TS Recursive Moving Trendline System
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Trading System "Recursive Moving Trendline System"
Formula per Tradestation™:
INIZIO FORMULA
Type : Signal, Name : Recursive Moving Trendline System
inputs: ndays(25);
vars: alpha(0),
bo(0),
bo1(c),
xest(0),
xest1(c),
ema(0),
ema1(c),
tosc(0);
alpha = 2 / (ndays + 1);
bo = (1 - alpha) * bo1 + close;
ema = ema1 + alpha * (close - ema1);
xest = (1 - alpha) * xest1 + alpha * (close + bo - bo1);
bo1 = bo;
xest1 = xest;
ema1 = ema;
tosc = xest - ema;
if barnumber > 50 then begin
if tosc > 0 then buy close;
if tosc < 0 then sell close;
end;
FINE FORMULA