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Time-series location relative to its high and low

by The trader, 5568 days ago
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These masks uses some formulas to determine how far is the time-series current value from its high and low of the x preceding bars.
The first mask calculates the distance in percentage between the time-series and its high, while the second use the same calculation but for the low.
The last one calculates the position of the time-series within its high and low.
A value of 1 means the time-series is making a new high and 0 means it is making a new low.
For each time-series the current masks generate 56.

The most obvious time-series that can be used in this mask is probably the close price, but any other time-series can of course be used.
Locating a time-series position relative to its highest and lowest value for a specific number of preceding bars could be a solution to generate profitable rules.

Create many rules, backtest and optimize them then use them to generate a trading system.


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Type: Rules Mask

Object ID: 113


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Style:
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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.