- Katılım
- 23 Eki 2020
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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. To create a system test in MetaStock, select System Tester from the Tools menu, click New, and enter the following formula: |
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Volatility Breakout System Enter Long new:=ROC(DayOfWeek(),1,$)<>0; r:=ValueWhen(1,new,Ref(HighestSince(1,new,H)-LowestSince(1,new,L),-1)); count:=Cum(If(new,Ref(C,-1),0)); ma:=count-ValueWhen(13,new,Ref(count,-1)); ValueWhen(1,new,Ref(C,-1))<ValueWhen(2,new,Ref(C,-1)) AND ValueWhen(1,new,Ref(C,-1))>ma AND C>=ValueWhen(1,new,Ref(C+(0.5*r),-1)) Close Long new:=ROC(DayOfWeek(),1,$)<>0; r:=ValueWhen(1,new,Ref(HighestSince(1,new,H)-LowestSince(1,new,L),-1)); count:=Cum(If(new,Ref(C,-1),0)); ma:=count-ValueWhen(13,new,Ref(count,-1)); bc:=ValueWhen(1,new,Ref(C,-1))<ValueWhen(2,new,Ref(C,-1)) AND ValueWhen(1,new,Ref(C,-1))>ma AND C>=ValueWhen(1,new,Ref(C+(0.5*r),-1)); H>=ValueWhen(1,bc,ValueWhen(1,new,Ref(HighestSince(1,new,H),-1))) Enter Short new:=ROC(DayOfWeek(),1,$)<>0; r:=ValueWhen(1,new,Ref(HighestSince(1,new,H)-LowestSince(1,new,L),-1)); count:=Cum(If(new,Ref(C,-1),0)); ma:=count-ValueWhen(13,new,Ref(count,-1)); ValueWhen(1,new,Ref(C,-1))>ValueWhen(2,new,Ref(C,-1)) AND ValueWhen(1,new,Ref(C,-1))<ma AND C>=ValueWhen(1,new,Ref(C-(0.5*r),-1)) Close Short new:=ROC(DayOfWeek(),1,$)<>0; r:=ValueWhen(1,new,Ref(HighestSince(1,new,H)-LowestSince(1,new,L),-1)); count:=Cum(If(new,Ref(C,-1),0)); ma:=count-ValueWhen(13,new,Ref(count,-1)); sc:=ValueWhen(1,new,Ref(C,-1))>ValueWhen(2,new,Ref(C,-1)) AND ValueWhen(1,new,Ref(C,-1))<ma AND C>=ValueWhen(1,new,Ref(C-(0.5*r),-1)); L<=ValueWhen(1,sc,ValueWhen(1,new,Ref(LowestSince(1,new,L),-1))) |
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