Zweig's 4% model - Trading Software

Zweig's 4% model

Amritendu Maji
2017-07-21 23:57:38

Zweig's 4% model in Metastock:

a:=If(PREV=1,If(CLOSE<HighestSince(1,PREV<>1,CLOSE)*.96,-1,PREV),If(PREV=-1,If(CLOSE>LowestSince(1,PREV<>-1,CLOSE)*1.04,+1,PREV),If(PREV=0,If(CLOSE>Lowest(CLOSE)*1.04,+1,If(CLOSE<Highest(CLOSE)*.96,-1,PREV)),PREV)));
D:=If(A=1,1,0);
LE:=D=1;
SE:=D=0;

What is the equivalent in QL?

Thank you,
Maji

Amritendu Maji
2017-07-22 00:03:40

In Easylanguage it is as follows:

inputs: perOffLo(4.00), { percent off lowest close }
perOffHi(4.00); { percent off highest close }

variables: LC(0), { lowest close }
HC(0), { highest close }
trend(0); { 0 = no trades yet, +1 = up, -1 = down }

{ initialize variables }
if currentBar = 1 then begin
LC = close;
HC = close;
trend = 0;
end;

{ update trend variable and place trading orders }
if trend = 0 then begin
if ((close-LC) / LC) >= (perOffLo / 100) then trend = +1;
if ((HC-close) / HC) >= (perOffHi / 100) then trend = -1;
end
else if trend = +1 and ((HC-close) / HC) >= (perOffHi / 100) then begin
sell short this bar on close;
trend = -1;
LC = close;
end
else if trend = -1 and ((close-LC) / LC) >= (perOffLo / 100) then begin
buy this bar on close;
trend = +1;
HC = close;
end;

{ update LC & HC variables }
if close < LC then LC = close;
if close > HC then HC = close;

Amritendu Maji
2017-07-27 01:37:37

Can you just write the Buy logic of this system?

Thank you.

QuantShare
2017-07-27 10:49:44

Please contact support if you want that one of our programmers implement the indicator for you.

Amritendu Maji
2017-07-27 15:35:11

I am not asking you to write the whole indicator... I am just looking at a few lines of code that can get me started. How Roy set up
The long entry would be very helpful.

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