- Katılım
- 23 Eki 2020
- Mesajlar
- 1,826
In "Designing Volatility Breakout Systems," Paolo Pezzutti sets intraday entry and exit conditions. Intraday signals can only be tested using MetaStock Professional. The following system test replicates the TradeStation signals given in the article. The following exploration is designed to look for this volatility system's setup and reports the buy stop and profit target in columns B and C, respectively. Column A will display a 1 if this is a long signal and a -1 if it is a short signal. To create an exploration in MetaStock, select Explorer from the Tools menu, click New, and enter the following formula: | |
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Volatility Breakout Exploration Column A : L/S If((C<Ref(C,-1) AND C>Mov(C,13,S)),1,-1) Column B: Buy Stop r:=.5*(H-L); If((C<Ref(C,-1) AND C>Mov(C,13,S)),C+r,C-r) Column C: Target If((C<Ref(C,-1) AND C>Mov(C,13,S)),H,L) Filter (C<Ref(C,-1) AND C>Mov(C,13,S)) OR (C>Ref(C,-1) AND C<Mov(C,13,S)) | |
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