Gain - Loss Filter

This strategy works only using the closing price. When the closing price is falling down during the n days %a percent a buy signal is generated. If the price goes up and reaches %b gain then a sell signal is generated. If the price falls further %p percent a stop loss signal is generated.

Formula

IF C(t)< (100-a)*MAX(C(t)..C(t-n)/100
THEN GO LONG
IF C(t)> (100+b)*LastBuy/100
THEN GO SHORT
ELSE IF C(t)<(100-p)*LastBuy/100
THEN GO SHORT

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