Trading system based on price ranges


Therefore, they can be basic tactics sale price on a pullback from the border inside the range. Protective orders in this case it is natural to set abroad (some examples marked lines in the figure), and the opposite boundary can serve as a guide to fix the profit.

Additional signals for opening positions arise when prices break out of range. If such a signal is unsuccessful, then the return of the price within the range position can be closed (or even reversed).

Narrow ranges do not leave room for the trade in, but in trending markets they can provide timely signals (break inside the range) at the beginning of significant moves. Placement of orders closing positions was considered in the above example Keltner channel (stop at the opposite of the range, the output reaches the middle line, etc.).

In general, all these are the rules of opening and closing positions are quite universal. By itself, the logic of trade in ranges based on the fact that their boundaries are strong lines, so if you break or rolled near these lines and otkryvayutsyazakryvayutsya position.

This also applies to the methods of production of protective orders channel boundaries and the center lines can be used for setting orders that limit losses or protect profits. A judicious combination of different types of boundaries and rules otkrytiyazakrytiya position makes trading ranges very versatile tool.

Trading systems based on envelopes

Price ranges of fixed amplitude (envelope, envelopes) are determined by the two lines

upper band = (1 + w) MA (n)
lower band = (1 - w) MA (n),

where w - the parameter determining the width of the range, n - averaging parameter moving average.

Usually as a MA (n), a simple moving average of closing prices, although it makes sense to try and various other options (exponential, weighted and other materials from the closing price (close), MA from the average price (high + low + close) 3 and etc.). Possible and asymmetric envelope in which the upper and lower lines are shifted to different distances from the average.

Trending option trading on such a range gives Stop & Revers breakthrough system envelope (Envel_break)

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

Here Cross (X, Y) denotes the condition of intersection of lines X and Y upward line X crosses Y upward, that is, X [1] Y [1], X Y (X - current line X, X [1] - its value taken at the previous candle).

A counter option - Stop & Revers system in the envelope (Envel_antitrend)

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

System, called T.Chande «Extraordinary opportunities system», is a variant of the envelope break open position when the moving average price crosses the boundary envelope, such breakthroughs are from the state of the market consolidation are often directed at the beginning of a long stroke