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The
Counter=0;
for(K=30;K<100;K=K+20){E1=MA(C,k);CountER=CountER+1;Plot(E1,"\nE1["+WriteVal(K,1.0)+"]",1+Counter,1);}
will plot in IB the group of simple moving averages MA(C,30),
MA(C,50),MA(C,70) and MA(C,90).My data begins on Jan3, 2000.After some
reasonable period the usual indicators are defined and may be compared.Let
us select as a starting date the end of May2000.START=DateNum()==1000530
;In T/A studies we use various parameters, not always the same. An MA(C,k)
may give good results for k=30, but, as the market character changes, k=50
may be more expressive, one year later. For this reason we
re-optimizeparameters from time to time, hoping to see better performance in
the [unknown] next days/weeks/months/yearsaccording to the used
timeframe.How about doing this job automatically ?One method is to
establish the Inspection Points.For example, the
x=101;START=DateNum()==1000530
;EVENT=BarsSince(START)%x==0;PlotShapes(shapeCircle*EVENT,colorRed);
will establish an Inspection [RED] Point every 101 bars
after the START of May30, 2000.The AFL inspector will check the parameters
under his criteria at the inspection points, will take a decision and will ask
to apply this decision until the next inspection.Suppose the criterion is to
ride on the highest MA and use this MA for the next 101 bars.The procedure
should be repeated at all Inspection Points.The reslut will be a variable
parameter k with a market feedback every 101 bars.The Hi-pass filter gives a
solution to this request.
// A Hi-pass filter at the Inspection Pointsx=101;// the
inspection frequencySTART=DateNum()==1000530
;EVENT=BarsSince(START)%x==0;// the inspection
eventPlotShapes(shapeCircle*EVENT,colorRed);// puts a red dot at the
inspection
pointsG=0;CountER=0; for(K=30;K<100;K=K+20){E1=MA(C,k);//
the moving average value for the various kE11=ValueWhen(EVENT,E1);// the MA
value at the inspection pointT11=ValueWhen(EVENT,Cum(1));// the inspection
timeG=IIf(G>E11,G,E11);CountER=CountER+1;Plot(E1,"\nE1["+WriteVal(K,1.0)+"]",1+Counter,1);}Plot(G,"\nG",colorBlue,8);//
this line remembers the highest MA until the next
inspectionCountER=0;Kpass=0;HIPASS=0;for(K=30;K<100;K=K+20){E1=MA(C,k);E11=ValueWhen(EVENT,E1);CountER=CountER+1;PASS=IIf(E11==G,E1,0);HIPASS=HIPASS+PASS;K1=IIf(E11==G,K,0);Kpass=Kpass+K1;}Plot(HIPASS,"\nHI-PASS
[k="+WriteVal(kpass,1.0)+"]",colorBlack,8);// the final Hi-pass line//
Plot(Kpass,"Kpass",colorYellow,styleOwnScale);GraphZOrder=0;
The code lets the highest MA [at the inspection point] to pass
the inspection and be in use until the next red dot.In the att. gif, at
point P1 the green [90-bar] MA was the highest. The Hi-pass [dotted black]
line keeps this MA until pointP2, no matter if the green line was lower a
few days after the inspection P1. At P2 the market character has changed to
bullish.The 30-bar [white] MA is now the highest and the the new Hi-pass
line will follow it for the next 101 bars.The blue G line gives the ground
level, ie the value of the last inspection.You may see easier the final
Hi-pass line by changing GraphZOrder=0; to GraphZOrder=1;Uncomment the
// Plot(Kpass,"Kpass",colorYellow,styleOwnScale); line to see the K values in
the past history of the stock.The inspection method is objective, free from
psychological constraints and helps to hold a decision for the next x
trading days.
[this is more difficult than the code itself !!]
The inspection frequency may be fixed or variable
.
[Since we usually Buy at +1 Open, we may re-inspect before
every "Buy"...]
One interesting application is the parametric Equity
.
If we ride on the highest equity line and we have the
inspection feedback, we may avoid the known dangers of
overptimization
and make some more low-risk money.
Dimitris Tsokakis
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