Индикаторы: Mod_ATR_Trailing_Stop

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Mod_ATR_Trailing_Stop:

Индикатор отображает на графике цены возможные уровни StopLoss. Отдельно для Long- и Short-позиций.

Расчет:

  • Если Close[i] < TS[i-1] и Close[i-1] < TS[i-1]

    TS[i] = Min(TS[i-1], Close[i] + loss)

  • Если CClose[i] > TS[i-1]

    TS[i] = Close[i] - loss

  • Если CClose[i] < TS[i-1]

    TS[i] = Close[i] + loss

где:

loss = Coeff*WMA(Diff, Period),
WMA - Wilder Exponential Moving Average,
Diff[i] = Max(HiLo, Href, Lref),
HiLo[i] = Min(High[i] - Low[i], MVA(High - Low, Period))

  • Если CLow[i]<=High[i-1]

    Href[i] = High[i] - Close[i-1]

  • Если CLow[i]>High[i-1]

    Href[i] = (High[i] + High[i-1] - Low[i] - Close[i-1])/2

  • Если CHigh[i]>=Low[i-1]

    Lref[i] = Close[i-1] - Low[i]

  • Если CHigh[i]<Low[i-1]

    Lref[i] = (Close[i-1] + High[i] - Low[i-1] - Low[i])/2

Автор: Scriptor

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