5 entries from Kevin Davey

• 05/17/2018 at 2:09 PM #70703
  AlgoAlex

  Hi,

  I found part of a seminar by Kevin Daley, an algotrader quite famous.

  He presented 5 entries he still uses (or at least he says so…) in TS format. Just buying and selling bricks.

  Maybe could be of interest having them translated in prt code.

  Here they are:

  1. Momentum and Big Range
     Idea: Go with momentum after big range
     bars

  rrange=high-low; if rrange>2*stddev(rrange,xr)+average(rrange,xr) and close>close[daysback] then buy next bar at market; if rrange>2*stddev(rrange,xr)+average(rrange,xr) and close<close[daysback] then sellshort next bar at market; //2 variables: xr, daysback

  1 2 3 4 5 6 7

  rrange=high-low; if rrange>2*stddev(rrange,xr)+average(rrange,xr) and close>close[daysback] then buy next bar at market; if rrange>2*stddev(rrange,xr)+average(rrange,xr) and close<close[daysback] then sellshort next bar at market;   //2 variables: xr, daysback

   

  2. “Breakout – Idea: Go with the trend after a regular report”

  If time=XXX then begin buyprice=high+.01; sellprice=low-.01; end; If time=XXX then begin Buy next bar at buyprice stop; Sellshort next bar at sellprice stop; end; //1 variable: XXX

  1 2 3 4 5 6 7 8 9

  If time=XXX then begin buyprice=high+.01; sellprice=low-.01; end; If time=XXX then begin Buy next bar at buyprice stop; Sellshort next bar at sellprice stop; end; //1 variable: XXX

  3. Mean Reversion
  Idea: Look for low volume reversal points

  If v<average(v,5) then begin If close=lowest(close,len) then buy next bar at market; If close=highest(close,len) then sellshort next bar at market; end; // 1 variable: len

  1 2 3 4 5 6

  If v<average(v,5) then begin If close=lowest(close,len) then buy next bar at market; If close=highest(close,len) then sellshort next bar at market; end; // 1 variable: len

  4.  Simple Breakout
  Idea: Go With The Trend!

  if Close >= Highest( Close, Length ) then buy Next Bar at Market; if Close <= Lowest( Close, Length ) then SellShort Next Bar at Market; // 1 variable: Length

  1 2 3 4 5

  if Close >= Highest( Close, Length ) then buy Next Bar at Market; if Close <= Lowest( Close, Length ) then SellShort Next Bar at Market; // 1 variable: Length

  5. Dueling Momentum
  Idea: Go with short momentum, against
  long momentum

  if c>c[sl] and c<c[slx] then buy next bar at market; if c<c[sl] and c>c[slx] then sellshort next bar at market; // 2 variables: sl, slx

  1 2 3

  if c>c[sl] and c<c[slx] then buy next bar at market; if c<c[sl] and c>c[slx] then sellshort next bar at market; // 2 variables: sl, slx

   

   

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  AlgoAlex

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  05/17/2018 at 4:07 PM #70720
  Nicolas

  Thank you for posting them here.

  All these entries setup have already been coded here and there on the forum in many different versions. But ok, let’s start with the first one:

  SETUP #1

  rrange=high-low if rrange>2*std[xr](rrange)+average[xr](rrange) and close>close[daysback] then buy at market endif if rrange>2*std[xr](rrange)+average[xr](rrange) and close<close[daysback] then sellshort at market endif //2 variables: xr, daysback

  1 2 3 4 5 6 7 8 9

  rrange=high-low if rrange>2*std[xr](rrange)+average[xr](rrange) and close>close[daysback] then buy at market endif if rrange>2*std[xr](rrange)+average[xr](rrange) and close<close[daysback] then sellshort at market endif   //2 variables: xr, daysback

  This is just a Bollinger Bands breakout ‘kinda’ 😉

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  AlgoAlex

  

  Nicolas

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