n =[5, 10, 15, 20, 25, 50 ,100, 150, 200, 250]
band =[0.001, 0.005, 0.01, 0.015, 0.02, 0.03, 0.04, 0.05]
delay =[2, 3, 4, 5]
fhp =[5, 10, 25, 50]
sl =[0.02, 0.03, 0.04, 0.05, 0.075, 0.10]



With the parameters and values given above we construct the following trading range break-out (TRB) strategies:

basic TRB strategies: 10*1 =10
TRB with %-band filter: 10*8 =80
TRB with time delay filter: 10*4 =40
TRB with fixed holding period: 10*4 =40
TRB with stop-loss: 10*6 =60
TRB with %-band and time delay filter: 10*8*4 =320
TRB with %-band and fixed holding: 10*8*4 =320
TRB with %-band and stop-loss: 10*8*6 =480
TRB with time delay and fixed holding: 10*4*4 =160
TRB with time delay and stop-loss: 10*4*6 =240
TRB with fixed holding and stop-loss: 10*4*6 =240

This will give in total 1990 TRB strategies.

Filter rules

filt = %-rise (%-fall) from a previous low (high) to generate a buy (sell) signal
delay =number of days a signal must hold if you implement a time delay filter
fhp =number of days a position is held, ignoring all other signals during this period


filt =[0.005, 0.01, 0.015, 0.02, 0.025, 0.03, 0.035, 0.04, 0.045, 0.05,
     0.06, 0.07, 0.08, 0.09, 0.1, 0.12, 0.14, 0.16, 0.18, 0.2, 0.25,
     0.3, 0.4, 0.5]
delay =[2, 3, 4, 5]
fhp =[5, 10, 25, 50]



With the parameters and values given above we construct the following filter rules (FR):

basic FR: 24*1 =24
FR with time delay: 24*4 =96
FR with fixed holding: 24*4 =96
FR with time delay and fixed holding: 24*4*4 =384

This will give in total 600 filter rules.



90