Portfolio Boss Documentation

High / Low Over Time Filter

 

 

This filter sees whether the last closing price is the new high (or the new low) of the specified period, before the instrument can be traded. It can also identify if it's not a new high (or not a new low) of the period. Keep in mind this is not about all-time high or all-time low, but just what's seen within the period specified. And it simply looks at the closing prices, not the candles' wicks.

 

 

Common sense suggests that it's bullish if the instrument makes a new high for the specified period, and bearish if it makes a new low. But it's a very loose criteria, so you better use this filter with others that identify trend and momentum.

Note, there's no indicator line plotted for this filter (on the Instrument Tab), as it's all about the pure price action.

 


 

1.  The first parameter defines the mode (method) to use this filter.

 

 

There are four modes:

 

  • New High: The instrument will be traded only if its last closing price is the highest of the period. So all closing prices prior to this last-date (up to the start-date of the period) must be lower, no matter what happened be they mountains and valleys; unlike the ROC which simply sees the change between the start date and the end date. This mode is generally good as a Buy Filter.
  • New Low: The instrument will be traded only if its last closing price is the lowest of the period; anything prior to that (up to the start of the period) must be higher. This is usually good as a Sell Filter.
  • No New High: This one simply sees whether the last closing price is not the highest of the period. It doesn't matter how low, sometimes it can even be the lowest of the period; hence it's a very loose criteria that must be supported with other filters. It may look counterintuitive, but our Divine Engine tests showed this mode is actually good as a Buy Filter.
  • No New Low: This mode identifies if the last closing price is simply not the lowest of the period. It doesn't matter how high, as long as it's not the lowest; sometimes it can be the highest of the period.

 

 


 

2.  The second parameter defines the period (timeframe), in which the highest & lowest closing prices are identified (as shown by the pink lines in the screenshot above).

 

 

So it's not like this filter identifies all-time high and all-time low; there's already another filter for that.

Our tests indicate that:

  • The mode New High (as a Buy Filter) generally performs well with a period of 10 to 30 days.
  • The mode New Low (as a Sell Filter) generally performs well with a period of 220 to 260 days.
  • The mode No New High (as a Buy Filter) generally performs well with a period of 250 to 265 days.
  • The mode No New Low (as a Sell Filter) generally performs well with a period of 2 to 15 days.

 

 

But as usual, these are just the general values when this filter is used simultaneously as a Buy and a Sell Filter. You may need different periods depending on your strategy's portfolio, rules, and other filters used.

 

 

 

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