Description The 10-Day Channel Breakout looks for a breakout from a 10
day high or low If a breakout occurs, you enter in the direction of
the breakout and hold the position until the first day that the
direction changes.
Enter Long When the high price exceed the highest high value during the
previous ten periods.
Close Long When the high price fails to set a new 10 day high
Enter Short When the low price fails below the lowest low value during the
previous ten periods.
Close Short When the low price fails to set a new 10 day low.
Results
Click here to see test results Results using total equity of $100,000
100 shares traded per signal
DJIA 2000 periods prior to 4/4/03
Code for Metastock users: Long
EL:=H>Ref(HHV(H,10),-1);
CL:=Ref(H>Ref(HHV(H,10),-1),-1);
ES:=L<Ref(LLV(L,10),-1);
CS:=Ref(L<Ref(LLV(L,10),-1),-1);
State:=If(Cum(1)=1,0,If(EL,1,If(ES,-1,If((CL AND PREV=1) OR (CS AND
PREV=-1),0,PREV))));
State=1
Close Long
EL:=H>Ref(HHV(H,10),-1);
CL:=Ref(H>Ref(HHV(H,10),-1),-1);
ES:=L<Ref(LLV(L,10),-1);
CS:=Ref(L<Ref(LLV(L,10),-1),-1);
State:=If(Cum(1)=1,0,If(EL,1,If(ES,-1,If((CL AND PREV=1) OR (CS AND
PREV=-1),0,PREV))));
State=0 OR State=-1
Short
EL:=H>Ref(HHV(H,10),-1);
CL:=Ref(H>Ref(HHV(H,10),-1),-1);
ES:=L<Ref(LLV(L,10),-1);
CS:=Ref(L<Ref(LLV(L,10),-1),-1);
State:=If(Cum(1)=1,0,If(EL,1,If(ES,-1,If((CL AND PREV=1) OR (CS AND
PREV=-1),0,PREV))));
State=-1
Close Short
EL:=H>Ref(HHV(H,10),-1);
CL:=Ref(H>Ref(HHV(H,10),-1),-1);
ES:=L<Ref(LLV(L,10),-1);
CS:=Ref(L<Ref(LLV(L,10),-1),-1);
State:=If(Cum(1)=1,0,If(EL,1,If(ES,-1,If((CL AND PREV=1) OR (CS AND
PREV=-1),0,PREV))));
