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Dynamic Trend following algorithm Strategy
Source: https://fxcodebase.com/code/viewtopic.php?f=31&t=68878
Forum: 31 · Topic 68878 · 1 post(s)
Dynamic Trend following algorithm Strategy
Apprentice · Tue Sep 03, 2019 10:53 am
Based on the article “The Application of Trend Following Strategies in Stock Market Trading” and “Trend following algorithms in automated derivatives market trading” Simon Fong, Jackie Tai
Pseudo code of Adaptive P&Q Rules Repeat Compute RSI(t) and EMA(RSI(t)) If price is advancing at t If RSI(t)>EMA(RSI(t)) and 40<EMA(RSI(t))>60 If no position opened Open a long position, P’ Else if short position opened Close out short position, Q’ Else if price is declining at t If RSI(t)<EMA(RSI(t)) and 40<EMA(RSI(t))>60 If no position opened Open a short position, Q’ Else if long position opened Close out long position, P’ If end of market Close all opened position Until Market Close