Differenze tra le pagine "TS IDNR4 AvgTrueRange concept" e "TS TRIX System S&C"

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imported>Stefano Fanton
 
imported>Stefano Fanton
 
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'''''Trading System "IDNR4 AvgTrueRange concept"'''''  
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'''''Trading System "TRIX System S&C"'''''  
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Sistema ricavato dall'articolo "Playing TRIX" discusso nel numero di giugno 1997 nella rivista STOCKS & COMMODITIES.
  
 
Formula per Tradestation™:  
 
Formula per Tradestation™:  
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INIZIO FORMULA  
 
INIZIO FORMULA  
  
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Type : Signal, Name : Test IDNR4 <br>{System: Test IDNR4 (Inside day Narrow range Pattern # 1 (L.C.)<br>additional AvgTrueRange concept (W.D.) added 1998 }
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Type: Function, Name: NewTRIX <br>Inputs: Price(NumericSeries), Length(NumericSimple); <br>Vars: LogP(0), alpha(0), sm1(0), sm2(0), sm3(0);
  
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Input:<br>CLen(4),<br>ELen(1),<br>Avr(2),<br>Rat(.38),<br>ExL(0),<br>ExS(0);
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LogP = Log(Price);  
  
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IF Range = Lowest(Range,CLen)<br>and H &lt; H[ELen] and L &gt; L[ELen] then Begin
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IF CurrentBar = 1 Then Begin <br>sm1 = LogP; <br>sm2 = LogP; <br>sm3 = LogP; <br>alpha = 2 / (Length + 1); <br>End Else Begin <br>sm1 = (LogP - sm1) * alpha + sm1; <br>sm2 = (sm1 - sm2) * alpha + sm2; <br>sm3 = (sm2 - sm3) * alpha + sm3; <br>NewTrix = (sm3 - sm3[1]) * 100; <br>End;  
  
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Buy High + (AvgTrueRange(Avr)[1]*Rat) stop;<br>Sell Low - (AvgTrueRange(Avr)[1]*Rat) stop;
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<br>
  
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End;
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Type: System, Name: TRIX System S&amp;C
  
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If MarketPosition = 1 then Begin
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Inputs: Price(Close), TrixLen(3), TSLen(8), ZeroCrss("Y"), AvgCrss("Y"); <br>Vars: TRXval(0), AvgTRX(0), Zero(0);
  
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If BarsSinceEntry = ExL then Exitlong at Market;
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TRXval = NewTRIX(Price, TRIXLen); <br>AvgTRX = LinearRegValue(TRXval, TSLen, 0);  
  
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End;
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IF UpperStr(ZeroCrss) = "Y" Then Begin <br>IF TRXval Crosses Above Zero Then <br>Buy ("B_ZCrss") This Bar on Close; <br>IF TRXval Crosses Below Zero Then <br>Sell ("S_ZCrss") This Bar on Close; <br>End;  
  
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If MarketPosition = -1 then Begin
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IF UpperStr(AvgCrss) = "Y" Then Begin <br>IF TRXval Crosses Above AvgTRX Then <br>Buy ("B_AvgCrss") This Bar on Close; <br>IF TRXval Crosses Below AvgTRX Then <br>Sell ("S_AvgCrssS") This Bar on Close; <br>End;
  
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If BarsSinceEntry = ExS then ExitShort at market;
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<br>
  
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End;<br><br>FINE FORMULA  
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<br><br>FINE FORMULA  
  
 
== Vedi anche:  ==
 
== Vedi anche:  ==

Versione attuale delle 09:56, 22 mar 2012

Trading System "TRIX System S&C"

Sistema ricavato dall'articolo "Playing TRIX" discusso nel numero di giugno 1997 nella rivista STOCKS & COMMODITIES.

Formula per Tradestation™:

INIZIO FORMULA

Type: Function, Name: NewTRIX
Inputs: Price(NumericSeries), Length(NumericSimple);
Vars: LogP(0), alpha(0), sm1(0), sm2(0), sm3(0);

LogP = Log(Price);

IF CurrentBar = 1 Then Begin
sm1 = LogP;
sm2 = LogP;
sm3 = LogP;
alpha = 2 / (Length + 1);
End Else Begin
sm1 = (LogP - sm1) * alpha + sm1;
sm2 = (sm1 - sm2) * alpha + sm2;
sm3 = (sm2 - sm3) * alpha + sm3;
NewTrix = (sm3 - sm3[1]) * 100;
End;


Type: System, Name: TRIX System S&C

Inputs: Price(Close), TrixLen(3), TSLen(8), ZeroCrss("Y"), AvgCrss("Y");
Vars: TRXval(0), AvgTRX(0), Zero(0);

TRXval = NewTRIX(Price, TRIXLen);
AvgTRX = LinearRegValue(TRXval, TSLen, 0);

IF UpperStr(ZeroCrss) = "Y" Then Begin
IF TRXval Crosses Above Zero Then
Buy ("B_ZCrss") This Bar on Close;
IF TRXval Crosses Below Zero Then
Sell ("S_ZCrss") This Bar on Close;
End;

IF UpperStr(AvgCrss) = "Y" Then Begin
IF TRXval Crosses Above AvgTRX Then
Buy ("B_AvgCrss") This Bar on Close;
IF TRXval Crosses Below AvgTRX Then
Sell ("S_AvgCrssS") This Bar on Close;
End;




FINE FORMULA

Vedi anche:

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