CTOD 전략

CTOD(critical time of day) 전략은 장시작후 2시간 동안의 5분 종가를 기초로 
하룻동안의 가격움직임을 추적하도록 하는 시스템입니다. 
특정시간 동안의 고가와 저가의 돌파를 이용한다는 점에서 30MBO전략과 유사하지만 
30MBO는 30분 동안의 고가중 최고가와 저가중 최저가를 이용하는 반면 
CTOB는 종가중 최고가와 종가중 최저가를 이용한다는 차이점이 있습니다.

매수 : 11시 까지의 5분봉 종가 중 최고가를 상향돌파할때
매도 : 11시 까지의 5분봉 종가 중 최저가를 하향이탈할때
청산 : 14시 40분 봉 


var : highVal(0), lowVal(0);

if stime == 110000 then {
      highVal = highest(C,dayindex()+1);
      lowVal  = lowest(C,dayindex()+1);
}

if stime > 110000 then {      
      if CrossUp(C,highVal) then
            buy();      
      if CrossDown(C,LowVal) then
            sell();
}
      
SetStopEndofday(150000);