Trading System - High Probablility Trading

[traderbrazil]

I just finished reading the book High Probability Trading by Marcel Link.
In the book, he describes a very simple trading system which seems quite interesting:

Long Signal break above highest high of last 10 bars plus 0,5 standard deviation
Short Signal just the opposite
EXITs:
If ADX > 30 exit on the cross of moving averages (10 and 35)
If ADX < 20 exit after 10 bars
If ADX between 20-30 exit when Stochastics reach overbought territory (exit Long when SlowD (14) > 85 //// exit Short when SlowD (14) < 15)

I would appreciate if somebody could help translating this system into Metastock as I'm not really familiar with MetaStock language.

Best regards,
Traderbrazil

 

[bluesea]

I just finished reading the book “High Probability Trading” by Marcel Link.
In the book, he describes a very simple trading system which seems quite interesting:

Long Signal – break above highest high of last 10 bars plus 0,5 standard deviation
Short Signal – just the opposite
EXITs:
If ADX > 30 exit on the cross of moving averages (10 and 35)
If ADX < 20 exit after 10 bars
If ADX between 20-30 exit when Stochastics reach overbought territory (exit Long when SlowD (14) > 85 //// exit Short when SlowD (14) < 15)

I would appreciate if somebody could help translating this system into Metastock as I'm not really familiar with MetaStock language.

Best regards,
Traderbrazil

Dear Traderbrazil,

plz give lttle dtl abt the short set up only vice versa is confusing. Secondly what do u mean by "0,5 standard deviation"?? What is the period for the stnd div calculation? is it open, 5 period ?? Plz also mention what is slowD(14)? Is it Stochiastic with 14 period along with 14 period %D ? Standard Stochastic of Metastock is 5,3,3. Plz spcify the values in your proposed stochastic.

bluesea

 

[traderbrazil]

Dear Traderbrazil,

plz give lttle dtl abt the short set up only vice versa is confusing. Secondly what do u mean by "0,5 standard deviation"?? What is the period for the stnd div calculation? is it open, 5 period ?? Plz also mention what is slowD(14)? Is it Stochiastic with 14 period along with 14 period %D ? Standard Stochastic of Metastock is 5,3,3. Plz spcify the values in your proposed stochastic.

bluesea

Hi Blue Sea,

Thank you for your interest!
Short setup: break below lowest low of last 10 bars plus 0,5 standard deviation.
0,5 standard deviation (14 periods) = for example, if the current standard deviation of a stock is 3 you would enter a trade if it goes above its highest high or below its lowest low of the stock value by 1,5.
I meant Stochastichs 14,3,3.

Please let me know if you have more questions.
Once again, thanks for the help.
traderbrazil

 

[minnamor]

Could this be it?
LE:= H>ref(HHV(H,10),-1)+0.5* Stdev(c,10) ;
SE:= L<ref(LLV(L,10),-1)-0.5* Stdev(c,10);
LX:= (ADX(14)>30 and cross(mov(c,35,e),mov(c,10,e))) or (ADX(14)<20 and Simulation.CurrentPositionAge >=10) or (ADX(14)>20 and ADX(14)<30 and cross(stoch(14,3),85));
SX:= (ADX(14)>30 and cross(mov(c,10,e),mov(c,35,e))) or (ADX(14)<20 and barssince(SE)>=10) or
(ADX(14)>20 and ADX(14)<30 and cross(15,stoch(14,3)));
You do not specify whether book specifies an entry order (next day open, limit, stop?).

 

[minnamor]

Sorry, entry conditions should be:
LE:= H>ref(HHV(H,10)+0.5* Stdev(c,10),-1);
SE:= L<ref(LLV(L,10)-0.5* Stdev(c,10),-1);

 

[traderbrazil]

Thanks a lot Minnamor!!!

Ill let you know how it works out.

Good trading!!!
traderbrazil

 

[minnamor]

On second thoughts, when exits are not directly linked to entries, it is preferable to make sure that none of the exit conditions hold at the time of entry. Otherwise you would have a same day exit which is not what you are trying to achieve. One way of doing this could be to specify the entry conditions as follows:

LE:= ... and LX=0;
SE:= ... and SX=0;

Let me know how it goes. Bear in mind that I have not read the book.

 

[bluesea]

Dear traderbrazil,
I worked with the formula given by minnamor. It is generating too many signals. I revised the same and posting now. Signal is much less but it is still not very encouraging.

Long--

LE:= H>Ref(HHV(H,10)+0.5* Stdev(C,10),-1);

a:=H>Ref(HHV(H,10)+0.5* Stdev(C,10),-1);

b:=(ADX(14)>30 AND Cross(Mov(C,35,E),Mov(C,10,E))) OR (ADX(14)<20 AND
BarsSince(LE)>=10) OR (ADX(14)>20 AND ADX(14)<30 AND Cross(Stoch(14,3),85));
state:= If(BarsSince(a)< BarsSince(b),1,0);

state < Ref(state, -1)

Exit long--

LE:= H>Ref(HHV(H,10)+0.5* Stdev(C,10),-1);

a:=H>Ref(HHV(H,10)+0.5* Stdev(C,10),-1);

b:=(ADX(14)>30 AND Cross(Mov(C,35,E),Mov(C,10,E))) OR (ADX(14)<20 AND
BarsSince(LE)>=10) OR (ADX(14)>20 AND ADX(14)<30 AND Cross(Stoch(14,3),85));
state:= If(BarsSince(a)< BarsSince(b),1,0);

state > Ref(state, -1)

Short---
SE:= L<Ref(LLV(L,10)-0.5* Stdev(C,10),-1);
a:=L<Ref(LLV(L,10)-0.5* Stdev(C,10),-1);
b:=(ADX(14)>30 AND Cross(Mov(C,10,E),Mov(C,35,E))) OR (ADX(14)<20 AND BarsSince(SE)>=10) OR
(ADX(14)>20 AND ADX(14)<30 AND Cross(15,Stoch(14,3)));
state:= If(BarsSince(a)< BarsSince(b),1,0);

state < Ref(state, -1)

Exit Short--
SE:= L<Ref(LLV(L,10)-0.5* Stdev(C,10),-1);
a:=L<Ref(LLV(L,10)-0.5* Stdev(C,10),-1);
b:=(ADX(14)>30 AND Cross(Mov(C,10,E),Mov(C,35,E))) OR (ADX(14)<20 AND BarsSince(SE)>=10) OR
(ADX(14)>20 AND ADX(14)<30 AND Cross(15,Stoch(14,3)));
state:= If(BarsSince(a)< BarsSince(b),1,0);

state > Ref(state, -1)


Bluesea