TS Bond Futures LR Surfing System
Trading System "Bond Futures LR Surfing System"
Descrizione: "Surfing The Linear Regression Curve With Bond Futures." (Technical Analysis of Stocks & Commodities 05/98)
Autore: Dennis Meyers
Formula per Tradestation™:
INIZIO FORMULA
Type : Indicator, Name : Bond Futures LR Surfing System
inputs: ndays(30),
pctup(.01425),
pctdn(.01425),
jmpup(.0035),
jmpdn(.0050);
vars: pf(0),
le(0),
se(0);
pf = linearregvalue(close, ndays, 0);
if currentbar > ndays then begin
if marketposition = 0 then begin
if pf / pf[2] > 1 + jmpup then begin
buy tomorrow open;
le = 1;
end;
if pf / pf[2] < 1 - jmpdn then begin
sell tomorrow open;
se = 1;
end;
end;
if marketposition = 1 then begin
if pf < highest(pf, le) * (1 - pctdn) then begin
sell tomorrow open;
le = 0;
end;
le = le + 1;
end;
if marketposition = -1 then begin
if pf > lowest(pf, se) * (1 + pctup) then begin
buy tomorrow open;
se = 0;
end;
se = se + 1;
end;
end;
FINE FORMULA