Trading system based on price ranges

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Enter long Cross (MA (m), (1 + w) MA (n))
Enter short Cross ((1 - w) MA (n), MA (m))

M moving average parameter must be greater than the parameter envelope n.

System with a range of variable volatility

This title brings together a large group of different approaches based on the idea of opening or closing positions in the breakout band of the current volatility. It is known that before the new material has the ability to move the market to spend some time in a state of consolidation. The range of price changes may stabilize or narrowed, and at the start of the course will release prices outside of this range. Select a suitable measure of the degree of volatility, you can get a good trading signals. On the other hand, if you have an open position of the range of volatility (whose breakthrough will be directed against this position) indicates the level at which it makes sense to break close a position, you do not lose much of the earned income.

In contrast to the envelope, where the width is defined as a fixed percentage of the average line, the range of variables volatility have a width that varies depending on the magnitude of price fluctuations. Possible and commonly used measure of volatility - RMS variation (STDEV) and ATR - rate volatility, derived in the framework of the referral system. Bollinger bands are widely used in technical analysis as a trend indicator and as a measure of volatility. Naturally on the basis of these various trading systems. In terms of the package MetaStock

upper band = BBandTop (close, n, S, D)
lower band = BBandBot (close, n, S, D),

where the length of the averaging factor n and D (deviations) - configurable system parameters.

It can be used by different variants of trade rules. Next antitrendovaya system is based on this definition of a turn when the price fell below the bottom line, and then went back inside the range (close crossed the lower band from the bottom up), a long position. Accordingly, when the output of the above upper band and then return to open short positions. Closing positions occurs when the price crosses the border opposite channel (BolBand_reversal)

Enter long Cross (C, lower band)
Exit long Cross (C, upper band)
Enter short Cross (upper band, C)
Exit short Cross (lower band, C)

Stop & Revers system BolBand & RSI - an example of the use of additional indicators (in this case the RSI) to confirm signals Bollinger Bands. A long position is opened at the outlet below the range, if the RSI at this time shows resold state. A short position is opened at the outlet above the range, if the RSI at this time shows overbought condition


Enter long Cross (lower band, C)
AND RSI oversoldlevel
Exit long Cross (upper band, C)
AND RSI overboughtlevel
Enter short Cross (C, upper band)
AND RSI overboughtlevel
Exit short Cross (lower band, C)
AND RSI oversoldlevel

Of other designs, resulting in a range variable volatility, it makes sense to try to trade Keltner channels and STARC Bands. Keltner Channels to the range calculated by the formulas