mrparks
5 posts
msg #43159
- Ignore mrparks |
4/23/2006 6:09:04 PM
Much thanks to Yepher for the help for writig the filter.
This filter is a counter trend filter. It was backtested in 2001 with results for 10 years of backtesting.
With a target of 16% and a stop of 12% it produced a net average 3.95% per trade with the trades lasting no longer than 3 days. The win ratio was about 67%.
set{delta, high - low}
set{ratio, delta / volume}
set{diff, volume - volume 1 day ago}
volume above 250000
AND close above 10
/*
volume for the current day is greater than the volume for the previous day and
*/
AND volume above volume 1 day ago
AND add column diff
/*
the current days (high-low) / volume is less than the previous day's (high-low) / volume
*/
AND ratio above ratio 1 day ago
High is below High 1 day ago and
Low is below Low 1 day ago
no bar gaps
price is > 25% below ma(13)
close is above day position(0.50)
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