bollinger band gap.afl

一个更精度的平滑涵数, 可用于股票交易系统.用于Amibroker 平台

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//
//  Formula Name:    Bollinger Band Gap
//  Author/Uploader: klaushengher 
//  E-mail:          
//  Date/Time Added: 2003-06-15 12:43:31
//  Origin:          
//  Keywords:        
//  Level:           advanced
//  Flags:           exploration
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=287
//  Details URL:     http://www.amibroker.com/library/detail.php?id=287
//
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//
//  BbandGap - How to Make Money Shorting Stocks in Up and Down Markets
//
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/* BbandGap. Written by Klaus Hengher
   based on Tools and Tactics for the Master Day Trader
   
   Velez, Capra (Pristine)

BbandGap - How to Make Money Shorting Stocks in Up and Down Markets
The Set Up

1) The stock must first puncture and close outside (above) the upper Bollinger
   Band. The closer the closing price is to the high of the day, the better.
   And the bigger the day's advance, the better. As a general rule, you will
   want this day's bar to be at least $2 or more in length from high to low.
   This is not always necessary, but it's better to have it.

2) On the following day, the stock must 'gap' down below the prior day's close.
   This 'gap down' is crucial as it serves as the most important criteria of
   the entire strategy. If the stock does not open for trading below the prior
   day's close by at least 50 cents (preferably more), no action should be
   taken. We need weakness right at the open. Example: If on Tuesday the stock
   closed at $40, we want to see the stock open for trading on Wednesday no
   higher than $39.50. It must open down!
   Note: In many cases, this gap down will be caused by either an exceptionally
   weak market open or a negative news item on the company, such as a brokerage
   downgrade.
   But in either case, the gap down signifies major selling (profit taking),
   and the pros who short will be loving it. Keep in mind that both the above
   criteria must be met before action is taken.

The Action

Once the above Set Up Criteria is met, the trader will do the following:

1) Sell the stock short (at the market if you have the luxury of being able to 
   kill the trade instantly in the event the stock gets too far away from you). 
   With order entry systems like The Executioner(r), the trader will be able to
   instantly cancel the open order, if need be. If the trader lacks this
   'instant canceling' capability, he is better off placing a limit sell order.

2) Once the short has been filled, place a protective stop 1/8 above the high
   of the prior day. This is our insurance policy against disaster. If the
   stock rises above the high of the prior day, that is our sign that the
   shorts are being squeezed, and the major advance has more steam left, as
   those short will be forced to buy at higher prices to curtail their losses.

3) Hold for two to three days or more, protecting your profits on the way down
   with some form of trailing stop methodology. Note: Some traders may want to
   move their protective stop 1/8 above each prior day's high. This is called
   'tracking the prior highs.' Others may want to 'book profits' in the
   following manner: 'Once up $1, move stop to break-even. Once up $2, protect
   1/2 of the gain, and once up $3 or more, protect 2/3 of the gain.
   Note: The idea is to ride the short for maximum profits. But of course if
   the trader is shorting a weak stock in the context of a bullish market
   environment, booking the profits sooner rather than later is preferred, even
   if it means missing additional gains.
}
*/
fClose = Ref(C,-1);
fHigh = Ref(H,-1);
fLow = Ref(L,-1);
fAdvDrop = fClose - Ref(C,-2);
fAtr = Ref(ATR(8),-1);
diffHl = fHigh-fLow;
fStoch = Ref(StochD(14),-1);
fBBandTop=Ref(BBandTop(C,20,2),-1);
fOpenCond = fClose - 0.5 * fAtr;
fOpen = Ref(O,0);
fStopLoss = fHigh + 0.5 * fAtr;

bbTopSell =
// The stock must first puncture and close outside (above) the upper Bollinger Band
IIf( fClose > fBBandTop                    AND
// The closer the closing price is to the high of the day, the better.
     fClose > (fLow + 0.75 * diffHL )      AND
// And the bigger the day's advance, the better
     fAdvDrop > (1.5 * fAtr)               AND
// On the following day, the stock must 'gap' down below the prior day's close.
// This 'gap down' is crucial as it serves as the most important criteria of
// the entire strategy.
     fOpen < fOpenCond                     AND
// Overbought condition added
     fStoch > 80, 1, 0 );

/* Exploration Columns for Sorting */

NumColumns = 10;

Column0 = fOpen;
Column1 = fOpenCond;
Column2 = fStopLoss;

Column0Name = "Open";
Column1Name = "OpenCond";
Column2Name = "StopLoss";

Column0Format = 1.2;
Column1Format = 1.2;
Column2Format = 1.2;

Filter = bbTopSell == 1;

Buy = 0;
Sell = bbTopSell>0;