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Price Channel Position

by swalk10, 2397 days ago
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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.

Scott Walker & Michael Walker




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Type: List of Rules

Object ID: 567


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Market: All

Style:
Technical Analysis

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Technical Analysis


Fundamental Analysis



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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.