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Author:
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Title:
DipBuyer slow w/ volume filter
Description:
This is based on a Wealth Lab system published by "geol". It is low frequency system, but it is also low risk, so it's a good choice for those just starting out. I personally traded a very similar variant for about a year with reasonable profit. This version includes a volume filter: a signal will only be considered if the target entry price x SMA( 10 ) of volume is higher than a certain threshold, which ensures only liquid stocks will be traded. Possible areas of experimentation: the holding period, profit target, threshold, the 0.87 factor.
Code
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void run() { double profitTarget = 5; int holdingPeriod = 2; int volumePeriod = 10; // traded value threshold double th = 1200000; installProfitTarget( profitTarget ); installTimeBasedExit( holdingPeriod ); Series low1 = lowSeries() * 0.87; // delay close and open 1 bar Series dClose = closeSeries().shiftRight( 1 ); Series dOpen = openSeries().shiftRight( 1 ); Series smaVol = volumeSeries().SMA( volumePeriod ); for( Index bar = 3; bar < barsCount(); bar++ ) { applyAutoStops( bar ); // only enter if there are no other open positions if( !hasOpenPositions() ) { double buyLimitPrice = low1[ bar ]; if( dClose[ bar ] < dOpen[ bar ] AND close( bar ) < open( bar ) AND close( bar ) < dClose[ bar ] AND open( bar ) < dClose[ bar ] AND buyLimitPrice < close( bar ) ) { // only enter a trade if the liquidity condition is met if( buyLimitPrice * smaVol[ bar ] > th ) buyAtLimit( bar + 1, buyLimitPrice, 1000, "Buying at limit" ); } } } }
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