ATR, also known as Average true range, was invented by J. Welles Wilder. The ATR indicator is mainly used to measure the intensity of market volatility, that is, the indicator to show the market change rate.
This indicator is mainly used to measure price fluctuations. It is important to remember that ATR does not provide an indication of price direction, just volatility.
This indicator is typical for long periods of sustained marginal movement, which usually occurs at the top of the market or during price consolidation. The principle of prediction according to this indicator can be expressed as: the higher the value of the indicator, the higher the possibility of the trend change; the lower the value of the indicator, the weaker the mobility of the trend.
Idea: channel adaptive strategy, fixed stop loss + floating take profit
Applicable software: FMZ Quant / webstock
Data cycle: multiple cycles
Data contract: index contract
Trading Contract: Commodity Futures /Digital Currency
(*backtest
start: 2018-11-01 00:00:00
end: 2018-12-01 00:00:00
period: 1h
exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD"}]
args: [["ContractType","XBTUSD",126961]]
*)
SLOSS:=2;
N:=200;
M:=4;
TR1:=MAX(MAX((HIGH-LOW),ABS(REF(CLOSE,1)-HIGH)),ABS(REF(CLOSE,1)-LOW));
ATR:=MA(TR1,N);
MAC:=MA(C,N);
UBAND^^MAC+M*ATR;
DBAND^^MAC-M*ATR;
NH^^HHV(H,N);
NL^^LLV(L,N);
H>=NH,BPK;
L<=NL,SPK;
(H>=HHV(H,M*N) OR C<=UBAND) AND BKHIGH>=BKPRICE*(1+M*SLOSS*0.01),SP;
(L<=LLV(L,M*N) OR C>=DBAND) AND SKLOW<=SKPRICE*(1-M*SLOSS*0.01),BP;
//止损 StopLoss
C>=SKPRICE*(1+SLOSS*0.01),BP;
C<=BKPRICE*(1-SLOSS*0.01),SP;
AUTOFILTER;
momox 这两句什么意思？ //这样理解对不对？（最高价突破四个大周期的最高价 或者 跌破布林线上轨） 并且 建仓以来的利润搞过8%???? (H>=HHV(H,M*N) OR C<=UBAND) AND BKHIGH>=BKPRICE*(1+M*SLOSS*0.01),SP; (L<=LLV(L,M*N) OR C>=DBAND) AND SKLOW<=SKPRICE*(1-M*SLOSS*0.01),BP;