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Greg,
Why set Buy/Short delay to 0 ??
Because in the code posted by Al, he has his Buy delay coded in the
formula, **Buy=Ref(BuyCond,-1);**
and his Short delay coded as well,** Short=Ref(ShortCond,-1);**
If in your settings window you have buy Delay=1 respectfully Short
delay=1, the delay signals will be added together, in effect causing a 2
day delay. The code does not overRide the settings window concernig
Delays.
hope this helps explain
Anthony
greg wrote:
> Al, I've got to get Stephan's most recent version of rembuy.dll , the
> older version is giving me some errors. I'll try a few things and then
> get back to you. I read from the turtles site that AMZN would be a
> good candidate stock, maybe we can compare our codes using AMZN from
> 03/01/1998 to 21/06/2002. Why set Buy/Short delay to 0 ?? Greg
>
> ----- Original Message -----
> From: Avcinci
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, June 23, 2002 9:13 PM
> Subject: Re: [amibroker] Turtle Trading System was QQQ
> Individual Analysis thread
> Greg, See attached afl file. It does not contain the code
> for the last theoretical trade. And I haven't debugged it,
> so there might be errors. You might want to try optimizing
> the buy and sell days. You need to use Stephane's rembuy.dll
> plugin at the Amibroker files section of Yahoo. Your
> buy/short delay should be set to 0, and your sell/cover
> delay should be set to 1. Your initial equity should be set
> to 100,000. If you test this on a watchlist of lots of
> stocks, it won't do well. I'm still trying to find a way to
> filter the universe of stocks down to a reasonable number.
> Let me know how it works out for you. Maybe you can suggest
> a way of filtering. AV
>
> ----- Original Message -----
> From: greg
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, June 23, 2002 7:42 PM
> Subject: [amibroker] Turtle Trading System was QQQ
> Individual Analysis thread
> Hi, I've tried to construct The Turtle System you
> talk about here. Could you check my afl and tell
> me if I've got it right. I'm not getting very
> good results and I am unable to get rid of
> multiple arrows. Here's what I have coded so
> far; // Turtle Trading //
>
> /*Yes, the time-proven Turtle breakout system.
> They go long when the Highest High of the last 55
> days is exceeded (breakout) OR go Short when the
> Lowest Low of the last 55 days is exceeded. They
> exit the long position when the Lowest Low of the
> last 20 days is exceeded OR the Short position
> when the Highest High for the last 20 days is
> exceeded. That's it. No indicators, no moving
> averages, no stochastics, no oscillators, only the
> High AND Low. I don't know of any simpler system
> than that (although, there are other nuances, like
> NOT taking the Signal if the last theoretical
> trade was A winner). The thing about that system
> is that it makes logical sense. It's easy to
> understand AND picture in the mind. The idea is
> that if A security (stock OR commodity) breaks out
> of A trading range, there is likely to be A
> continuing momentum that will carry it into A long
> term trend. There are lots of False signals, but
> when it is NOT False, the profits are really big.
> Lots of people who follow the Turtle system have
> made lots of money with it over the years.*/
>
> EnterLongs=H>=HHV(H,55);
>
> exitLongs=L>=LLV(L,20);
>
> EnterShorts=L<=LLV(L,20);
>
> ExitShorts=H<=HHV(H,20);
>
> Buy=EnterLongs;
>
> Sell=exitLongs;
>
> Short=EnterShorts;
>
> Cover=ExitShorts;
>
> Buy=ExRem(Buy,Sell);
>
> Sell=ExRem(Sell,Buy);
>
> Short=ExRem(Short,Cover);
>
> Cover=ExRem(Cover,Short);
>
> Filter=1;
>
> AddColumn(H,"High",1.2);
>
> AddColumn(HHV(H,55),"HHV(H,55)",1.2);
>
> ----- Original Message -----
> From: Avcinci
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, June 23, 2002 7:06 PM
> Subject: Re: [amibroker] Re: QQQ
> Individual Analysis
> Dimitris, >>When i give EXACTLY
> individual analysis, you ask "why use it
> ONLY on the QQQ? ". It is strange, isnt
> it?>> In your very first post on this
> subject, it appeared, at least to me,
> you were suggesting it for the QQQ. You
> made no mention of it being used for
> anything else. So, naturally, I had the
> impression you had developed this system
> for QQQ only. >>[have you seen anything
> more simple than this ?]>> Yes, the
> time-proven Turtle breakout system. They
> go long when the highest high of the
> last 55 days is exceeded (breakout) or
> go short when the lowest low of the last
> 55 days is exceeded. They exit the long
> position when the lowest low of the last
> 20 days is exceeded or the short
> position when the highest high for the
> last 20 days is exceeded. That's it. No
> indicators, no moving averages, no
> stochastics, no oscillators, only the
> high and low. I don't know of any
> simpler system than that (although,
> there are other nuances, like not taking
> the signal if the last theoretical trade
> was a winner). The thing about that
> system is that it makes logical sense.
> It's easy to understand and picture in
> the mind. The idea is that if a security
> (stock or commodity) breaks out of a
> trading range, there is likely to be a
> continuing momentum that will carry it
> into a long term trend. There are lots
> of false signals, but when it is not
> false, the profits are really big. Lots
> of people who follow the Turtle system
> have made lots of money with it over the
> years. When I read your code with no
> explanatory notes, I was puzzled as to
> the meaning of the lines, and frankly I
> still am. The coefficiet 0.001 is likely
> good only for the QQQ. True? I suppose
> it has to be different if a $200 stock
> is being used, right? What's the
> fundamental basis of the 0.001? The H+L?
> The other parameter coefficients? If the
> H/L spread shrinks at the peak in price,
> then adding the high to the low value
> and multiplying it by a bigger number
> compensates for when the H/L spread
> increases at the trough, where you
> multiply the sum of the H and L by a
> lower number. You buy when the range is
> greater than the product of
> H+L*0.001*43. It's all completely and
> totally empirical. Again, as I said for
> the 0.001 coefficient, I suspect each
> stock would have to have its own d1 and
> d2 parameter values, right? If that's
> true, it would be too complicated, at
> least for my feeble mind, to keep track
> of all those different parameter
> values. >>Do you understand the same
> question for the indicators you use ? Do
> you "see" the meaning of StochD()<30 for
> example?>> This may come as a surprise
> to you, Dimitris, but I try to avoid use
> of indicators as much as possible, and
> most especially if I don't understand
> the indicator. I like ADX as a trigger
> for the beginning of a trend. I can go
> into a long explanation as to why, but
> that would be counterproductive on this
> board. I use simple trailing stops. I
> don't use Stochastics, RSI, DEMA, TEMA,
> etc., etc. All I was saying was when you
> suggest and post a trading system on the
> board, it would be nice to have a short
> explanatory dialogue for its use or in
> support of its basis. That's all. You
> said Stoch()<30 is much more complicated
> than a simple H/L relation. You are
> right. But, I didn't understand the
> particular H/L relation you were
> proposing. Thanks for your
> contribution. AV
>
> ----- Original Message -----
> From: dtsokakis
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, June 23, 2002
> 4:06 PM
> Subject: [amibroker] Re: QQQ
> Individual Analysis
> Well,
> I try to respond as fast as
> possible, as you see.
> Different questions from
> different points of view.
> It is not only QQQ, we have
> had the same discussion with
> Don today
> for MSFT.
> QQQ was an example. Just an
> example.
> This excellent forum is
> strange.
> When I give Trade the Market
> systems, many people ask for
> individual
> analysis. When i give EXACTLY
> individual analysis, you ask
> "why use
> it ONLY on the QQQ? ".
> It is strange, isnt it?
> Many people ask for a
> "copy/paste" formula without
> explanations.
> When I give a SIMPLE,
> PRE-INDICATOR formula with H
> and L only,[have
> you seen anything more simple
> than this ?], nobody is
> satisfied,
> because they want to learn
> something "behind" the
> formula.
> Please, do not make simple
> things to look as complicated.
>
> When the stock is near the
> peak the H/L spred shrinks,
> when it is
> near the trough the spread
> widens and thats all.
> It is just an observation and
> it may be translated to some
> trading
> rules. Is it more complicated
> than RSI mechanism ?
> I think no.
> I would like to read what you
> do not understand, but, before
> posting
> your [interesting] question
> just think : Do you understand
> the same
> question for the indicators
> you use ?
> Do you "see" the meaning of
> StochD()<30 for example ?
> I think it is much more
> complicated than a simple H/L
> relation ?
> I would like to have your
> opinion.
> DT
> --- In amibroker@xxxx,
> "Avcinci" <avcinci@xxxx>
> wrote:
> > DT,
> >
> > Several people have asked
> you to explain the rationale
> behind your
> latest "system", but you have
> not responded. I think it
> would be very
> helpful that, whenever someone
> submits a trading idea to the
> group,
> he/she at least includes a
> short paragraph with some
> brief
> explanation or support for the
> rationale behind the system or
> idea. I
> look at the code and it
> baffles me what it is trying
> to say. You buy
> when the today's range exceeds
> 0.1% of a fudge factor
> multiplying the
> sum of the high and low, and
> you sell when today's range is
> less than
> this product. What the heck
> does that mean? And, why use
> it ONLY on
> the QQQ? Very baffling.
> >
> > Al V.
> > ----- Original Message
> -----
> > From: Nurudin Kaba
> > To: amibroker@xxxx
> > Sent: Sunday, June 23,
> 2002 6:18 PM
> > Subject: RE: [amibroker]
> Re: QQQ Individual Analysis
> >
> >
> > 14,43 happen to be the
> optimum numbers...though it
> does form an
> island using Herman's 3D
> graphing via excel...
> >
> > Interesting...but still
> don't understand the rational
> behind the
> system.
> >
> > Thanks
> > -----Original
> Message-----
> > From: dtsokakis
> [mailto:TSOKAKIS@x...]
> > Sent: Sunday, June 23,
> 2002 12:10 PM
> > To: amibroker@xxxx
> > Subject: [amibroker] Re:
> QQQ Individual Analysis
> >
> >
> > As you see in settings,
> the final result is for Long &
> short
> trades.
> > If you select Long only,
> or Short only, you get the
> respective
> results
> > ///QQQ [14,43]=+177%
> [LONG]
> > ///QQQ [14,43]=+359%
> [SHORT] AND
> > ///QQQ [14,43]=+1175%
> [LONG & SHORT]
> > for parameters values
> 14, 43
> > DT
> > --- In amibroker@xxxx,
> "Nurudin Kaba" <n.kaba@xxxx>
> wrote:
> > > DT, what is the
> premise behind HL.afl.
> > >
> > > Thanks
> > > -----Original
> Message-----
> > > From: dtsokakis
> [mailto:TSOKAKIS@x...]
> > > Sent: Sunday, June
> 23, 2002 11:16 AM
> > > To: amibroker@xxxx
> > > Subject: [amibroker]
> Re: QQQ Individual Analysis
> > >
> > >
> > > Peter,
> > > My data begin on
> 3/1/2000.
> > > See analytic #
> > >
> http://groups.yahoo.com/group/amibroker/message/20095
>
> > > DT
> > > --- In
> amibroker@xxxx,
> "bluesinvestor"
> <investor@xxxx>
> wrote:
> > > > Dimitris,
> > > >
> > > > Again great
> performance and yet not the
> same trades or
> > results ...
> > > does your
> > > > history go back
> further than Jan 2000?
> > > >
> > > > Peter
> > > > -----Original
> Message-----
> > > > From: Dimitris
> Tsokakis
> [mailto:TSOKAKIS@x...]
> > > > Sent: Sunday,
> June 23, 2002 11:59 AM
> > > > To:
> amibroker@xxxx
> > > > Subject:
> [amibroker] QQQ Individual
> Analysis
> > > >
> > > >
> > > > If you are fed
> up from my Composite Analysis,
> let us
> make a
> > break
> > > with an
> > > > individual one.
> > > > Simple logic,
> simple profits, pre-indicator
> era.[High,
> Low
> > and
> > > thats all
> > > > !!]
> > > > Dimitris
> Tsokakis
> > > >
> > > >
> > > > Yahoo!
> Groups Sponsor
> > > >
> ADVERTISEMENT
> > > >
> > > >
> > > >
> > > >
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> Terms of
> > > Service.
> > >
> > >
> > > Your use of Yahoo!
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> > Service.
> >
> >
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