I`m trying to run this code as a simple backtest but get "missing buy/sell
variable assignmets" error. Have tried adding
ApplyStop( stopTypeNBar, stopModeBars, 5 );
but still get error. Can someone please advise what I need to do to run
as a simple backtest with a trailing bar stop?
thanks
altahob
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/* 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;