La figura Calicetto ha in breve 5 regole(si rimanda alla lettura del libro):
1. va usata su strumenti liquidi;
2. i prezzi devono intersecare la parte superiore o inferiore delle Bande di Bollinger “standard”;
3. lo stop-loss deve essere ristretto;
4. la strategia può essere impiegata su qualsiasi timeframe (anche a 5min). Più alto è il timeframe (più alte le probabilità di successo (comunque INTRADAY)
5. la posizione deve essere aperta solo nel caso in cui il rapporto rischio/rendimento sia piuttosto elevato
Purtroppo, nel sistema di trading la regola 5 è ignorata (sarebbe interessante testarle con un trading system su logica fuzzy).
ENGLISH VERSION
The figure small calyx has 5 rules:
1. must be used on liquid instruments;
2. the prices must intersect the top or bottom of “standard” Bollinger bands ;
3. the stop-loss must be as close as possible to your entry price;
4. the strategy can be used on any timeframe (also 5 minutes). The higher timeframe (INTRADAY) the higher the probability of success;
5. the position, long or short, to be opened only in the event that the risk/reward ratio is quite high (usually at least 3 times)
Unfortunately, in the trading system rule 5 is ignored (it would be interesting to test them with a trading system on fuzzy logic).
// TRADING COL CALICETTO DI PAOLO SERAFINI, I Consigli dei Grandi Trader, Hoepli
// TRADING WITH THE “LITTLE CHALICE” by PAOLO SERAFINI
//*********** ORIGINAL FORMULA ***********
DEFPARAM CumulateOrders = False
bd =BollingerDown[20](close)
bu = BollingerUp[20](close)
//CONDITIONS FOR OPENING LONG
// the real trouble is that, in probacktest simulation, the computer doesn’t open a position while bars are in formation (but only at the next bar’s opening). ==> this diminishes the real results of the test
c1 = (close[1] < bd)
c2 = (close > bd)
c3 = (close > high[1])
// c4 tries to reply rule # 3 (percentage of 1% is arbitrary)
pp = (tradeprice – low[1])/low[1]
c4 = (pp <= 0.01)
//definition of stop limit (1 tick under bar-1)
sllong = tradeprice – (tradeprice – low[1])
if not shortonmarket and c1 and c2 and c3 and c4 then
buy 1 shares at market
endif
//CONDITIONS FOR EXITING LONG
// take profit (only in version under max bar -2, the bar previous the one which determined the opening )
tplong = high[2] – ticksize
//** attenzione ticksize
c10 = (high crosses over tplong)
c11= (close crosses over tplong)
c12 = (low crosses under sllong)
c13 = (close crosses under sllong)
if c10 or c11 or c12 or c13 then
sell at market
endif
//CONDITIONS FOR OPENING SHORT
c21 = (close[1] > bu)
c22 = (close < bu)
c23 = (close < low[1])
// c24 tries to reply rule # 3 (percentage of 1% is arbitrary)
ss = (high[1]- tradeprice)/high[1]
c24= (ss <= 0.01)
//definition of stop limit (1 tick under bar-1)
slshort = tradeprice + (high[1]-tradeprice)
if not longonmarket and c21 and c22 and c23 then
sellshort 1 shares at market
endif
//CONDITIONS FOR EXITING short
tpshort = low[2] + ticksize
//** attenzione ticksize
c30 = (low crosses under tpshort)
c31= (close crosses under tpshort)
c32 = (low crosses over slshort)
c33 = (close crosses over slshort)
if c30 or c31 or c32 or c33 then
exitshort at market
endif
// General MONEY MANAGEMENT
SET TARGET %PROFIT x
SET STOP %LOSS y
// x and y are parameters to be optimized