Hi everyone if you a EA coder and programming a EA pls attach it here
Thank you very much
strategy
Developer: Toby Crabel (2 Bar NR Pattern). Concept: Volatility expansion. Research Goal: Performance of narrow range (NR) patterns. Specification: Table 1. Results: Figure 1-2. Trade Setup: Toby Crabel – 2 Bar NR pattern is defined as the narrowest range from high to low of any two day period relative to any two day period within the previous 20 market days. Trade Entry: Opening Range Breakout (ORB). A trade is taken at a predetermined amount above/below the open. The predetermined amount is called the stretch. Long Trades: A buy stop is placed at [Open + Stretch]. Short Trades: A sell stop is placed at [Open − Stretch]. The first stop that is traded is the position. The other stop is the protective stop. Trade Exit: Table 1. Portfolio: 42 futures markets from four major market sectors (commodities, currencies, interest rates, and equity indexes). Data: 33 years since 1980. Testing
signal ad System
STRATEGY
SPECIFICATION PARAMETERS
Auxiliary Variables: Noise: The difference between the open for each day and the closest extreme to the open on each day (Noise = min(High − Open, Open − Low)).
Average_Noise: The simple moving average of Noise over a period of Stretch_Length.
Stretch = Average_Noise * Stretch_Multiple.
Index: i ~ Current Bar. Stretch_Length = 10;
Stretch_Multiple = 2;
Setup: Toby Crabel – 2 Bar Narrow Range (NR) pattern is defined as the narrowest range from high to low of any two day period relative to any two day period within the previous 20 market days (Look_Back = 20; Default Value). NR_Size = 2;
Look_Back = [10, 50], Step = 1;
Filter: N/A
Entry: Opening Range Breakout (ORB). A trade is taken at a predetermined amount above/below the open. The predetermined amount is called the stretch (defined above). Long Trades: A buy stop is placed at [Open + Stretch]. Short Trades: A sell stop is placed at [Open − Stretch]. The first stop that is traded is the position. The other stop is the protective stop. If both stops are triggered during the same day, we account only for one entry and one exit (no reversals) and assume the trade was a loser.
Exit: Time Exit: nth day at close, n = Time_Index.
Stretch Exit: Long Trades: A sell stop is placed at [Open − Stretch]. Short Trades: A buy stop is placed at [Open + Stretch]. The values are calculated at the day of entry.
Stop Loss Exit: ATR(ATR_Length) is an Average True Range over a period of ATR_Length. ATR_Stop is a multiple of ATR(ATR_Length). Long Trades: A sell stop is placed at [Entry − ATR(ATR_Length) * ATR_Stop]. Short Trades: A buy stop is placed at [Entry + ATR(ATR_Length) * ATR_Stop]. Time_Index = [1, 40], Step = 1;
ATR_Length = 20;
ATR_Stop = 6;
Sensitivity Test: Look_Back = [10, 50], Step = 1;
Time_Index = [1, 40], Step = 1;
Position Sizing: Initial_Capital = $1,000,000
Fixed_Fractional = 1%
Portfolio = 42 US Futures
ATR_Stop = 6 (ATR ~ Average True Range)
ATR_Length = 20
Data: 42 futures markets; 33 years (1980/01/01−2013/02/28)
Thank you very much
strategy
Developer: Toby Crabel (2 Bar NR Pattern). Concept: Volatility expansion. Research Goal: Performance of narrow range (NR) patterns. Specification: Table 1. Results: Figure 1-2. Trade Setup: Toby Crabel – 2 Bar NR pattern is defined as the narrowest range from high to low of any two day period relative to any two day period within the previous 20 market days. Trade Entry: Opening Range Breakout (ORB). A trade is taken at a predetermined amount above/below the open. The predetermined amount is called the stretch. Long Trades: A buy stop is placed at [Open + Stretch]. Short Trades: A sell stop is placed at [Open − Stretch]. The first stop that is traded is the position. The other stop is the protective stop. Trade Exit: Table 1. Portfolio: 42 futures markets from four major market sectors (commodities, currencies, interest rates, and equity indexes). Data: 33 years since 1980. Testing
signal ad System
STRATEGY
SPECIFICATION PARAMETERS
Auxiliary Variables: Noise: The difference between the open for each day and the closest extreme to the open on each day (Noise = min(High − Open, Open − Low)).
Average_Noise: The simple moving average of Noise over a period of Stretch_Length.
Stretch = Average_Noise * Stretch_Multiple.
Index: i ~ Current Bar. Stretch_Length = 10;
Stretch_Multiple = 2;
Setup: Toby Crabel – 2 Bar Narrow Range (NR) pattern is defined as the narrowest range from high to low of any two day period relative to any two day period within the previous 20 market days (Look_Back = 20; Default Value). NR_Size = 2;
Look_Back = [10, 50], Step = 1;
Filter: N/A
Entry: Opening Range Breakout (ORB). A trade is taken at a predetermined amount above/below the open. The predetermined amount is called the stretch (defined above). Long Trades: A buy stop is placed at [Open + Stretch]. Short Trades: A sell stop is placed at [Open − Stretch]. The first stop that is traded is the position. The other stop is the protective stop. If both stops are triggered during the same day, we account only for one entry and one exit (no reversals) and assume the trade was a loser.
Exit: Time Exit: nth day at close, n = Time_Index.
Stretch Exit: Long Trades: A sell stop is placed at [Open − Stretch]. Short Trades: A buy stop is placed at [Open + Stretch]. The values are calculated at the day of entry.
Stop Loss Exit: ATR(ATR_Length) is an Average True Range over a period of ATR_Length. ATR_Stop is a multiple of ATR(ATR_Length). Long Trades: A sell stop is placed at [Entry − ATR(ATR_Length) * ATR_Stop]. Short Trades: A buy stop is placed at [Entry + ATR(ATR_Length) * ATR_Stop]. Time_Index = [1, 40], Step = 1;
ATR_Length = 20;
ATR_Stop = 6;
Sensitivity Test: Look_Back = [10, 50], Step = 1;
Time_Index = [1, 40], Step = 1;
Position Sizing: Initial_Capital = $1,000,000
Fixed_Fractional = 1%
Portfolio = 42 US Futures
ATR_Stop = 6 (ATR ~ Average True Range)
ATR_Length = 20
Data: 42 futures markets; 33 years (1980/01/01−2013/02/28)