On Balance Volume Trading Strategy (Amibroker And Tradestation Code)

Here is the original article.

The strategy in plain English (this is an optimization):

When the N-day RSI of the OBV drops below threshold X, then we buy. We sell when the close is higher than yesterday’s high:

• We use an N-day RSI period from two to ten days (intervals of one).
• We use a threshold level from 10 to 40 (intervals of 10)

Amibroker code:

oddis=Optimize(“RSI period”,5,2,10,1) ;
oddis1=Optimize(“Threshold”,30,10,40,10);

Buy = Cross(oddis1,RSIa(OBV(),oddis)) ;
BuyPrice=Close;
Sell = C>Ref(H,-1);
SellPrice=Close;

Tradestation code:

{
Strategy 120 - OBV indicator
When the N-day RSI of the OBV drops below threshold X, then we buy. 
We sell when the close is higher than yesterday’s high.
}

Inputs:
	Lookback(5),
	Treshold(30);

if RSI(OBV, Lookback) cross under Treshold Then
	buy this bar on close;
	
if Close > High[1] then 
	sell this bar on close;