Has anybody converted this to AB and would love to share including the plot info. Interesting article.
Ray June 2007 activetradermag. TradeStation code for "Short-term, channel trading ," p. 29 The base strategy inputs:length(10); vars:lrgh(0),lrgl(0); lrgh=linearregvalue(h,length,0); lrgl=linearregvalue(l,length,0); buy next bar at lrgh stop; sell short next bar at lrgl stop; The first filter if (lrgh > lrgh[1] ) then buy next bar at lrgh stop; if (lrgl < lrgl[1] ) then sell short next bar at lrgl stop; The second filter if (lrgh < lrgh[1] and c<lrgh ) then buy next bar at lrgh stop; if (lrgl > lrgl[1] and c>lrgl ) then sell short next bar at lrgl stop; Behle-Conway modified exit strategy Inputs: stopbars(3), exitfactor(0.25), length(14), profitbars (3), profitfactor (0.9); Vars: sellstop(0),Coverstop(0),ATR(0), selltarget1(0),covertarget1 (0),selltarget2(0),covertarget2(0); ATR=Avgtruerange(length); Sellstop=lowest(low,stopbars)-(exitfactor*ATR); Coverstop=highest(high,stopbars)=(exitfactor*ATR); Selltarget1 =h+(profitfactor*atr); Covertarget1=low - (profitfactor*atr): Selltarget2=highest(h,profitbars)+(2*profitfactor*atr); Covertarget2=lowest(l,profitbars)-(2*profitfactor*atr); If marketposition<>0 then begin Sell next bar at sellstop on stop; Buy to cover next bar at coverstopon stop; End; If Marketposition<>0 then begin Sell currentcontracts/2 contracts next bar at selltarget1 on stop; Buy to cover currentcontracts/2 contracts next bar at covertarget1 on stop; Sell next bar at selltarget2 on stop; Buy to cover next bar at covertarget2 on stop;
