Rank: Advanced Member
Groups: Moderators, Registered, Registered Users, Subscribers
Joined: 10/8/2010(UTC)
Posts: 1,971
Thanks: 94 times
Was thanked: 156 time(s) in 151 post(s)
|
Markos Katsanos’ article, “Is the Price REIT” presents a system to for trading REIT ETFs. Below are the MetaStock formulas for the backtest system. The article include optimization variables which must be defined in MetaStock’s System Tester.
Code:Name Description Minimum Maximum Step
OPT1 Bollinger Band Period 15 20 5
OPT2 Bollinger Band StDev 2 2 0.5
OPT3 Lookback period for TNX HH or LL 25 25 5
OPT4 Donchian Channel Length 30 30 5
OPT5 Minimum% TNX Change 15 25 5
OPT6 Maximum correlation for buy signal 0.2 0.3 0.1
OPT7 Minimum yield (TNX/10) 2 2 0.5
OPT8 ATR Stop Multiplier 1.5 1.5 0.5
OPT9 Maximum Stop Loss % 8 8 1
Those OPT variables must be replaced with numeric constants to use the formulas in an exploration or expert advisor. Buy Order: Code:SPY:= Security("ONLINE:SPY", C);
TNX:= Security("ONLINE:TNX", C);YLD:= TNX/10;
STO10:= Mov(Stoch(10,1),3,S);
ATR15:= Mov(ATR(1),15*2-1,E); { TNX HH &LL }
LLT:= LLV(TNX, OPT3);
HHT:= HHV(TNX, OPT3);
TNXUP:= (TNX-LLT)/(LLT+.001)*100;
TNXDN:= (TNX-HHT)/(HHT+.001)*100; { ETF HH & LL }
LL:= LLV(L,100);
PERCUP:= (C-LL)/(LL+.001)*100;
Upper:= Ref(HHV(C, OPT4),-1) ; { Donchian Upper Channel } { Correlations }
CORT:= Correl(C,TNX,20,0);
CORS:= Correl(C,SPY,20,0); BBBOT:= BBandBot(C, OPT1, S, OPT2); NoBuy:= C<Mov(C,30,S) AND C<(1-OPT9/100)*HHV(C,2) AND
(SPY<(1-OPT9/100)*Ref(SPY,-1) OR CORS<0); { Buy Conditions }
BuyBB:= (L<BBBOT AND C>BBBOT+.2*ATR15) AND
((TNXDN<-OPT5 AND CORT<OPT6) OR YLD<OPT7)
AND C>(H+L)/2 AND NoBuy = 0; BUYTrend:= C>UPPER AND SPY>Mov(SPY,20,S) AND
(HHVBARS(TNX, OPT4)>10 OR CORT>OPT6 OR YLD<OPT7); BuyBB OR BuyTrend
Sell Order:
Code:SPY:= Security("ONLINE:SPY", C);
TNX:= Security("ONLINE:TNX", C);YLD:= TNX/10;
STO10:= Mov(Stoch(10,1),3,S);
ATR15:= Mov(ATR(1),15*2-1,E); LLT:= LLV(TNX, OPT3);
HHT:= HHV(TNX, OPT3);
TNXUP:= (TNX-LLT)/(LLT+.001)*100;
TNXDN:= (TNX-HHT)/(HHT+.001)*100; LL:= LLV(L,100);
PERCUP:= (C-LL)/(LL+.001)*100; CORT:= Correl(C,TNX,20,0);
CORS:= Correl(C,SPY,20,0); BBBOT:= BBandBot(C, OPT1, S, OPT2); NoBuy:= C<Mov(C,30,S) AND C<(1-OPT9/100)*HHV(C,2) AND
(SPY<(1-OPT9/100)*Ref(SPY,-1) OR CORS<0); { Buy Conditions }
BuyBB:= (L<BBBOT AND C>BBBOT+.2*ATR15) AND
((TNXDN<-OPT5 AND CORT<OPT6) OR YLD<OPT7)
AND C>(H+L)/2 AND NoBuy = 0; { Sell Conditions }
Sell1:= (TNXUP> OPT5 OR (YLD>4 AND TNXUP>0) )
AND C<HHV(C,5)-OPT8*ATR15 AND BuyBB = 0; STOP:= C<Mov(C,30,S) AND C<(1-OPT9/100)*Ref(C,-1)
AND (SPY<(1-OPT9/100)*Ref(SPY,-1) OR CORS<0); SELLOB:= PERCUP>50 AND C<HHV(H,3)-OPT8*ATR(15) AND HHV(STO10,3)>90; SELL1 OR SELLOB OR STOP
William Golson
MetaStock Technical Support
Edited by user Monday, February 17, 2025 11:14:14 PM(UTC)
| Reason: Not specified
|
