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Note also that in my backtesting I used buy/sell at +1 Open.
In the case of t1=1, t2=1 [regular cross] you are obliged to do so.
In the case of t1=2, t2=2 [prediction cross] you have the whole day
to choose a better than Open value [this is the really interesting
part]
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> For example, I tried Jayson dmi formula from Jan2001 till now.
>
> //Dynamic Momentum Index Tushar Chande Translated to AFL by Jayson
> Casavant
> //Cmo5 formula
> CMO5_1=Sum( IIf( C > Ref( C, -1 ) , ( C - Ref( C ,-1 ) ) ,0 ) ,5 ) ;
> CMO5_2=Sum( IIf( C < Ref( C ,-1 ) , ( Ref( C ,-1 ) - C ) ,0 ) ,5 );
> CMO5=DEMA(100 * (( CMO5_1 -CMO5_2) /( CMO5_1+CMO5_2)),3);
> //Cmo10 formula
> CMO10_1=Sum( IIf( C > Ref( C, -1 ) , ( C - Ref( C ,-
1 ) ) ,0 ) ,10 ) ;
> CMO10_2=Sum( IIf( C < Ref( C ,-1 ) , ( Ref( C ,-1 ) -
C ) ,0 ) ,10 );
> CMO10=DEMA(100 * (( CMO10_1 -CMO10_2) /( CMO10_1+CMO10_2)),3);
> //Cmo20 formula
> CMO20_1=Sum( IIf( C > Ref( C, -1 ) , ( C - Ref( C ,-
1 ) ) ,0 ) ,20 ) ;
> CMO20_2=Sum( IIf( C < Ref( C ,-1 ) , ( Ref( C ,-1 ) -
C ) ,0 ) ,20 );
> CMO20=DEMA(100 * (( CMO20_1 -CMO20_2) /( CMO20_1+CMO20_2)),3);
> // dmi formula
> dmi=((StDev(C,5)* CMO5)+(StDev(C,10)* CMO10)+(StDev(C,20)*
> CMO20))/(StDev(C,5)+StDev(C,10)+StDev(C,20));
> pds=Optimize("Smoothing",10,5,40,1);
> pds1=Optimize("Trigger Line",4,5,40,1);
> // The regular cross condirion
> Buy1=Cross(EMA(dmi,pds),MA(dmi,pds1));
> Sell1=Cross(MA(dmi,pds1),EMA(dmi,pds));
> p=pds;EMAp=EMA(dmi,p);
> k=pds1;MAk=MA(dmi,k);
> tdmi=((p+1)*MA(dmi,k-1)*(k-1)-k*(p-1)*EMAp)/(2*k-(p+1));
> // The prediction cross condition
> Buy2=Cross(tDMI,dmi);Sell2=Cross(dmi,tDMI);
> Plot(Buy1,"",5,2);Plot(Sell1,"",4,2);
> Plot(Buy2,"",1,1);Plot(Sell2,"",2,1);
> // Select the best buy/sell condition
> t1=Optimize("t1",1,1,2,1);
> t2=Optimize("t2",1,1,2,1);
> Buy=IIf(t1==1,buy1,buy2);
> Sell=IIf(t2==1,sell1,sell2);
>
> ^NDX regular cross condition had an optimal +20%
> With t1=1, t2=2 the total net profit was +63%.
> ^NDX seems to prefer the regular buy and the predicted sell
> For the same period, CSCO regular performance was +54%.
> With t1=2, t2=1 was +63%.
> It is better for CSCO to anticipate the Buy signal and keep the
> regular Sell.
> In a few words, you have more alternatives when you know in advance
> the upcoming Moving Average cross.
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx>
> wrote:
> > Gedi,
> > The actual cross has only one choice: To Buy/Sell at next bar
Open
> > [You can not even Buy/Sell at todays Close, many times the cross
is
> > not known the last 10mins...]
> > With the Prediction theory you have more chances, since
you "know"
> > the upcoming cross one day before.
> > So, you have one whole day to select the best price, from H to L,
> > plus the usual next bar open.
> > It doesnt mean that delay=0 is the golden solution of *any*
trading
> > system.
> > See, for example, the dmi code at
> > http://groups.yahoo.com/group/amibroker/message/44991
> > It works better for delay=1 than delay=0, consequently the
> prediction
> > does not help [at least for the selected Optimisation values].
> > For some other systems it is good to use the prediction for Buy
and
> > the regular cross for the Sell etc
> > Try the alternatives with
> > buy1=the regular buy;
> > sell1=the regular sell;
> > buy2=the prediction buy;
> > sell2=the prediction sell,
> > t1=optimize("t1",1,1,2,1);t2=optimize("t2",1,1,2,1);
> > buy=iif(t1==1,buy1,buy2);
> > sell=iif(t2==1,sell1,sell2);
> > and similar selection for Short/Cover
> > Dimitris Tsokakis
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "telecheck1" <telecheck1@xxxx>
> > wrote:
> > > Hi Dimitris ,
> > >
> > > I backtested the prediction as:
> > > Buy=Cross(C,tClose);
> > > Sell=Cross(tClose,C);
> > >
> > > It works very good while entering a position but less effective
> on
> > > exit.
> > >
> > > Have you any idea what should be the Short and Cover?
> > >
> > > Thanks,
> > > Gedi
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