DMI and High-Low Strategy

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High&Low

Common strategy

Created: 2018-12-01 18:29:53

Last modified: 7 years ago

Copy: 103

阿基米德的浴缸

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Strategy Name: DMI and High-Low Strategy
Data Cycle: 5M
Support: Commodity Futures
Main chart:
AMA1 index, formula: AMA1 ^ ^ EMA (DMA (CLOSE, CQ1), 2);
AMA2 index, formula: AMA2 ^ ^ EMA (DMA (CLOSE, CQ2), 2);

Source

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(*backtest
start: 2018-11-04 00:00:00
end: 2018-11-30 00:00:00
period: 5m
exchanges: [{"eid":"Futures_BitMEX","currency":"XBT_USD"}]
args: [["TradeAmount",100,126961],["ContractType","XBTUSD",126961]]
*)


DIR1:=ABS(CLOSE-REF(CLOSE,N));
VIR1:=SUM(ABS(CLOSE-REF(CLOSE,1)),N);
ER1:=DIR1/VIR1;

Strategy parameters

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DMI and High-Low Strategy

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