Rubber Band Strategy (Amibroker Code And Tradestation Code)

The original article can be found here.

The strategy in plain English:

1. Calculate a 10-day average of the (High minus Low – (H-L)). That is the “ATR”.
2. Calculate the High of the last 10 days.
3. Calculate a band 2.5 times below the 10-day High using the average from point number 1 (ATR).
4. If XLP closes below the band in number 3, then go long at the close.
5. Exit when the close is higher than yesterday’s high.

Amibroker code:

range=MA((H-L),10);

OddisHigh=HHV(H,10);
OddisBand=OddisHigh – (range*2.5);

Buy=Close<OddisBand ;

buyprice= Close;
Sell= C>Ref(H,-1);
sellPrice= Close;

Tradestation code:

{
Rubber band strategy
https://www.quantifiedstrategies.com/lessons/rubber-band-strategy-amibroker-code/
}

Inputs:
	Lookback(10),
	BandWidth(2.5);
	
Vars:
	RangeAvg(0),
	HighestHigh(0),
	RubberBand(0);
	
RangeAvg = Average(Range, Lookback);
HighestHigh = Highest(H, Lookback);
RubberBand = HighestHigh - (RangeAvg * BandWidth);

if C < RubberBand Then buy this bar on close;
if C > H[1] Then sell this bar on close;