Help to implement strategy from book "Following the Trend"
Author: deesnyder
Creation Date: 7/10/2013 2:12 PM
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deesnyder

#1
Hi,

Can one implement the strategy mentioned in the book "Following the Trend" using the default signals in WealthLab? The strategy is the following:

Long positions allowed only if 50d MA > 100d MA
Short positions allowed only if 50D MA < 100d MA
If today's close price is the highest close in past 50d then buy
If today's close price is the lowest close in past 50d then sell
Long position closed when moved 3 ATR units down from highest closing price since position opened
Short position closed when moved 3 ATR units up from lowest closing price since position opened

I'm particularly struggling to find a way to enter the exit strategy.

Most greatful if you could advise.
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Eugene

#2
Hey, how's your glam rock career, Dee Snider? Or if you're just using a pseudonym, let me suggest that you re-read our website's terms of use, in particular the requirements on using someone else's identity.

As to the strategy rules, you can approximate it like this using Rules:



Since the ATR exit rule is based on the extreme high/low prices rather than the close, for more precise result you'd want to use code (untested):

CODE:
Please log in to see this code.
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deesnyder

#3
Thanks Eugene! Your help is much appreciated!

PS: You must be confusing me with someone else; I am not or have not been involved in glam rock. I hope this alleviates your concerns.
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deesnyder

#4
I have slightly amended the code to what I believe reflects more closely the strategy in the book. However the definition of ATR in the book seems to be different to the one used in the program. The one I would like to use is TR=max(H,Ct-1) - min(L,Ct-1). Is there an easy way to do this or does one have to re-write the function?

Tx!

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Eugene

#5
My concern, backed up by the website's terms of use, is when someone misrepresents his identity e.g. by using a celebrity's pseudonym.

Wealth-Lab uses the standard definition of ATR as designed by Welles Wilder and his classic definition of True Range as well. There is no difference to the book.
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deesnyder

#6
Ok, your software uses Wilder's MA, hence the difference. I thought I had adressed a the "misrepresentation issue" but as you insist, why don't you just delete the whole thread.
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Eugene

#7
There is no difference but don't take my word for it:

CODE:
Please log in to see this code.


Two lines as one.