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I still don't think you have my meaning.
iif(z<ref(z,-1) AND ref(z,-1) > ref(z,-2), sell,0) and also in the reverse.All this happened yesterday since o/night you figured all this out. (an aside thought - Because these reversals occur at "in-mid stream " so as to speak, and the system is an always in the market approach, you can put in a trading rule to avoid confusions that sometimes arise between the reversal and stops.)
So today sell at yesterdays low - i.e place an order to sell. If you are in stocks you can't do this in oz but you can do everything in reverse and buy. If you don't get your sell filled then thank goodness because the price went up and everything was an aberration.
You also place a stop order at the same time - just in case.
If you get filled then chances are you were right about the direction, the stop is there in case you are wrong.
At the end of today when the new HLCO come out, you run AB and see if everything is shaping up. If over the next couple days all is well you move thestop closer and closer to the previous days low or high (if bought or sold). One day the market closes the position for you and you never had to worry about when to take a profit. The market decided how much you would get.
You decided at the beginning before the trade started that if you were wrong you'd be taken out with a small loss. This generalised method will keep paying your dues through these small losses, but the big runs will more than compensate. So make sure that you only use small amounts $ /trade. To overcome the tedium of build a small account up, you compound.
Now you can compound, almost reverse averaging, i.e average up you profits never average down your losses. With the trailing stop you have in it willprotect you. This way when you finally catch the 1 in 5 big run - boy canyou have a good nights sleep. As things move your way and the trailing stop is bought up closer, again its the market that decides how much you willget, all you have to do is balance the problem of putting the stop too close or too far away each day, and get really pissed off if you put it too close. On the other hand you are relieved if too far away, you get stopped out only to see it go lower. Its one time you are glad you weren't greedy, when you see it heading lower. In fact you feel smugly clever.
All the above is intended to adopt an approach that relieves stress while trading. Its not mechanical, some discretion is still there in judgement ofstop placement. But no prediction, no disappointment traps.
Anyhow that's my general two cents worth on trading. I don't think there is anything more needed to be known. Everything else is finessing.
(except don't over trade - if you don't fell fresh, the wife has divorced you yesterday, the kiddies pranged the new car, you're moving house, some idiot tries to put a 747 in an 80th floor elevator, or your mother-in-law comes to spend two weeks with you - then take a break).
P
----- Original Message -----
From: David Holzgrefe
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 05, 2001 9:23 AM
Subject: Re: [amibroker] Winning Systems
Thanks P
I see what you mean and looking at the signal from the indicator that Tomposted it seem very clear visually that if the bars are black its trendinggreen upward and red downward .
I was trying to capture that thought in an exploration
once I had the essence of the trend correct in an exploration then apply filters
so a rule maybe along the lines of black impending direction change, green a buy zone
red a sell .
As you pointed out the peaks also signal the direction change .
the indicator looks tradable but would need testing to confirm
So I guess what I'm asking is has anyone coded a exploration to suit thisindicator so a more extensive backtest can be completed ?
HMM maybe this should be posted in the new ts group
Thanks David
----- Original Message -----
From: server not recognized
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 05, 2001 9:01 AM
Subject: Re: [amibroker] Winning Systems
David,
Why are you delaying your signals so much by using <>0? Have a look, its the peak or reversal that is your friend. It should put you on high alert. z<ref(z,-1)>ref(z,-2). Assuming EOD then act using the previous day's (i.e z) low to sell , and its high as a stop if declining and vice versa when entering today (which would be z+1). This will get you in at least on avarage a day earlier.
The system is an in the market always approach, so you may like to add some rules that trim this back for safety.
P
----- Original Message -----
From: David Holzgrefe
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 05, 2001 7:50 AM
Subject: Re: [amibroker] Winning Systems
Thanks Tom
I was thinking more along the lines of an exploration code
to create buy sell signals for backtesting.
I tried this thinking it would capture the movements but it seem to give false signals that done appear correct compared to chart .
maybe I have read the signal wrong ?
Buy = CCI() > 0 ;
Sell = CCI() < 0 ;
Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );
Thanks David
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<DIV><FONT face=Arial size=2>David,</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>I still don't think you have my meaning.
</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>iif(z<ref(z,-1) AND ref(z,-1) > ref(z,-2),
sell,0) and also in the reverse. All this happened yesterday since o/night you
figured all this out. (an aside thought - Because these reversals occur at
"in-mid stream " so as to speak, and the system is an always in the market
approach, you can put in a trading rule to avoid confusions that sometimes arise
between the reversal and stops.)</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>So today </FONT><FONT face=Arial size=2>sell at
yesterdays low - i.e place an order to sell. If you are in stocks you
can't do this in oz but you can do everything in reverse and buy. If you
don't get your sell filled then thank goodness because the price went up and
everything was an aberration. </FONT></DIV>
<DIV><FONT face=Arial size=2> </DIV>
<DIV><FONT face=Arial size=2>You also place a stop order at the same time
- just in case.</FONT></DIV>
<DIV> </DIV>
<DIV>If you get filled then chances are you were right about the direction,the
stop is there in case you are wrong.</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>At the end of today when the new HLCO comeout, you
run AB and see if everything is shaping up. If over the next couple days
all is well you move the stop closer and closer to the previous days low orhigh
(if bought or sold). One day the market closes the position for you and
you never had to worry about when to take a profit. The market decided how
much you would get.</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>You decided at the beginning before the trade
started that if you were wrong you'd be taken out with a small loss. This
generalised method will keep paying your dues through these small losses, but
the big runs will more than compensate. So make sure that you only use
small amounts $ /trade. To overcome the tedium of build a small account up,you
compound.</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>Now you can compound, almost reverse averaging, i.e
average up you profits never average down your losses. With the trailing
stop you have in it will protect you. This way when you finally catchthe
1 in 5 big run - boy can you have a good nights sleep. As things moveyour
way and the trailing stop is bought up closer, again its the market that decides
how much you will get, all you have to do is balance the problem of puttingthe
stop too close or too far away each day, and get really pissed off if you put it
too close. On the other hand you are relieved if too far away, you get stopped
out only to see it go lower. Its one time you are glad you weren't greedy,
when you see it heading lower. In fact you feel smugly
clever.</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>All the above is intended to adopt an approach that
relieves stress while trading. Its not mechanical, some discretion is
still there in judgement of stop placement. But no prediction, no
disappointment traps.</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>Anyhow that's my general two cents worth on
trading. I don't think there is anything more needed to be known.
Everything else is finessing. </FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>(except don't over trade - if you don't fell
fresh, the wife has divorced you yesterday, the kiddies pranged the new car,
you're moving house, some idiot tries to put a 747 in an 80th floor elevator,
or your mother-in-law comes to spend two weeks with you - then take a
break).</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>P</FONT></DIV>
<DIV></DIV>
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
<A title=dtholz@xxxx href="mailto:dtholz@xxxx";>David
Holzgrefe</A> </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A title=amibroker@xxxxxxxxxx
href="mailto:amibroker@xxxxxxxxxxxxxxx";>amibroker@xxxxxxxxxxxxxxx</A> </DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> Friday, October 05, 2001 9:23
AM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> Re: [amibroker] Winning
Systems</DIV>
<DIV><BR></DIV>
<DIV><FONT face=Arial size=2>Thanks P </FONT></DIV>
<DIV><FONT face=Arial size=2>I see what you mean and looking at the signal
from the indicator that Tom posted it seem very clear visually that if the
bars are black its trending green upward and red downward .</FONT></DIV>
<DIV><FONT face=Arial size=2>I was trying to capture that thought in an
exploration </FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>once I had the essence of the trend correct in an
exploration then apply filters</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>so a rule maybe along the lines of black
impending direction change, green a buy zone </FONT></DIV>
<DIV><FONT face=Arial size=2>red a sell .</FONT> </DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>As you pointed out the peaks also signalthe
direction change .</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>the indicator looks tradable but would
need testing to confirm </FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>So I guess what I'm asking is has anyonecoded a
exploration to suit this indicator so a more extensive backtest can be
completed ?</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>HMM maybe this should be posted in the new ts
group </FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>Thanks David </FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2><IMG alt="" hspace=0
src="cid:001a01c14d40$9c6e3b00$2d1ba4cb@xxxx";
align=baseline border=0></FONT> </DIV>
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
<A title=winchp@xxxx
href="mailto:winchp@xxxx";>server not recognized</A> </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A title=amibroker@xxxxxxxxxxxx
href="mailto:amibroker@xxxxxxxxxxxxxxx";>amibroker@xxxxxxxxxxxxxxx</A></DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> Friday, October 05, 2001 9:01
AM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> Re: [amibroker] Winning
Systems</DIV>
<DIV><BR></DIV>
<DIV><FONT face=Arial size=2>David, </FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>Why are you delaying your signals so much by
using <>0? Have a look, its the peak or reversal that is your
friend. It should put you on high alert.
z<ref(z,-1)>ref(z,-2). Assuming EOD then act using the previous
day's (i.e z) low to sell , and its high as a stop if declining and
vice versa when entering today (which would be z+1). This will get you
in at least on avarage a day earlier.</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>The system is an in the market always approach,
so you may like to add some rules that trim this back for
safety.</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>P</FONT></DIV>
<DIV></DIV>
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
<DIV style="FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>From:</B>
<A title=dtholz@xxxx href="mailto:dtholz@xxxx";>David
Holzgrefe</A> </DIV>
<DIV style="FONT: 10pt arial"><B>To:</B> <A
title=amibroker@xxxxxxxxxxxxxxx
href="mailto:amibroker@xxxxxxxxxxxxxxx";>amibroker@xxxxxxxxxxxxxxx</A>
</DIV>
<DIV style="FONT: 10pt arial"><B>Sent:</B> Friday, October 05, 20017:50
AM</DIV>
<DIV style="FONT: 10pt arial"><B>Subject:</B> Re: [amibroker] Winning
Systems</DIV>
<DIV><BR></DIV>
<DIV><FONT face=Arial size=2>Thanks Tom </FONT></DIV>
<DIV><FONT face=Arial size=2>I was thinking more along the lines of an
exploration code </FONT></DIV>
<DIV><FONT face=Arial size=2>to create buy sell signals for
backtesting.</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>I tried this thinking it would capture the
movements but it seem to give false signals that done appear correct
compared to chart .</FONT></DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>maybe I have read the signal wrong
?</FONT></DIV>
<DIV> </DIV>
<DIV><B><FONT face="Courier New" size=2>
<P>Buy</B> = </FONT><FONT face="Courier New" color=#0000ff
size=2>CCI</FONT><FONT face="Courier New" size=2>() > </FONT><FONT
face="Courier New" color=#ff00ff size=2>0</FONT><FONT face="Courier New"
size=2> ;</P><B>
<P>Sell</B> = </FONT><FONT face="Courier New" color=#0000ff
size=2>CCI</FONT><FONT face="Courier New" size=2>() < </FONT><FONT
face="Courier New" color=#ff00ff size=2>0</FONT><FONT face="Courier New"
size=2> ;</P><B>
<P>Buy</B> = </FONT><FONT face="Courier New" color=#0000ff
size=2>ExRem</FONT><FONT face="Courier New" size=2>( <B>Buy</B>,
<B>Sell</B> );</P><B>
<P>Sell</B> = </FONT><FONT face="Courier New" color=#0000ff
size=2>ExRem</FONT><FONT face="Courier New" size=2>( <B>Sell</B>,
<B>Buy</B> );</P></FONT></DIV>
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2></FONT> </DIV>
<DIV><FONT face=Arial size=2>Thanks
David</FONT></DIV></BLOCKQUOTE><BR><BR><TT>Your use of Yahoo! Groups is
subject to the <A href="http://docs.yahoo.com/info/terms/";>Yahoo! Terms of
Service</A>.</TT> <BR></BLOCKQUOTE><BR><BR><TT>Your use of Yahoo! Groups is
subject to the <A href="http://docs.yahoo.com/info/terms/";>Yahoo! Terms of
Service</A>.</TT> <BR></BLOCKQUOTE><BR><BR><TT>Your
use of Yahoo! Groups is subject to the <A
href="http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A>.</TT>
<BR></BLOCKQUOTE></BODY></HTML>
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