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Great idea to propose a trading system, with the purpose to improve it
Have you tested it on a universe of stocks
what parameters?
buy and sell , open next day?, close of the day if H>ref(H,-),
cost?, stoploss?,Fixed equity or coumpound?, Bars in test?
I will be happy to contribute to test a trading system
SC
>
> Here is an interesting system. I gravitate toward the simplicity
and
> underlying concept of the system.
>
> I think I have coded it accurately from an article in the most
recent
> issue of Technical Analysis of Stocks and Commodities. No
guarantees.
> The author seems to gravitate toward commodities rather than stocks
and
> shows no stock related results.
>
> Backtesting on my stock list shows a modest profit. Examining the
graphs
> by eye (Indicator Builder) shows that there is a significant lag in
the
> system (particularly on position entry). So, smart people should be
> able to improve on it.
>
> I would be interested in hearing your and other's thoughts and the
> results of any experimenting.
>
> Best regards,
> -Tom McDaniel
>
>
>
> /* Trend Detection Index */
> /* Developed by M.H. Pee */
> /* From Technical Analysis of Stocks and Commodities, October, 1991
p. 54 */
> /* Coded by T.L. McDaniel September, 1991 */
>
>
> MaxGraphs = 2;
> Period = 20;
>
> TDM = ( Close - Ref (Close, -Period));
> ATDM = ABS (TDM);
> PTDI = SUM (TDM, Period);
> ATDI = ABS (PTDI);
> FDAM = SUM (ATDM, 40);
> SATDM = SUM( ATDM, 20);
> TDI = (ATDI + SATDM) - FDAM;
>
> Graph0 = TDI;
> Graph1 = PTDI;
>
> Buy = iif (PTDI > 0 AND TDI >0, 1, 0);
> /* Sell = Cross (0, PTDI); */
> Short = iif (PTDI < 0 AND TDI >0, 1, 0);
> Sell = Short;
> /* Cover = Cross (PTDI, 0); */
> Cover = Buy;
>
> Buy = ExRem (Buy, Sell);
> Sell = ExRem (Sell, Buy);
> Short = ExRem (Short, Cover);
> Cover = ExRem (Cover, Short);
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