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



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

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2016 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus