İndikatör SVE_stop_trail_ModATR

Looking into Wilder’s concept for the True Range – that is, the:

1. Current high minus the current low.
2. Absolute value of the current high minus the previous close.
3. Absolute value of the current low minus the previous close.

There are some changes I would like to introduce to come up with a higher profit than if I were using the standard trailing ATR.





1) The current high minus the current low can be big in very volatile markets. To avoid the influence of extreme moves in a day, I will limit the extreme price change of a single bar to a maximum of one and a half times the ATR moving average of the high minus low prices.


2) The absolute value of the current high minus the previous close may be distorted by a large gap between the previous high and the current low. Since a gap does give support, I would like to limit the influence of the gap. This I do by taking into account just half the size of the gap.


3) The absolute value of the current low less the previous close may also be distorted by a (big) gap between the previous low and the current high. Let’s also limit that influence taking into account only half the size of the gap.





This is the basic formula switching on stop breaks:


SVE_Stop_Trail_ModATR


period:=Input("ATR period :",1,100,10);
atrfact:=Input("ATR multiplication :",1,10,3.5);
HiLo:=If(H-L<1.5*Mov(H-L,period,S),H-L, 1.5*Mov(H-L,period,S));
Href:=If(L<=Ref(H,-1),H-Ref(C,-1),(H-Ref(C,-1))-(L-Ref(H,-1))/2);
Lref:=If(H>=Ref(L,-1),Ref(C,-1)-L,(Ref(C,-1)-L)-(Ref(L,-1)-H)/2);
diff1:=Max(HiLo,Href);
diff2:=Max(diff1,Lref);
atrmod:=Wilders(diff2,period);
loss:=atrfact*atrmod;
trail:=
If(C>PREV AND Ref(C,-1)>PREV,
Max(PREV,C-loss),
If(C<PREV AND Ref(C,-1)<PREV,
Min(PREV,C+loss),
If(C>PREV,C-loss,C+loss)));
Trail

kaynak:
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