Differenze tra le pagine "TS Recursive Moving Trendline System" e "TS Sideways"

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imported>Stefano Fanton
 
imported>Stefano Fanton
 
Riga 1: Riga 1:
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'''''Trading System "Recursive Moving Trendline System"'''''  
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'''''Trading System "Sideways"'''''  
  
 
Formula per Tradestation™:  
 
Formula per Tradestation™:  
Riga 5: Riga 5:
 
INIZIO FORMULA  
 
INIZIO FORMULA  
  
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Type : Signal, Name : Recursive Moving Trendline System <br>inputs: ndays(25);
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Type : Signal, Name : Sideways
  
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vars: alpha(0),<br>bo(0),<br>bo1(c),<br>xest(0),<br>xest1(c),<br>ema(0),<br>ema1(c),<br>tosc(0);
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inputs:NoDay(3), MULT11(2), MULT22(2), AVE(4);<br>vars:valuea(0),valueb(0),LINR(0), VAL1(0), VAL2 (0);  
  
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alpha = 2 / (ndays + 1);
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valuea=highest(high,NoDay);<br>valueb=lowest(low,NoDay);<br>VAL1 = AVERAGE (VALUEA,NODAY);<br>VAL2 = AVERAGE (VALUEB, NODAY);<br>LINR = LinearRegValueFC(C,AVE,0);  
  
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bo = (1 - alpha) * bo1 + close;<br>ema = ema1 + alpha * (close - ema1);<br>xest = (1 - alpha) * xest1 + alpha * (close + bo - bo1);
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IF LINR CROSSES ABOVE VAL2 THEN BUY ON CLOSE;<br>IF LINR CROSSES ABOVE VAL1 THEN EXITLONG ON CLOSE;
  
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bo1 = bo;<br>xest1 = xest;<br>ema1 = ema;
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IF LINR CROSSES BELOW VAL1 THEN SELL ON CLOSE;<br>IF LINR CROSSES BELOW VAL2 THEN EXITSHORT ON CLOSE;
  
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tosc = xest - ema;
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<br>VALUE1 = ((HIGHEST (HIGH, NODAY)) - ((LOWEST (LOW, NODAY))));<br>VALUE2= VALUE1 * MULT11;<br>VALUE3= VALUE1 * MULT22;<br>{VALUE2=TARGET, VALUE3 = STOPLOSS}<br>IF MARKETPOSITION = 1 THEN BEGIN<br>EXITLONG TOMORROW AT ENTRYPRICE + VALUE2 LIMIT;<br>EXITLONG TOMORROW AT ENTRYPRICE - VALUE3 STOP;<br>END ;<br>IF MARKETPOSITION = -1 THEN BEGIN<br>EXITSHORT TOMORROW AT ENTRYPRICE + VALUE3 STOP;<br>EXITSHORT TOMORROW AT ENTRYPRICE - VALUE2 LIMIT;<br>END ;<br><br>FINE FORMULA  
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if barnumber &gt; 50 then begin<br>if tosc &gt; 0 then buy close;<br>if tosc &lt; 0 then sell close;<br>end;
 
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<br>FINE FORMULA  
 
  
 
== Vedi anche:  ==
 
== Vedi anche:  ==

Versione attuale delle 09:54, 22 mar 2012

Trading System "Sideways"

Formula per Tradestation™:

INIZIO FORMULA

Type : Signal, Name : Sideways

inputs:NoDay(3), MULT11(2), MULT22(2), AVE(4);
vars:valuea(0),valueb(0),LINR(0), VAL1(0), VAL2 (0);

valuea=highest(high,NoDay);
valueb=lowest(low,NoDay);
VAL1 = AVERAGE (VALUEA,NODAY);
VAL2 = AVERAGE (VALUEB, NODAY);
LINR = LinearRegValueFC(C,AVE,0);

IF LINR CROSSES ABOVE VAL2 THEN BUY ON CLOSE;
IF LINR CROSSES ABOVE VAL1 THEN EXITLONG ON CLOSE;

IF LINR CROSSES BELOW VAL1 THEN SELL ON CLOSE;
IF LINR CROSSES BELOW VAL2 THEN EXITSHORT ON CLOSE;


VALUE1 = ((HIGHEST (HIGH, NODAY)) - ((LOWEST (LOW, NODAY))));
VALUE2= VALUE1 * MULT11;
VALUE3= VALUE1 * MULT22;
{VALUE2=TARGET, VALUE3 = STOPLOSS}
IF MARKETPOSITION = 1 THEN BEGIN
EXITLONG TOMORROW AT ENTRYPRICE + VALUE2 LIMIT;
EXITLONG TOMORROW AT ENTRYPRICE - VALUE3 STOP;
END ;
IF MARKETPOSITION = -1 THEN BEGIN
EXITSHORT TOMORROW AT ENTRYPRICE + VALUE3 STOP;
EXITSHORT TOMORROW AT ENTRYPRICE - VALUE2 LIMIT;
END ;

FINE FORMULA

Vedi anche:

Estratto da "http://traderpedia.it/wiki/index.php?title=TS_Recursive_Moving_Trendline_System&oldid=1845"