The average of difference - combined with ATR

Enter: The average of difference of opening price minus closing price determines the trend combined with ATR,
the entry point is also the exit point in reverse;

Exit: Stop-loss point should be fixed at the opening of the position,
and if there is a reverse trend in price, close the position.

Data Cycle: 1 Day

Data contract: index contract

Transaction contract: main contract

  • Main chart:
    none
  • Secondary chart:
    ATR, formula ATR ^^ MA (TR, N);
    C_O, formula C_O: EMA (C, N) - EMA (O, N);
(*backtest
start: 2018-10-01 00:00:00
end: 2018-11-30 00:00:00
period: 1d
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES","balance":20000}]
*)

// variable
LOTS:=MAX(1,INTPART(MONEYTOT/(O*UNIT*0.1)));
C_O:EMA(C,N)-EMA(O,N);
B:=CROSSUP(C_O,0);
S:=CROSSDOWN(C_O,0);
TR:=MAX(MAX((H-L),ABS(REF(C,1)-H)),ABS(REF(C,1)-L));
ATR:MA(TR,N);
BAND:=ATR*0.1*M;
PRICE_BPK:=VALUEWHEN(B,H+BAND);
PRICE_SP:=VALUEWHEN(B,L-BAND);
PRICE_SPK:=VALUEWHEN(S,L-BAND);
PRICE_BP:=VALUEWHEN(S,H+BAND);

// strategy logic
BARPOS>N AND C_O>0  AND C>=PRICE_BPK,BPK(LOTS);
BARPOS>N AND C_O<0  AND C<=PRICE_SPK,SPK(LOTS);

// place an order
S,SP(BKVOL);
B,BP(SKVOL);

C<=PRICE_SP,SP(BKVOL);
C>=PRICE_BP,BP(SKVOL);

Backtest on FMZ Quant to know more

Source Codehttps://www.fmz.com/strategy/128136

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