Need help translating tradestation code about volatility

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01/23/2019 at 10:18 AM #89404 quote

jebus89
Participant

Master

Hi, need some help understanding this code:

Input: entry6_xr(5), entry6_daysback(10);
Var: entry6_rrange(0);
entry6_rrange=high-low;
if entry6_rrange>2*stddev(entry6_rrange, entry6_xr)+average(entry6_rrange, entry6_xr) and close>close[entry6_daysback] then buy next bar at market;
if entry6_rrange>2*stddev(entry6_rrange, entry6_xr)+average(entry6_rrange, entry6_xr) and close<close[entry6_daysback] then sellshort next bar at market;

Exactly how does this one work?

01/23/2019 at 10:47 AM #89408 quote

Nicolas
Keymaster

Master

It is a kind of volatility test, as a simple test if candlestick range is above/below bollinger bands of 2 standard deviation (average & std dev are calculated also with candlesticks ranges instead of the usual Close) and if actual Close is above/below Close “entry6_daysback” ago.

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01/23/2019 at 10:55 AM #89411 quote

jebus89
Participant

Master

Im gonna have to see the (prt)code to undertsand this i think, if you dont mind Nicolas.

Are you saying that instead of saying “Close > bollingerup”, this is saying “Range(high-low) > bollingerup”?

Cant you do the same with just “high > bollingerup”?
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Need help translating tradestation code about volatility

ProOrder: Automated Strategies & Backtesting

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jebus89 @jebus89 Participant

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This topic contains 2 replies,
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7 years, 1 month ago.

Topic Details

Forum:	ProOrder: Automated Strategies & Backtesting
Language:	English
Started:	01/23/2019
Status:	Active
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