24hour average of two moving average differences
-
I’ve just been looking at a few examples. It seems that generally the range on a daily basis is fairly predictable barring massive price spikes which are hard to code for.
Therefore I think if I could establish what the range was for the differences in the two EMAs over the last 24 hour period and then say use 30% of that range as a value then that would suffice. I guess what I’m saying is the range/value wouldn’t need to be reset each day (unless it’s easy to do?) as it’s generally the same.
I have attached a couple of screen shots of the range I’m trying to capture in case it explains it better than I do. I can catch go exits when the difference get to a certain value.
Thanks Nicolas.
So basically, you want an average of the EMA difference. If you only need the average of the last 24 hours on a 5 minutes charts, you’ll need to adapt the period to 12*24 (12 bars of 5 minutes in an hour):
factor = 40 //percent factor of the average MA5 = exponentialAverage[5](close) MA10 = exponentialAverage[10](close) DIFF = abs(MA5-MA10) MADIFF = average[288](diff)*(factor/100) return diff, MAdiffI added a “factor” for you to adapt the trigger line (in percentage).
robdav thanked this post
- You must be logged in to reply to this topic.
Summary
This topic contains 7 replies,
has 2 voices, and was last updated by 
9 years, 1 month ago.
Topic Details
| Forum: | ProOrder: Automated Strategies & Backtesting |
| Language: | English |
| Started: | 01/26/2017 |
| Status: | Active |
| Attachments: | No files |
