raschke
  
 
Formula per Tradestation™:  
 
Formula per Tradestation™:  
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INIZIO FORMULA  
 
INIZIO FORMULA  
  
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Typ : System, Name : High Percentage Trading System <br>Input: ASize (30000), { starting account size, $ }<br>DDGoal (50), { max closed out trade drawdown, % }<br>RiskPer (10), { percentage risk per trade }<br>NRand (1000), { number of random sequences }<br>EntFrac (0.75); { multiple of range for entry }
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Function: HisVol <br>INPUTS: LOOKBCK(NumericSimple), ANNUAL(NumericSimple);<br>Vars: HVol(0), Per(0);<br>If DataCompression&lt;=2 then Per=1;<br>If DataCompression=3 then Per=7;
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HVol=StdDev(LOG(Close/Close[1]),LOOKBCK)*SquareRoot(ANNUAL/Per);<br>HisVol= HVol*100;
  
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Var: EntPr (0), { Entry target price }<br>XitPr (0), { mm stop exit price }<br>TrRisk (0); { trade risk, $ }<br><br>TrRisk = 1000;<br>EntPr = H + EntFrac * (H - L);<br>If C &gt; C[1] then<br>Buy next bar at EntPr Stop;<br><br>Exitlong("MMStop") next bar at EntryPrice - TrRisk/BigPointValue stop;<br>If BarsSinceEntry &gt;= 1 and open of next bar &gt; EntryPrice then<br>ExitLong("ProfOpen") next bar at market;
 
  
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{Value1 = MonteCarlo (ASize, DDGoal, RiskPer, TrRisk, NRand);}
 
  
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{This last line calls the MonteCarlo function, which randomizes the<br>trades and summarizes the results. Delete it if you don't want the<br>MonteCarlo results.}<br><br>FINE FORMULA  
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System: His.Vol w/ Patterns <br>Vars: HVRatio(0), NR4(False), InBar(False);<br>HVRatio=(HisVol(6,365)/HisVol(100,365))*100;<br>NR4=Range=Lowest(Range,4);<br>InBar=H&lt;H[1] and L&gt;L[1];<br>If HVRatio &lt;= 50 and (NR4 or InBar) then begin<br>Buy at High + (1*MinMove points) stop;<br>Sell at Low - (1*MinMove points) stop;<br>end;<br><br>FINE FORMULA  
  
 
== Vedi anche:  ==
 
== Vedi anche:  ==

Versione attuale delle 09:47, 22 mar 2012

Trading System "His.Vol w/ Patterns"

His.Vol w/ Patterns creato da Laurence Connors e Linda Raschke

Formula per Tradestation™:

INIZIO FORMULA

Function: HisVol
INPUTS: LOOKBCK(NumericSimple), ANNUAL(NumericSimple);
Vars: HVol(0), Per(0);
If DataCompression<=2 then Per=1;
If DataCompression=3 then Per=7;

HVol=StdDev(LOG(Close/Close[1]),LOOKBCK)*SquareRoot(ANNUAL/Per);
HisVol= HVol*100;


System: His.Vol w/ Patterns
Vars: HVRatio(0), NR4(False), InBar(False);
HVRatio=(HisVol(6,365)/HisVol(100,365))*100;
NR4=Range=Lowest(Range,4);
InBar=H<H[1] and L>L[1];
If HVRatio <= 50 and (NR4 or InBar) then begin
Buy at High + (1*MinMove points) stop;
Sell at Low - (1*MinMove points) stop;
end;

FINE FORMULA

Vedi anche:

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