Day trading : AIDE POUR UNE STRATEGIE - Logiciel boursier : TradeStation


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Envoyé par nuno le 15 Avril 2007 à 08:56

J'essaye de tester une idee de Connors
j'ai commencé à coder la strategie mais je butte sur le point 4 ci dessous
merci à tous ceux qui pourront m'eclairer

1. First, we will compare the six-day historical volatility reading to the 100-day historical volatility reading. We are looking for the 6/100 reading to be under 50 percent (in other words, for the six-day historical volatility reading to be less than one-half the 100 day historical volatility reading).

Inputs:
HVRLength1(5), HVRLength2(100), CutOff(.50), NRLength(4);
Vars:
Setup(False), HighSetup(0), LowSetup(0),
HVRatio(0), NarrowRange(False), InBar(False),
MP(0), StopPrice(0);

{Buy and Sell Setup}
HVRatio = (VolatilityStdDev(HVRLength1) / VolatilityStdDev(HVRLength2));
NarrowRange = range = Lowest(Range,NRLength);
InBar = H < H[1] and L > L[1];

2. If rule one is met, today (day one) must be either an inside day or an NR4 day. When both rules one and two are met, we now have a setup.

Setup = (HVRatio < 0.5) and NarrowRange and InBar;

3. On day two, place a buy-stop one tick above the day-one high and a sell-stop one tick below the day-one low.

If Setup then begin
HighSetup = High;
LowSetup = Low;
Buy next bar at HighSetup Stop;
SellShort next bar at LowSetup Stop;

4. If your buy-stop is filled, place an additional sell-stop one tick below the day-one low. (The reverse applies if your sell-stop is hit first.) This will allow you to reverse the position in case of a false breakout. This additional sell-stop is done on the entry day only, and expires on the close of this day. A trailing stop should be used to lock in profits on a winning trade.

Nuno

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Envoyé par nuno le 16 Avril 2007 à 19:05

y a t'il quelqu'un qui puisse m'ader à traduire en easylanguage le point suivant (4):
J'ai essayé plusieurs choses en vain et j'avoue que je gualère
merci d'avance

4. If your buy-stop is filled, place an additional sell-stop one tick below the day-one low. (The reverse applies if your sell-stop is hit first.) This will allow you to reverse the position in case of a false breakout. This additional sell-stop is done on the entry day only, and expires on the close of this day. A trailing stop should be used to lock in profits on a winning trade.

Nuno

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