Scaled Price Breakout Strategy by Robert Carver

It's been a pleasure learning from all of you in this forum. There are some incredible minds at work and play here.

I wanted to offer a breakout technique I discovered in the Robert Carver's book, Leveraged Trading (pp. 197-198). I'd recommend this for people interested in trading futures.

Carver refers to the technique as "Scaled Price in Range". The formula is as follows:

Scaled Price in Range (SPIR) = (Pt - Rolling Average of N) / (Rolling Max of N - Rolling Minumum of N).

As suggested in the book, zero is the trigger line for trades with periods (NDay) set to 320.

Here is my attempt to code the formula into afl code:

// Scaled Price Breakout Strategy by Robert Carver
//
// Formula:
// Scaled Price in Range (SPIR) = (Pt - Rolling Average of N) / (Rolling Max of N - Rolling Minumum of N).

NDay = Optimize("NDay",320,5,320,5);  // NDay determines the lookback period.

Pt = Ref(C,-1);  // close at point in time.
RMax =  HHV(H,NDay); //  Rolling Maximum of N periods.
RMin =  LLV(L,NDay); //  Rolling Minimun of N periods.
RAvg = ((RMax + RMin) / 2);  //  Rolling Average of N periods.

SPIR = (Pt - RAvg) / (RMax - RMin);  // Trigger Line is zero for Long and Short Sales - Above zero go long and vice versa

// Stop and Reverse Trading Signals
Buy = SPIR > 0; 
Sell = SPIR < 0; 
short = sell;
cover = Buy;

So far, I've had limited success with this as a stand alone system, but I have used it as a filter for other strategies to improve performance in a diverse universe of futures.

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