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Here is a SAR cross trading system for this Above40MA indicator :
In many MeanIndicators the smoothing factor 35 is very good for the
N100 market and I use it
without hesitation as the first option.
SAR parameters may also vary for better results.
Get an idea from
// The Above40MA and its SAR
Above40MA=DEMA(100*Foreign("~>ma40","v")/101,35);
H=Above40MA;L=Above40MA;
cc=SAR(1,0.2 );
d1=Optimize("d1",25,20,25,5);
d2=70;
Buy=Cross(Above40MA,Cc) AND Above40MA<d1;
Sell=Cross(Cc,Above40MA) AND Above40MA>d2;
Short=Sell;
Cover=Buy;
At d1=20 we have 6 trades since the summer of 2000, at d1=25 we have
7 trades.
The whole market gives >+300% total net profit for both parameters.
83% to 85% of the N100 database is profitable with
buy/sell/short/cover at +1Open, stops disabled.
Ideal for ^NDX, QQQ with 7trades/7winners/0losers ,total net profit
at +385% amd maxSysDD -32%
The "guarantee" of the system : applied to the [contrarian] ^VIX
[with a 50% stop loss to avoid total ruin]
gives a sweet -95%, another strong indication that we speak for an
interesting system.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx>
wrote:
> It is obvious that the writer does not know AddToComposite()
function.
> It would be better to make a more proper use of the word "only".
> The described indicator is nothing but a good excersise for
amibroker users.
> I used my ^NDX database and run for all stocks, all quotations the
>
>
> AddToComposite(C>MA(C,40),"~>ma40","v");
> Buy=0;
> Then, in an empty IB window, I pasted the
>
> Above40MA=100*Foreign("~>ma40","v")/101;
> Plot(Above40MA,"",1,1);
> Plot((Above40MA>70)*70,"",0,2);
> Plot((Above40MA>70)*Above40MA,"",4,2);
> Plot((Above40MA<20)*Above40MA,"",0,2);
> Plot((Above40MA<20)*20,"",5,2);
>
> The whole procedure is not that bad.
> The basic indicator needs some smart smoothing to avoid whipsaws
and premature exits.
> A DEMA(Above40MA,10) or a DEMA(Above40MA,20) would be just fine.
> and it seems to work nicely with Buy=cross(Above40MA,20). As for
sell, it would be better to wait for
> Sell=cross(70,Above40MA), to enjoy the greatest part of the main
uptrends.
> Play also with different composites, using PER=variable, C>MA
(C,PER), it may be interesting.
> After this, someone should inform the author for amibroker .
> Dimitris Tsokakis
>
> ////////////////////////////////////////////////////////////////////
//////////////////////////////////////////////////////////////////////
/////////////////////
> Below, I have copied information on the T2108 indicator that Worden
Bros. includes in their daily downloads of data. Gary Smith seems to
think it is a decent market condition indicator. I am not yet
capable of doning any coding, so if someone decides to write
Amibroker code that will allow this so it can be displayed in
Amibroker, I would appreciate your posting it here in this group. I
use the free yahoo EOD data. Ron D
>
>
======================================================================
====================
>
> An Update on the Trusty T2108
>
> By Gary B. Smith
> Special to RealMoney.com
> 04/10/2003 08:31 AM EDT
> Click here for more stories by Gary B. Smith
>
>
>
>
> Has T2108 nailed it again? You'll recall that I've been using this
chart -- which is nothing more than the percentage of NYSE stocks
over their 40-day moving average -- as somewhat of a buy/sell
oscillator. When the percentage gets above 70%, that marks a top.
When it gets down into the mid-20% range, it's a buy. Down much
lower, and it's a bottom.
> Now, on April 2, it finally climbed into the 70%-plus range, and I
noted it might be time to sell. Since then? Despite some good
openings, the S&P has not closed higher than it did on April 2 and is
now down 1.7% since that day!
>
> Interesting stuff, and I'll keep you posted.
>
> (Oh, I'll save you the trouble of asking. I've looked, and this
chart is only available via Worden Brothers' TC2000 software.)
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