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I've watched the SAR indicator on intraday charts and decided that in
todays market environment, intraday moves rarely have enough
carry-thru for the SAR indicator to be of much value.
A couple months ago, I spent a few hours playing with the SAR
indicator in backtests. After a few gyrations with improving results,
my attention got diverted and I left that development effort with
plans to return.
The point at which I left it was pretty profitable, BUT the number of
trades generated over a 10 or 11 year period was seemingly beyond my
ability to trade.
So, I still have quite a bit of work to do with this system.
Here is the system exactly as I left it (unimplemented comments and all):
/* SAR */
/*But... very easy solution is to use:
BuyPrice = SAR(); SellPrice = SAR();
Buy = Cross (High, BuyPrice);
Sell = Cross (SellPrice , Low);
without referencing one Day back. It will give you Buy/Sell signals
exactly on that days when SAR flips.*/
SetTradeDelays(1,0,1,0); // Only affects Back Test (not Scan or Explore)
PositionSize = 20000;
RoundLotSize = 1;
b = C > 1;
b = b AND Cross(Low,SAR());
b = b AND ADX() > 30;
b = b AND PDI(14) > MDI(14);
b = b AND EMA(V,30) > 750000;
BuyPrice = O;
Buy = b;
LastBar = Cum(1)==LastValue(Cum(1)); //Used to Force close of all Open
Positions
SellPrice = SAR();
Sell = Lastbar OR SAR() > H;
s = C >= 5;
s = s AND Cross(SAR(),High);
s = s AND ADX() > 30;
s = s AND MDI(14) > PDI(14);
s = s AND EMA(Volume,30) > 750000;
ShortPrice = IIf(O > Ref(C,-1),O,Ref(C,-1));
s = s AND H >= ShortPrice;
Short = s;
CoverPrice = SAR();
Cover = Lastbar OR SAR() < L;
/*Debug*/
//Filter = b;
//Filter = Ref(b,-1)==1;
//Filter = PositionOpen;
Filter = Buy OR Short;
AddColumn(Buy,"Buy",1.0);
AddColumn(Short,"Short",1.0);
AddColumn(C,"Close",8.4);
-------------------------------------------------------------------
To see the resulting exported trade file (SARLong and Short.csv), it
is attached to Message # 37405 and is about 747K in size.
The reason I am posting this trading system is because it is a VERY
large portfolio trading system with many trades.
I loaded the .csv into XL, sorted it chronologically... calculated
chronological P/L figures and then charted it (my version of looking
for drawdowns). If my thinking was right, the chart showed very little
drawdowns.
I wanted others to look at this stradegy and see how current Equity
Curve analysis results rates this system.
Also, it may have some potential.
Regards,
Phsst
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