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Thanks
Dimitris, for this interesting post. You end your post with: <FONT
color=#000000>"The code seem tooperate,
although I do not feel so safe adding new trading rules after the Equity
line.
Any opinions/ideas/improvements/comments
?"
<SPAN
class=850233510-30072002><FONT
color=#0000ff><SPAN
class=850233510-30072002>
<SPAN
class=850233510-30072002>Why do you think this way? What is so special about the
Equity() formula? It is just an other way of juggling the numbers. But we have
to be careful with delays; we only know the equity at the end of our trade ...so
there is a two day delay: one day for our primary system to simulate our
regular trade and one day to respond to our secondary system. This would befor
a reversal system.
<SPAN
class=850233510-30072002>
<SPAN
class=850233510-30072002>There is no difference between processing the price
arrays with an Equity() or any other indicator like RSI() , or who knows what. A
trading system can be used like a "filter". I think we discussed this before
here or on the DLL list where i posted a prototype hbEquity() DLL sometime
ago that has a feedback argument (I can email you a copy if you like).
<SPAN
class=850233510-30072002>
<SPAN
class=850233510-30072002>This is not an uncommon technique. A search on the net
for "Trading the Equity Curve" will show that this was done many years ago.Here
are some link that could be followed up on:
<SPAN
class=850233510-30072002> <A
href="">http://store.traders.com/-v10-c10-trading-pdf.html
<SPAN
class=850233510-30072002> <A
href="">http://www.sirtrade.com/equity.htm<FONT
color=#000000>
<SPAN
class=850233510-30072002> <A
href="">http://www.libertyresearch.com/book1.htm<FONT
color=#000000>
<SPAN
class=850233510-30072002> <A
href="">http://www.activetradermag.com/article_index_strategy.htm#Sept2000<FONT
color=#000000> <FONT
color=#0000ff>or
<SPAN
class=850233510-30072002> <A
href="">http://www.activetradermag.com/tocs/toc0900.htm
<SPAN
class=850233510-30072002> <A
href="">http://www.purebytes.com/archives/omega/1998/msg01851.html
<SPAN
class=850233510-30072002>
<SPAN
class=850233510-30072002>And you say: <FONT
color=#000000>"Shall we
ALWAYS improve a trading system performance with this method ?<SPAN
class=850233510-30072002>"
<SPAN
class=850233510-30072002><SPAN
class=850233510-30072002>
<SPAN
class=850233510-30072002><SPAN
class=850233510-30072002>Absolutely: YES. The trouble comes, just like with a
trend following system when your equity moves horizontal; lots of whipsaws.So
the design problems are exactly the same as with any other trading system. In
fact you should be able to redefine the OHLC arrays with the Equity
and develop a trading system for it, the usual
way.
<SPAN
class=850233510-30072002><SPAN
class=850233510-30072002>
<SPAN
class=850233510-30072002><SPAN
class=850233510-30072002>Take
care,
<SPAN
class=850233510-30072002><SPAN
class=850233510-30072002>Herman.
<SPAN
class=850233510-30072002><SPAN
class=850233510-30072002>
<FONT face=Tahoma
size=2>-----Original Message-----From: Dimitris Tsokakis
[mailto:TSOKAKIS@xxxx]Sent: Tuesday, July 30, 2002 2:39
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Equity conditions applied to trading systems
Here is an attempt to use Equity conditions and redefine
trading rules.
The system applies the original trading rules only when the
Equity line is above its 40-day EMA
and stops [with the appropriate order] any tradewhen
the Equity line falls below its 40-day EMA.
It begins a new trade, the one that the original system
would apply this day, when the Equity line crosses ascending its 40-day
EMA
// the original trading
systemBlevel =13;Slevel
=85;StOcci=100*(CCI(6)-LLV(CCI(6),14))/(HHV(CCI(6),14)-LLV(CCI(6),14));stocci=MA(stocci,5);Buy=Cross(STOCCI,BLEVEL);Sell=
Cross(STOCCI, Slevel); Short = Sell;Cover =
Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
E1=Equity();EM40=MA(E1,40);<FONT
color=#ff0000>// Equity
conditionCOND=E1>EM40;XB=Flip(Buy,Sell);// preservethe
original buy till the next
sellXS=Flip(Sell,Buy);XSH=Flip(Short,Cover);// preserve the original
Short till the next CoverXCO=Flip(Cover,Short);<FONT
size=2>// Descending and ascending equity cross
conditionsDESCR=Cross(EM40,E1);ASCCR=Cross(E1,EM40);<FONT
size=2>// the new trading rules// How to begin a
tradeBuy=COND*Buy OR (ASCCR*XB);// {original
buy when E1>EM40} OR {a new buy when an ascending cross occur}
Short=COND*Short OR (ASCCR*XSH);//How to
stop a tradeSell=COND*Sell OR (DESCR*XB);// <FONT
color=#ff0000>{original sell when E1>EM40} OR { a new sell
when an ascending cross occur} Cover=COND*Cover OR
(DESCR*XSH);
The code seem to operate, although I do not feel so safe
adding new trading rules after the Equity line.
Any opinions/ideas/improvements/comments ?
Shall we ALWAYS improve a trading system performance with
this method ?
Dimitris TsokakisYour
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