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Nate,
You can either use the code as you have it now and set the buy and
sell delays to 1, or you can set the buy and sell delays to 0 and use
the following code:
pds=Optimize("pds",12,5,23,3);
pds2=Optimize("pds2",3,3,15,1);
Buycond=Trix(pds) > EMA(Trix(pds),pds2);
Sellcond=Trix(pds) < EMA(Trix(pds),pds2);
Shortcond=Trix(pds) < EMA(Trix(pds),pds2);
Covercond=Trix(pds) > EMA(Trix(pds),pds2);
Buy=Ref(Buycond,-1);
Sell=Ref(Sellcond,-1);
Short=Ref(Shortcond,-1);
Cover=Ref(Covercond,-1);
Filter=1;
Buy=ExRem(Buy,Sell); Sell=ExRem(Sell,Buy); Short=ExRem(Short,Cover);
Cover=ExRem(Cover,Short);
AddColumn(Buy,"Buy");
AddColumn(Sell,"sell");
AddColumn(Short,"short");
Do you see that both approaches are identical?
I, too, have made the same mistake in the past of forgetting to set
the delays to 1 and had thought I had discoverd the Holy Grail only
to be returned to earth after making the discovery and changing the
delay to what it should be. Good luck in your quest for the Grail.
AV
--- In amibroker@xxxx, "Dr. S. Nathan Berger" <snberger@xxxx> wrote:
> Anthony, Al-
>
> This is not MY system (I should only be able to construct such!),
but I was
> passing on some work I had done while experimenting with it. I am
too lazy
> to search through the postings at the group online, but there was a
> commentary last week, something to the effect that the delay was
already
> hard coded into the formula, therefore it was proper to set the
delay at
> zero, rather than 1. If, in my ignorance, I have gotten everything
screwed
> up, please forgive me.
>
> Yes, as you have both pointed out, when you set the delay to 1, the
> formula appears no better than every other system I have used to
lose money!
>
> Please straighten me out on this matter of the delay already
being "built
> in" to the formula, and forgive me if I have confused issues with
my
> ignorance of code. In the meantime, I will continue on the quest
for the
> Grail :>))
>
> Nate
>
>
> At 04:38 PM 6/24/02 +0000, you wrote:
>
> >Nathan,
> >
> >I did not run your system on the tickers you presented, but rather
on
> >a watchlist I have here at work. It made excellent money in the
years
> >I tested it in. However, the problem is that you set the delay for
> >both buy and sell to 0. If you are using EOD data, you can't buy or
> >sell until tomorrow because you haven't downloaded today's data
yet.
> >So, if you set the delays to 1, you get much poorer results. Try
it.
> >No holy grail yet.
> >
> >AV
> >
> >
> >
> >--- In amibroker@xxxx, "Dr. S. Nathan Berger" <snberger@xxxx>
wrote:
> > > Al- 'sHappenen?
> > >
> > > Sorry, Monday morning brain fog.
> > >
> > > Reference is to using the TRIX formula posted last week to the
> >group:
> > >
> > > pds=Optimize("pds",12,5,23,3);
> > > pds2=Optimize("pds2",3,3,15,1);
> > >
> > > Buy=Trix(pds) > EMA(Trix(pds),pds2);
> > > Sell=Trix(pds) < EMA(Trix(pds),pds2);
> > > Short=Trix(pds) < EMA(Trix(pds),pds2);
> > > Cover=Trix(pds) > EMA(Trix(pds),pds2);
> > >
> > > Filter=1;
> > > Buy=ExRem(Buy,Sell); Sell=ExRem(Sell,Buy); Short=ExRem
(Short,Cover);
> > > Cover=ExRem(Cover,Short);
> > >
> > > AddColumn(Buy,"Buy");
> > > AddColumn(Sell,"sell");
> > > AddColumn(Short,"short");
> > > AddColumn(Cover,"cover");
> > >
> > > A remark had been made that this formula seemed workable, but
that
> >the
> > > selection of stocks to which it was applied made a substantial
> >difference.
> > > In search for such stocks, I tested this formula over the stocks
> >listed in
> > > the CCT50.tls, (which is used by Steve in his CMO System).
> > >
> > > When optimizing individually over each stock in the CCT50.tls,
the
> >results
> > > consistently come up pds=5 and pds2=3. When these optimized
figures
> >were
> > > entered into the formula, the backtested results for
> > > AMTL, BEAS, CEFT, AHIR, CHKP, CMVT, CTX, DYN, KLAC,
MERQ,
> >NVDA,
> > > SEBL. came back returning a performance of OVER 1500% for each
> >stock. Of
> > > these, MERQ is 4800% and NVDA is 4900%
> > >
> > > Settings: Init. Eq 10,000 Positions: Long Periodicity:
Daily
> > > Long Trade Buy Price: Open Delay: 0
> > > Short Trade Buy Price: Open Delay: 0
> > > Max. Stop Loss, Profit Target, Trailing Stop all are Disabled
> > > Reporting set to Overall Summary
> > >
> > > Hope this is clearer now. Also hope this is reality, and not a
> >continuation
> > > of the brain fog. Perhaps a cup of coffee would help...
> > >
> > > Nate
> > >
> > >
> > >
> > >
> > > At 10:08 AM 6/24/02 -0400, you wrote:
> > >
> > > >Hi, Nate. Long time, no hear. I'm not sure your post is about
the
> >CMO5
> > > >system or the Turtle system. Can you elaborate a little on what
> >you are
> > > >talking about? What are you setting to 0? How do you use TRIX
to
> >evaluate
> > > >preformance of a system? I'm at work right now, so I cannot go
> >back and
> > > >review past posts. Thanks.
> > > >
> > > >Al Venosa
> > >
> > >
> > >
> > > ---
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> >
> >
> >
> >
> >
> >Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
> >
> >
> >
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