Price high and low - ROC index strategy

December 18, 2018

Strategy Name: Price high and low - ROC index strategy

Data cycle: 15M, etc.

Support: Commodity Futures

Main chart:
The highest price of N cycle, formula: HH ^^ HHV (H, N);
The lowest price of N cycle, formula: LL ^^ LLV (L, N);
Secondary chart:
ARC index, formula: ARC: SMA (RC, M, 1);

(*backtest
start: 2018-03-03 00:00:00
end: 2018-03-31 00:00:00
period: 15m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["ContractType","rb888",126961]]
*)
 
HH^^HHV(H,N);
LL^^LLV(L,N);
MD:=(HH+LL)/2;
 
UP:=H>=HH;
DOWN:=L&lt;=LL;
 
RC:=CLOSE/REF(CLOSE,M);
ARC:SMA(RC,M,1);
 
BARPOS>N AND BKVOL=0 AND H>=HH AND ARC>1,BPK;
BARPOS>N AND SKVOL=0 AND L&lt;=LL AND ARC&lt;1,SPK;
 
DOWN AND C>BKPRICE*(1+SLOSS*0.01),SP(BKVOL);
UP AND C&lt;SKPRICE*(1-SLOSS*0.01),BP(SKVOL);
 
C&lt;BKPRICE*(1-SLOSS*0.01),SP(BKVOL);
C>SKPRICE*(1+SLOSS*0.01),BP(SKVOL);
AUTOFILTER;