Bar-Based Strategy

This strategy uses bars high and low prices to produce buy/sell signals. It sells when high price of current bar exceeds highest high of n previous bars and buys when low price of current bar gets below lowest low of n previous bars.
When strategy starts, it calculate the highest high and lowest low of n previous bars, and waits until the first crossover occurs, then sells and updates highest high, if high crosses over highest high, or buys and updates lowest low, if low crosses under lowest low. Then strategy waits until the opposite crossover, and when it occurs, it reverses the position, thus it closes current and opens opposite position.

Commodity Channel Index Strategy

This strategy uses Commodity Channel Index indicator to produce buy/sell signals. It sells when CCI crosses over 100 and buys when CCI crosses under -100.

CCI is calculated as follows:

• CCI = [TP - MA(TP)]/[0.015*SD(MA)]
• TP = [highest high(n bars) + lowest low(n bars) + close]/3
• MA - Moving Average, SD - Standard Deviation, n - period

When strategy starts, it waits until the first crossover occurs, then buys, if CCI crosses under -100, or sells, if CCI crosses over 100. Then strategy waits until the opposite crossover, and when it occurs, it reverses the position, thus it closes current and opens opposite position.

Moving Average Strategy

This strategy uses Moving Average indicator to produce buy/sell signals. It buys when fast MA crosses over slow MA and sells when fast MA crosses under slow MA.

MA is calculated as follows:

• MA(n) = [price(now)+ ... +price(n bars ago)]/n
• n - period.

This strategy uses two MAs, one with a short period, called fast MA, and other with a longer period, called slow MA.
When strategy starts, it waits until the first crossover occurs, then buys, if fast crosses over slow, or sells, otherwise. Then strategy waits until the opposite crossover, and when it occurs, it reverses the position, thus it closes current and opens opposite position.

Exponential Moving Average Strategy

This strategy uses Exponential Moving Average indicator to produce buy/sell signals. It buys when fast EMA crosses over slow EMA and sells when fast EMA crosses under slow EMA.

EMA is calculated as follows:

• EMA(n) = EMA[-1] +K(1- EMA[-1])
• K=2/(1+n)
• n - period

This strategy uses two EMAs, one with a short period, called fast EMA, and other with a longer period, called slow EMA.
When strategy starts, it waits until the first crossover occurs, then buys, if fast crosses over slow, or sells, otherwise. Then strategy waits until the opposite crossover, and when it occurs, it reverses the position, thus it closes current and opens opposite position.

Fade Strategy

This strategy uses percent of change between current price and initial price to produce buy/sell signals. It sells when Fade crosses over teta and buys when Fade crosses under -teta.

Fade is calculated as follows:

• Fade (now) = 100*[price (now) - price (at start)]/ price (at start)

When strategy starts, it waits until the first crossover occurs, then sells, if Fade crosses over teta, or buys, if Fade crosses under -teta. Then strategy waits until the opposite crossover, and when it occurs, it reverses the position, thus it closes current and opens opposite position.

Momentum Strategy

This strategy uses Momentum indicator to produce buy/sell signals. It sells when Momentum crosses over teta and buys when Momentum crosses under -teta.

Momentum is calculated as follows:

• Momentum(n) = price(now) - price(n bars ago)
• n - period

When strategy starts, it waits until the first crossover occurs, then sells, if Momentum crosses over teta, or buys, if Momentum crosses under -teta. Then strategy waits until the opposite crossover, and when it occurs, it reverses the position, thus it closes current and opens opposite position.

Pivot Lines Strategy

This strategy uses Pivot Lines indicator to produce buy/sell signals. It sells when price crosses over [resistance level - delta] and buys when price crosses under [support level + delta].

Pivot Lines is calculated as follows:

• Pivot point = [high(1 bar ago)+low(1 bar ago)+close(1 bar ago)]/3
• Support Level = 2*Pivot - high(1 bar ago)
• Resistance Level = 2*Pivot - low(1 bar ago)

When strategy starts, it waits until the first crossover occurs, then sells, if price crosses over [resistance level - delta], or buys, if price crosses under [support level + delta]. Then strategy waits until the opposite crossover, and when it occurs, it reverses the position, thus it closes current and opens opposite position.

Rate Of Change Strategy

This strategy uses Rate Of Change indicator to produce buy/sell signals. It buys when ROC crosses over teta and sells when ROC crosses under -teta.

Bollinger Bands Strategy

This strategy uses Bollinger Bands indicator to produce buy/sell signals. It sells when price crosses over [upper band - epsilon] and buys when price crosses under [lower level + epsilon].

Bollinger Bands is calculated as follows:

• Middle band = MA(n)
• Upper band = MA(n) + k*SD[MA(n)]
• Lower band = MA(n) - k*SD[MA(n)]
• SD = standard deviation

When strategy starts, it waits until the first crossover occurs, then buys, if price crosses under [lower level + epsilon], or sells, if price crosses over [upper band - epsilon]. Then strategy waits until the opposite crossover, and when it occurs, it reverses the position, thus it closes current and opens opposite position.

Moving Average Convergence-Divergence Strategy

This strategy uses Moving Average Convergence/Divergence indicator to produce buy/sell signals. It buys when MACD line crosses over signal line and sells when MACD line crosses under signal line.

MACD is calculated as follows:

• MACD(m,n) = EMA(m)-EMA(n), then m
• Signal = EMA(x) of MACD
• m, n is called slow and fast MACD periods. x is called signal period

When strategy starts, it waits until the first crossover occurs, then buys, if MACD crosses over signal, or sells, otherwise. Then strategy waits until the opposite crossover, and when it occurs, it reverses the position, thus it closes current and opens opposite position.

Relative Strength Index Strategy

This strategy uses Relative Strength Index indicator to produce buy/sell signals. It sells when RSI crosses over teta and buys when RSI crosses under 100-teta.

RSI is calculated as follows:

• U - number of up moves during last n bars
• D - number of down moves during last n bars
• RS = [EMA(n) on U]/ [EMA(n) on D]
• RSI = 100-100*[1/(1+RS)]
• n is called period

When strategy starts, it waits until the first crossover occurs, then buys, if RSI crosses under 100-teta, or sells, if RSI crosses over teta. Then strategy waits until the opposite crossover, and when it occurs, it reverses the position, thus it closes current and opens opposite position.

Stochastic Fast Strategy

This strategy uses Fast Stochastic Oscillator indicator to produce buy/sell signals. It sells when %K crosses under %D and over overbought condition (parameter); and buys when %K crosses over %D and under oversold condition.

Fast Stochastic Oscillator is calculated as follows:

• %K = [close(now) – min(close) during last n bars]/[max(close) during last n bars - min(close) during last n bars]
• %D = MA(m) of %K

When strategy starts, it waits until the first crossover occurs, then buys, if %K crosses over %D and under LowValue, or sells, if %K crosses under %D and over HighValue. Then strategy waits until the opposite crossover, and when it occurs, it reverses the position, thus it closes current and opens opposite position.

Parabolic SAR Strategy

This strategy uses Parabolic Stop & Reverse indicator to produce buy/sell signals. It buys when SAR crosses under current price and sells when SAR crosses over current price.

Parabolic SAR is calculated as follows:

• Initial extreme points are high and low of current bar
• SAR (now) = [extreme point-SAR (previous bar)]*alpha+ SAR (previous bar)
• If long (i.e. negative position) and high>extreme point then extreme point = high, alpha = alpha + step
• If short (i.e. positive position) and low
• alpha rises until it reaches its maximum

When strategy starts, it waits until the first crossover occurs, then buys, if price crosses over SAR, or sells, if price crosses under SAR. Then strategy sets initial values for alpha and extreme points and waits until the opposite crossover, and when it occurs, it reverses the position, thus it closes current and opens opposite position.

Parabolic Trend Strategy

This strategy combines use of Rate Of Change and Parabolic Stop & Reverse indicators to produce buy/sell signals. At start, it acts like ROCStrategy, and after it enters first position, it continues like ParabolicSARStrategy.

ROC is calculated as follows:

• ROC(n) = [price(now) - price(n bars ago)]/ price(n bars ago)

Parabolic SAR is calculated as follows:

• Initial extreme points are high and low of current bar
• SAR (now) = [extreme point-SAR (previous bar)]*alpha+ SAR (previous bar)
• If long (i.e. negative position) and high>extreme point then extreme point = high, alpha = alpha + step
• If short (i.e. positive position) and low
• alpha rises until it reaches its maximum

When strategy starts, it waits until the first crossover occurs, then buys, if ROC crosses over teta, or sells, if ROC crosses under -teta. Then strategy sets initial values for alpha and extreme points and waits until the opposite crossover, and when it occurs, it reverses the position, thus it closes current and opens opposite position.