Analysis Techniques & Strategies
Name | Type | Default | Description |
AccFactorStep | Numeric | .02 | Specifies the incrementation of the acceleration factor. |
AccFactorLimit | Numeric | 0.2 | Specifies the limitation on the acceleration factor. |
ATRLength | Numeric | 3 | The number of bars to include in the calculation of the average true range. |
NumATRs | Numeric | 1.5 | Multiplier of the average true range, added to the high to determine the stop value. |
Short exit based on a Parabolic calculation.
Welles Wilder introduced the Parabolic Indicator, and its curve resembles a parabolic curve. The parabolic value is calculated to cross over and under the price, moving closer to the price on every bar. When the parabolic value crosses under current prices it is bullish, and when it crosses above the current prices, it is bearish.
On the first bar of a short position, the stop price is calculated as the high of the current bar plus the average true range of ATRLength (Input) number of bars multiplied by NumATRs (Input). A stop order is generated to exit the position at this stop price. On every consecutive bar, the parabolic calculations are run and a new stop price is determined. The strategy generates a new stop order for each bar, as long as you are in a short position.
Order Name: ParTrSX
Related Strategy: Parabolic_mrail LX
Related Function(s): AvgTrueRange