N Day Filter

The strategy is a technical analysis trading strategy that uses the lowest price of a stock to generate buy and sell signals based on its comparison to the lowest prices of the previous n days.

To generate a buy signal, the strategy compares the lowest price of the current day to the minimum of all the lowest prices during the last n days. If the lowest price of the current day is higher than the minimum of all lowest prices during the last n days, a buy signal is generated.

To generate a sell signal, the strategy compares the lowest price of the current day to the maximum of all the lowest prices during the last n days. If the lowest price of the current day is lower than the maximum of all lowest prices during the last n days, a sell signal is generated.

A buy signal is generated when the lowest price on a current day is higher than the minimum out of all lowest prices during the last n days. A sell signal is generated when the lowest price during the current day is lower than the maximum out of all lows during the last n days.

Formula

IF L(t) >= MINIMUM{ L(t...t - m) }
THEN GO LONG
ELSE
IF L(t) < MAXIMUM{ L(t...t - m) }
THEN GO SHORT

Stock Research Links

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