Marek
14th June 2004, 12:09 PM
Hi there,
I am stack with the following simple system.
I wonder if someone can provide me with a little bit of help.
I try to test a very simple system based on end of day data:
Trigger: Cross above 10 days high
Conditions: ATR%(30) on the trigger day > 2.0
Mv(200) on the trigger day > Mv(200) one day ago
ATR%(30) > 2
I can easily write MS exploration for this “system”
Cross(C,Ref(HHV(H,10),-1)) AND
Mov(C,200,S) > Ref(Mov(C,200,S),-1) AND
ATR(30) / C * 100 >= 2.0
Initial stop is lowest low in the last 5 days including the trigger day
LLV(L,5)
and I would like to exit the trade the next day on open if stock closes below initial stop.
Now the difficult part:
I would like to open long position on open the next day with where maximum buy price is lowest low in the last 5 days including trigger day + 2.5 ATR(30)
Max buy price = LLV(L,5) + ATR(30) * 2.5
However if the opening price is grater then my Max buy price, but during the day price comes down to my Max buy price, I would like to open long position at my Max buy price.
Now even more difficult part:
I would like to close my long position and exit the trade next day on open if the stock closes below highest price during the trade - 2,5*ATR(30) (initial ATR(30) on the trigger day)
. C< highest High during the trade - 2.5*ATR(30) (on the trigger day).
However I would like to use so called “exit in profit only” strategy. It means I do not want to exit the trade if the highest high during the trade - 2.5*ATR(30) is not grater then the buy price. In this case I would use the initial stop to exit the trade.
Once the highest high price during the trade - 2.5*ATR(30) is greater then buy price I would no longer use initial stop but I would like to use this as my trailing stop.
Thanks in advance,
Marek
I am stack with the following simple system.
I wonder if someone can provide me with a little bit of help.
I try to test a very simple system based on end of day data:
Trigger: Cross above 10 days high
Conditions: ATR%(30) on the trigger day > 2.0
Mv(200) on the trigger day > Mv(200) one day ago
ATR%(30) > 2
I can easily write MS exploration for this “system”
Cross(C,Ref(HHV(H,10),-1)) AND
Mov(C,200,S) > Ref(Mov(C,200,S),-1) AND
ATR(30) / C * 100 >= 2.0
Initial stop is lowest low in the last 5 days including the trigger day
LLV(L,5)
and I would like to exit the trade the next day on open if stock closes below initial stop.
Now the difficult part:
I would like to open long position on open the next day with where maximum buy price is lowest low in the last 5 days including trigger day + 2.5 ATR(30)
Max buy price = LLV(L,5) + ATR(30) * 2.5
However if the opening price is grater then my Max buy price, but during the day price comes down to my Max buy price, I would like to open long position at my Max buy price.
Now even more difficult part:
I would like to close my long position and exit the trade next day on open if the stock closes below highest price during the trade - 2,5*ATR(30) (initial ATR(30) on the trigger day)
. C< highest High during the trade - 2.5*ATR(30) (on the trigger day).
However I would like to use so called “exit in profit only” strategy. It means I do not want to exit the trade if the highest high during the trade - 2.5*ATR(30) is not grater then the buy price. In this case I would use the initial stop to exit the trade.
Once the highest high price during the trade - 2.5*ATR(30) is greater then buy price I would no longer use initial stop but I would like to use this as my trailing stop.
Thanks in advance,
Marek