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The signal is generated because CCI moves sharply slightly above 0 then falls back
below so sell then buy is generated.
To eliminate such effects you may consider introducing some so-called histeresis:
Buy = CCI() > 10 ;
Sell = CCI() < -10 ;
Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );
You may even try to optimize this:
histeresis = optimize( "Histeresis", 10, 0, 30, 1 );
buy = CCI() > histeresis;
sell = CCI() < -histeresis;
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: David Holzgrefe
To: amibroker@xxxxxxxxxxxxxxx
Sent: 04 October, 2001 23:50
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
Yahoo! Groups Sponsor
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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>The signal is generated because CCI moves
sharply slightly above 0 then falls back</FONT></DIV>
<DIV><FONT face=Arial size=2>below so sell then buy is generated.</FONT></DIV>
<DIV><FONT face=Arial size=2>To eliminate such effects you may consider
introducing some so-called histeresis:</FONT></DIV>
<DIV><FONT face=Arial size=2> </FONT></DIV>
<DIV><FONT size=2></FONT>
<P><FONT face=Arial><STRONG>Buy</STRONG> = <FONT color=#0000ff
size=2>CCI</FONT><FONT size=2>() > <FONT color=#ff00ff>1</FONT></FONT><FONT
color=#ff00ff size=2>0</FONT></FONT><FONT size=2><FONT face=Arial>
;</FONT></P><B>
<P><FONT face=Arial>Sell</FONT></B><FONT face=Arial> = </FONT></FONT><FONT
face=Arial><FONT color=#0000ff size=2>CCI</FONT><FONT size=2>() < <FONT
color=#ff00ff>-1</FONT></FONT><FONT color=#ff00ff size=2>0</FONT><FONT size=2>
;</FONT></FONT></P>
<P><FONT size=2><FONT face=Arial><STRONG>Buy</STRONG> = <FONT color=#0000ff
size=2>ExRem</FONT></FONT><FONT size=2><FONT face=Arial>( <B>Buy</B>,
<B>Sell</B> );</FONT></P><B>
<P><FONT face=Arial>Sell</FONT></B><FONT face=Arial> = </FONT></FONT><FONT
face=Arial><FONT color=#0000ff size=2>ExRem</FONT><FONT size=2>( <B>Sell</B>,
<B>Buy</B> );</FONT></FONT></P>
<P><FONT face=Arial>You may even try to optimize this:</FONT></FONT></P>
<P><FONT face=Arial size=2>histeresis = optimize( "Histeresis", 10, 0, 30, 1
);</FONT></P>
<P><FONT face=Arial size=2>buy = CCI() > histeresis;</FONT></P><FONT size=2>
<P><FONT face=Arial size=2>sell = CCI() <
-histeresis;</FONT></P></FONT>
<P><FONT face=Arial size=2>Best regards,</FONT></P>
<P><FONT face=Arial size=2>Tomasz Janeczko</FONT></P>
<P><FONT face=Arial size=2>amibroker.com</FONT></P></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> 04 October, 2001 23:50</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><FONT face=Arial size=2></FONT> </DIV>
<DIV><IMG alt="" hspace=0 src="cid:00f101c14d7a$2bec7470$3501a8c0@xxxxxxxxxxx";
align=baseline border=0></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>
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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></BODY></HTML>
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