StockFetcher Forums · General Discussion · Volatility Stop<< >>Post Follow-up
sohailmithani
192 posts
msg #100661
Ignore sohailmithani
5/8/2011 8:39:36 PM

Can any expert help me write a filter for teh following:

When Up Trend Detected....
VSTOP = CL - MULT * TR

As Up Trend Continues....
VSTOP = MAX(VSTOP.1, MaxCL - MULT * TR)

When Down Trend Detected....
VSTOP = CL + MULT * TR

As Down Trend Continues....
VSTOP = MIN(VSTOP.1, MinCL + MULT * TR)

Where...
CL = Closing Price
MULT = True Range Multiplier
TR = True Range
VSTOP.1 = Volatility Stop Value on Previous Bar
MaxCL = Maximum Closing Price since Up Trend Began
MinCL = Minimum Closing Price since Down Trend Began

Thanks

wantonellis
155 posts
msg #100670
Ignore wantonellis
modified
5/9/2011 8:12:58 PM



StockFetcher Forums · General Discussion · Volatility Stop<< >>Post Follow-up

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