THE QUICK FROG AN INTRADAY TRADING STRATEGY from VAN Tharp institute

#2
Hello

Interesting . . .

This seems to be a 7 year old document, from 2012,
so the current system must be on its 8th or 10th version :)

Anyway . .

Not able to put in time to code the full system,
but here is a quicky exploration code for filtering the best candidate ..
  • Setups/Filters:
    1. Calculate the FQN for all members of the sample population, using the formula: AvgDailyRange(30) / StDev(30)
    2. Focus intraday attention to the targets with the highest FQN value, to create trade frames with the targets that have the highest expected reward: risk ratios
    3. Wait for 30 min after the open to make an entry decision
    4. Evaluate the “froggish” candidates to select the most directional target to enter
Code:
// As per the document
// Set the exploration to 30 Mins TF
// Use filter on 'Apply To' to set your universe of instruments to explore
// Use Range as 1 recent day(s)
// Run the exploration around 9.40 AM on 30 minutes time frame,
// you will have your list to start trading the 2nd 30 minutes bar.
//
// AvgDailyRange(30)  / StDev(30)

TrueRange = ATR(30);
SmplRange = MA(H-L,30);
FQN = SmplRange/StDev(Close,30);  //Can also use TrueRange/StDev(Close,30);
Filter=1;  // can filter here instead of 'Apply To' 
AddColumn(FQN, "FQN" );
SetSortColumns( -3 );


.
 
#3
Hello

Interesting . . .

This seems to be a 7 year old document, from 2012,
so the current system must be on its 8th or 10th version :)

Anyway . .

Not able to put in time to code the full system,
but here is a quicky exploration code for filtering the best candidate ..


Code:
// As per the document
// Set the exploration to 30 Mins TF
// Use filter on 'Apply To' to set your universe of instruments to explore
// Use Range as 1 recent day(s)
// Run the exploration around 9.40 AM on 30 minutes time frame,
// you will have your list to start trading the 2nd 30 minutes bar.
//
// AvgDailyRange(30)  / StDev(30)

TrueRange = ATR(30);
SmplRange = MA(H-L,30);
FQN = SmplRange/StDev(Close,30);  //Can also use TrueRange/StDev(Close,30);
Filter=1;  // can filter here instead of 'Apply To'
AddColumn(FQN, "FQN" );
SetSortColumns( -3 );


.
Hi happy bhai .. thanks for the code .. unka current system is still same but ab what they are using linear regression slope's ... if it is between .1 to -.1 then they are ignoring the trades as it is a sideways market
 
#4
Hi happy bhai .. thanks for the code .. unka current system is still same but ab what they are using linear regression slope's ... if it is between .1 to -.1 then they are ignoring the trades as it is a sideways market
OK,

add these lines to end of above code

Code:
// linear regression slope's ... if it is between .1 to -.1
LRS = LinRegSlope(C,30)/100;
AddColumn(LRS,"LRS");
AddColumn(Close, "CLOSE" );

.
 

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