Average true range volatility move

Average true range volatility move

Glen
2016-08-03 06:43:02

Hi guys,

I am trying to create a system using two buy indicators. One that identifies if the close is above the 60th percentile of the days trading range.

One that identifies if the close is in the 75th percentile of the 15 day ATR.

And finally one where the stock is making a 15 day high.

The code I imagine I need is the following:

close >= low+ ((high-low)*0.6) AND
close > (Ref(close, 0) + 0.75 * ATR(15))

If anyone has any comments or suggestions that would be greatly appreciated.

Cheers

QuantShare
2016-08-04 03:02:06

Hi,

Here is an example:
buy = close >= low+ ((high-low)*0.6) AND close > (Ref(close, 1) + (0.75 * ATR(15))) AND close == hhv(close, 15);

Ref(close, 1) references the previous bar's close

You can plot any rule or variable on a chart to have a visual confirmation.

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