Michael Turner's "Intelligent Stop Loss" Strategy
Author: Dieter Weiss
Creation Date: 12/6/2019 1:24 PM
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Dieter Weiss

#1

12/6/2019 1:24 PM

Hi,

a guy named Michael Turner invented a stop loss strategy on weekly basis. In his book he says:


HV = (52 week high - 52 week low)
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Average( 52 week high + 52 week low)

EM = StockPrice x HV x ( SqrRoot(5)/SqrRoot(252))

StopLoss for Long Positions = PreviousWeek's lowest low - EM

I've tried different ways but didn't get a reasonable result.

I need a suggestion for coding.
Thanks and regards
Dieter

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Eugene

#2

12/6/2019 6:25 PM

Hi,

First thing that comes to mind, HV is not the difference between 52 week high and low. The HV indicator is the historical volatility i.e. the standard deviation of the logarithm of the price ratio.

Perhaps I haven't searched hard enough but I couldn't find sources and examples. Maybe you're more lucky?
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Eugene

#3

12/6/2019 6:37 PM

FWIW

CODE:
Please log in to see this code.
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Dieter Weiss

#4

12/7/2019 11:43 AM

Thank You, Eugene!

This seems to be the solution.

Regards
Dieter
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Eugene

#5

12/7/2019 2:07 PM

Dieter, was glad to help you!
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