Channel Breakout

This strategy works as following: if after N days the closing stock price is higher than the maximum of the highest daily price out of these N days then we have a buy signal. The sell signal is generated when the current closing price falling lower than the lowest price during N day period. In the example N day is equal to 7 days.

Formula

IF C(t) >= MAXIMUM{ H(t...t - m) }
THEN GO LONG
ELSE
IF C(t) < MINIMUM{ L(t...t - m) }
THEN GO SHORT
where C(t) is the closing price on day t;
H is the high of the day;
L is the low of the day;

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