nr4 historical volatility system.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

//------------------------------------------------------------------------------
//
//  Formula Name:    NR4 Historical Volatility System
//  Author/Uploader: Daniel Ervi 
//  E-mail:          
//  Date/Time Added: 2001-09-08 17:28:09
//  Origin:          Street Smarts, Connors and Raschke.  Also featured in TASC.
//  Keywords:        NR4 volatility
//  Level:           medium
//  Flags:           exploration
//  Formula URL:     http://www.amibroker.com/library/formula.php?id=115
//  Details URL:     http://www.amibroker.com/library/detail.php?id=115
//
//------------------------------------------------------------------------------
//
//  Connors and Raschke NR4 Historical Volatility System. Compares the 6 day
//  volatility to the 100 day volatility. When this ratio drops below 50%, a
//  buy stop and sell stop bracket the current price, expecting historical
//  volatility to revert to the mean. Four day Narrow-Range (NR4) and Inside
//  Day patterns are used to filter the trades to increase probabilities. For
//  further explanation, refer to "Street Smarts" from Connors and Raschke.
//
//------------------------------------------------------------------------------

/* Connors and Raschke Historical Volatility System
    For further explanation, refer to "Street Smarts"
    from Connors and Raschke.
    Ported from Metastock code by Daniel Ervi           */

numcolumns = 5;

VolRatio =  StDev(Log(C/Ref(C,-1)),5) / StDev(Log(C/Ref(C,-1)),99);
column0 =  VolRatio;
column0name = "VolRatio";

NR4Day = (H - L) < Ref(LLV(H-L,3),-1);
column1 =  NR4Day;
column1name = "Nr4Day";

InsideDay = H < Ref(High,-1) AND Low > Ref(Low,-1);
column2 =  InsideDay;
column2name = "Inside Day";

column3 =  High + 0.125;
column3name = "Buy Stop";

column4 =  Low - 0.125;
column4name = "Sell Stop";

filter = VolRatio < 0.5 AND (NR4Day == 1 AND InsideDay == 1);

buy = filter;