Kase DevStop II Clone for Amibroker (AFL)

kaiji

almost 15 years ago

Amibroker (AFL)

As can be seen from the formula, she uses standard deviations for the user to decide at what point to exit a position. Stops are set where there is increasing statistical probability of reversal against the trend. This is supposedly based on the log normal shape of the curve of the range curve.The manual which describes how to operate the software is at http://www.fimi.com/Kase/k0.htm

Philosophy:

The DevStop is the closest we can come to an ideal stop level in the real world. The indicator mathematics accounts for volatility (which is directly proportional to risk), and also for the variance of volatility (how much risk changes from bar to bar) and volatility skew (the propensity for volatility to spike higher from time to time).

Specifically, the DevStop places exit points at 1, 2 and 3 standard deviations over the mean two bar true range, corrected for skew. So we can take profit or cut losses at levels at which the probability of a trade remaining profitable is low, without taking more of a loss or cutting profits any sooner than necessary.

Interpretation:

The stop consists of four exit points, a Warning line and Dev 1, 2 and 3. Two closes against the warning count as Dev 1.

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