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His.Vol w/ Patterns
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| Added: December 08, 2006 |
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TradeStation, system
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Some of the best systems I've come across look for a setup pattern and then
base the trading signals on the ensuing reaction. Laurence Connors and Linda
Raschke's use of historical volatility in conjunction with bar patterns effectively
identifies excellent setups. The Easy Language formula for historical volatility,
which was given in STOCKS & COMMODITIES' November 1995 Traders' Tips, is
rewritten here as a function. This TradeStation system will only enter long
or short, so be sure to apply your own money management techniques. As one suggestion,
the "Historical volatility and pattern recognition" article mentions
using a trailing stop to lock in profits.
This function will automatically adjust to daily or weekly bars and also allows
you to input the number of days in the annual period. This is helpful in that
it gives you the option of using 365 calendar days or 250 trading days as the
annual period.
By using the chart scanner, you can apply this system to a database of symbols
to determine which generated orders. When executing the system, be sure to set
the maxbarsback value to 101 and remember to apply the trailing stop as well.
-Miles Dunbar, Omega Research
Code:
Function: HisVol
INPUTS: LOOKBCK(NumericSimple), ANNUAL(NumericSimple);
Vars: HVol(0), Per(0);
If DataCompression<=2 then Per=1;
If DataCompression=3 then Per=7;
HVol=StdDev(LOG(Close/Close[1]),LOOKBCK)*SquareRoot(ANNUAL/Per);
HisVol= HVol*100;
System: His.Vol w/ Patterns
Vars: HVRatio(0), NR4(False), InBar(False);
HVRatio=(HisVol(6,365)/HisVol(100,365))*100;
NR4=Range=Lowest(Range,4);
InBar=HL[1];
If HVRatio <= 50 and (NR4 or InBar) then begin
Buy at High + (1*MinMove points) stop;
Sell at Low - (1*MinMove points) stop;
end;
Code to difficult? Find somebody to help you with coding here.
Author: Laurence Connors and Linda Raschke
Source: http://www.traders.com
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