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To help the QuantShare community make use of the Channel Position function and to illustrate the application of Rules Manager, we have created a Price Channel Position rule list.
The Price Channel is designed to measure where price is within the range of the channel look back period, expressed as a percentage 0 to 100.
The Price Channel Position Rule illustrates one way to translate this function into a tradable "edge". Starts with the measuring the closing price within a lookback of 200 bars . . . ChannelPosition(close,200). It then takes a six period smoothing of the channel read, in order that the measurement is more stable for trading classification. Both the 200 and the six can be easily replaced with variables for testing in any situation. Combined this is . . . sma(ChannelPosition(close,200),6)
If the results are above .8 (80% percent), this is then classified into the "top quintile" bucket. If below .2, then into the bottom bucket. Clicking "Analyze" allows you to assess the results. It is suggested that one looks for maximum "separation" of results between the top and bottom quintile to assess the performance of this rule criteria in classifying or ranking across assets.
