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Andreas Clenow rules

The model had a trend filter using 50/100 day EMA, entered on 50 day extremes and took stops at 3 ATR units against the trend. How would I create a scan for this?

Best Answer

  • markdmarkd mod
    Accepted Answer
    Here's one way.

    I would suggest running two scans - one for fifty day highs, one for fifty day lows. Just remove the "//" to run the appropriate line.

    Are you sure you want 50 above 100 with the fifty day low?

    [group is sp500]

    and [ema(50, close) > ema(100, close)]

    // fifty day high
    //and [close x 1 day ago max(50, close)]

    // fifty day low
    //and [1 day ago min(50,close) x close]

Answers

  • Scans need to be really specific. I don't know who Andreas Clenow is, so here are some questions:

    What is the filter? 50 above 100?

    What is meant by a 50 day extreme? a new 50 day high? a new 50 day low?

    Any other rules?
  • Andreas Clenow is a fund manager who has written a couple of popular books, Following the Trend and Stocks on the Move.

    In clarification, yes, it does mean a 50 day high or low and the 50day ema should be above the 100 day ema. And no, there are no other rules. He has a website called Following the Trend should you be interested.

    Thanks and apologies for not being clearer.
  • Thanks. Much appreciated!
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