Williams%R trading strategy - Trading Software

Williams%R trading strategy

Michael Johnston
2012-11-08 21:58:57

Hi everyone, I am a rookie and trying to grasp the functionality of the backtest function. I am having a little trouble coding this strategy and would really like to test its
record.

I would like a buy order on a williams%R with a 72 period cross over of the -75 line in the previous day, and the sell order for that should be when will%R crosses the -20 line

I would like a short order on williams%R with a 72 period cross over of the -15 line in the previous day, and the cover order for that should be when will%R crosses the -80 line.

any help with this would be great.

Thank you very much.

QuantShare
2012-11-09 09:44:02

Best Answer

Hi Michael,

Here is the formula to implement this strategy:
buy = cross(Willr(72), -72); // Willr crosses above -72. To get crosses below, just invert "Willr" and "-72"
sell = cross(Willr(72), -20);
short = cross(Willr(72), -15);
cover = cross(Willr(72), -80);

The default order is initiated at the open of tomorrow. If you want to reference the previous day in your formula, you can use the "ref" function.
Example:
a = ref(close, 1);

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