Hi-
I'd like to get into a position if the stock is above/below a certain threshold, e.g. getting long into XYZ if it goes above 100, but do not enter or exit the position if it is below 100.
The main problem is to avoid the "jitter noise" around that point - if it gets over 100 but then back to 99.5 and then back to over 100.5 etc. I struggle to find the right balance on when getting in and out. One option is to consider the typical bar size, and then not getting in at first but when you are at the bottom of the bar; this can eventually work but commonly lets the stock escape and then you have the same problem but at another price point. Hysteresis cycles can also work but again the settings are key to not lose at every crossing through the threshold. Indeed, bar statistics vary significantly through the day, e.g. first hour.
Have you seen any literature or public algorithms in Q that could help me out? Have you tried any robust statistics to estimate the channel? I'm interested in intraday, and would like to avoid overfitting a particular model.
Thanks!
