Proceeding Range & Entry After Event

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  • 01/06/2017 at 11:31 AM #20023 quote
    Big Hug
    Participant
    Average

    HNY All,

    I wondered if anyone could perhaps help me with something that that I’m thinking about.

    I’m using an RSI based system.

    Two things that I’m aware of is the proceeding range of the bars prior to the signal.

    An overnight range may be as small as 2 – 5 points then a 10 point move either way may trigger an unwarranted RSI signal.

    So is there a way of determining the proceeding range . For example – for the signal to be valid the price must have moved 2o points during the

    last 20 bars.

    My second thought was – it there a way of coding an entry some points below or above the actual signal be it an RSI above or below “n”.

    Wishing everyong well for 2017.

    01/06/2017 at 3:53 PM #20059 quote
    Nicolas
    Keymaster
    Master
    Big Hug wrote:

    For example – for the signal to be valid the price must have moved 2o points during the last 20 bars.

    You mean that when the RSI signal occurs, the range (high to low) of the last 20 bars, must be superior to X points?

    About your second thought, yes it’s possible but it needs first to reverse engineer the RSI calculation to find the price level that correspond to the RSI “n” value.

    01/15/2017 at 12:02 PM #21158 quote
    Derek
    Participant
    Veteran

    Hello Big Hug,

    frmo the top of my head I can think of the following:

    a) try using a volatility indicator with a condition along the lines of

    if atr[20]<x then
notrade=1
else
notrade =0
endif

    Other usefull indicators for this might be the rate of change, the simple true range, basically anything that measures price action changes.

    b) maybe a Donchian Channel could do the trick

    upper = highest[20](high)
lower = lowest[20](low)

if upper-lower < 20 then
notrade = 1
else ...

    I never really tested more adaptive channels like Bollinger or Keltner but they might provide better results under changing market conditions.

    Hope this helps.

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Proceeding Range & Entry After Event


ProOrder: Automated Strategies & Backtesting

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Big Hug @big-hug Participant
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This topic contains 2 replies,
has 3 voices, and was last updated by Derek
9 years, 1 month ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 01/06/2017
Status: Active
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