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10 Day Channel Breakout

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))));

State=0 OR State=1

Copyright ©2004 ARB Trading | Risk Notice & Disclaimer
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