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<FONT face=Arial color=#0000ff
size=2>Gary,
Plot
trixline3. On DIS I get a value of 0.0752 as of Fridays close. The closing value
of DIS is 22.58....So buystate and sell state will always be true if the values
in front of your "AND" statement are true. Short and cover will ALWAYS be false
unless you are trading penny stocks. Unless I am missing something...Why would
you want to compare the value of Close to a triple smoothed Rate of change
value?....
<FONT face=Arial color=#0000ff
size=2>
<FONT
color=#282828>BuySTATE = TrixLINE1 > TrixLINE2 <FONT
color=#000000>AND
C<FONT
color=#282828> > TrixLINE3; SellSTATE = TrixLINE1 < TrixLINE2
AND <FONT
color=#000000>C<FONT
color=#282828> > TrixLINE3; ShortSTATE = TrixLINE1 < TrixLINE2
AND <FONT
color=#000000>C<FONT
color=#282828> < TrixLINE3; CoverSTATE = TrixLINE1 > TrixLINE2
AND <FONT
color=#000000>C<FONT
face="Courier New"> < TrixLINE3;
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Gary A. Serkhoshian
[mailto:serkhoshian777@xxxxxxxxx]Sent: Monday, November 24, 2003 1:47
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Simple TRIX Crossover system question
Pal,
Here's the code to do what you've asked. Regarding a diversified
group of futures markets, you'll have to optimize on the markets you want to
trade. I've built in the ability to optimize the params.
You could via positionscore trade basket of futures via some scoring
routine in addition to their respective buy/sell signals.
The big problem is you may want to look at the Trixline values. They
are all smaller than 1 which means that shorts are impossible with the criteria
you've listed below.
Take a look at get back to us. It seems like a promising idea, and
I'll be happy to adjust the code based on what you find.
Warmest,
Gary
CODE BELOW:
//PARAMS
period1 = Optimize<FONT
size=2>("Period 1",
9, <FONT
color=#ff00ff size=2>3, <FONT color=#ff00ff
size=2>13, 1<FONT
size=2>);
period2 = Optimize<FONT
size=2>("Period 2",
50, <FONT
color=#ff00ff size=2>21, <FONT color=#ff00ff
size=2>62,1<FONT
size=2>);
period3 = Optimize<FONT
size=2>("Period 3"<FONT
size=2>,80,<FONT
color=#ff00ff size=2>62,<FONT color=#ff00ff
size=2>233,1<FONT
size=2>);
//C = Foreign("COMPQX", "C");<FONT
color=#008000 size=2>
//INDICATORS
Trixline1=TEMA<FONT
size=2>(TEMA(<FONT
color=#0000ff size=2>TEMA(<FONT color=#0000ff
size=2>ROC(C, <FONT color=#ff00ff
size=2>1), period1), period1), period1);
Trixline2=TEMA<FONT
size=2>(TEMA(<FONT
color=#0000ff size=2>TEMA(<FONT color=#0000ff
size=2>ROC(C, <FONT color=#ff00ff
size=2>1), period2), period2), period2);
Trixline3=TEMA<FONT
size=2>(TEMA(<FONT
color=#0000ff size=2>TEMA(<FONT color=#0000ff
size=2>ROC(C, <FONT color=#ff00ff
size=2>1), period3), period3), period3);<FONT
color=#008000 size=2>
//ESTABLISH STATES
BuySTATE = TrixLINE1 > TrixLINE2 AND C > TrixLINE3;
SellSTATE = TrixLINE1 < TrixLINE2 AND C > TrixLINE3;
ShortSTATE = TrixLINE1 < TrixLINE2 AND C < TrixLINE3;
CoverSTATE = TrixLINE1 > TrixLINE2 AND C <
TrixLINE3;
//ESTABLISH SIGNALS
Buy = Flip<FONT
size=2>(BuySTATE,SellSTATE);
Sell = NOT Buy;
Short = Flip<FONT
size=2>(ShortSTATE,CoverSTATE);
Cover = NOT Short;
//EXREM
Buy = ExRem<FONT
size=2>(Buy,Sell);
Sell = ExRem<FONT
size=2>(Sell,Buy);
Short = ExRem<FONT
size=2>(Short,Cover);
Cover = ExRem<FONT
size=2>(Cover,Short);
//STOPS
ApplyStop( stopTypeProfit, stopModePercent,
30, ExitAtStop =
True, Volatile = False, ReentryDelay = <FONT color=#ff00ff
size=2>0 );
ApplyStop( stopTypeTrailing,
stopModePercent, 20<FONT
size=2>, ExitAtStop = True, Volatile = False, ReentryDelay =
0 );<FONT
color=#0000ff size=2>
Equity(1<FONT
size=2>); // THIS EVALUATES
STOPS
//INDICATOR SECTION BEGINS
Plot(Trixline1, <FONT color=#ff00ff
size=2>"TRIX", colorBlue,
styleHistogram);
Plot(Trixline2, <FONT color=#ff00ff
size=2>"TRIX", colorYellow,
styleHistogram);
Plot(Trixline3, <FONT color=#ff00ff
size=2>"TRIX", colorGreen,
styleHistogram);
PlotShapes(shapeUpArrow *
Buy,colorBrightGreen,<FONT color=#ff00ff
size=2>0,TrixLINE1, -<FONT color=#ff00ff
size=2>10); //BUY
ARROW
PlotShapes(shapeDownArrow *
Short,colorRed,0<FONT
size=2>,TrixLINE1, 10);
//SHORT ARROW
Title = Name() +
": " + <FONT
color=#0000ff size=2>Date() + <FONT color=#ff00ff
size=2>" Open " + <FONT color=#0000ff
size=2>WriteVal(O,<FONT color=#ff00ff
size=2>1.4) + " Hi
" +WriteVal<FONT
size=2>(H,1.4) +
" Lo "<FONT
face=Arial size=2> +<FONT
face=Arial size=2> <FONT color=#0000ff
size=2>WriteVal(L,<FONT color=#ff00ff
size=2>1.4) + " Close
" + WriteVal<FONT
size=2>(C,1.4<FONT
size=2>);
//INTERPRETATION WINDOW ANALYSIS
"The bmTRIX is indicating a " + <FONT
color=#0000ff size=2>WriteIf(Trixline1 > Trixline2
AND C > TrixLine3, <FONT color=#ff00ff
size=2>"bullish", <FONT color=#ff00ff
size=2>"bearish") +
" market environment because it is " + <FONT
color=#0000ff size=2>WriteIf(TrixLine1 > Trixline2
AND C < TrixLine3, <FONT color=#ff00ff
size=2>"above", <FONT color=#ff00ff
size=2>"below") +
" the zero line.\n";
palsanand <palsanand@xxxxxxxxx> wrote:
<BLOCKQUOTE class=replbq
>1.
Start with a simple moving average crossover (nine-day and 50-day) 2.
Refinement 1: Add a third moving average (80-day) as a
filter.Apply the indicator using the following rules: 1. Go
long when 9d > 50d and close > 80d 2. Go flat when 9d < 50d and
close > 80d 3. Go short when 9d < 50d and close < 80d 4. Go
flat when 9d > 50d and close < 80d 5. Refinement 2: Trade a
diversified group of futures markets.How do I modify the code below to
adhere to the rules above and how do I get sell signal arrows on the
graph?period1 = 9;period2 = 50;period3 = 80;//C =
Foreign("COMPQX", "C");Trixline1=TEMA(TEMA(TEMA(ROC(C, 1), period1),
period1), period1);Plot(Trixline1, "TRIX", colorBlue,
styleHistogram);Trixline2=TEMA(TEMA(TEMA(ROC(C, 1), period2), period2),
period2);Plot(Trixline2, "TRIX", colorYellow,
styleHistogram);Trixline3=TEMA(TEMA(TEMA(ROC(C, 1), period3), period3),
period3);Plot(Trixline3, "TRIX", colorGreen, styleHistogram);Cond1 = C
> TrixLine3;Cond2 = C < TrixLine3;"The bmTRIX is indicating a "
+WriteIf(Trixline1 > Trixline2 AND C > TrixLine3, "bullish",
"bearish") +" market environment because it is " +WriteIf(TrixLine1
> Trixline2 AND C < TrixLine3, "above", "below") +" the zero
line.\n";Buy = Cover = Cross( TrixLine1,TrixLine2 ) AND (C >
TrixLine3);Sell = Short = Cross( TrixLine2,TrixLine1 ) AND (C <
TrixLine3);shape = Buy * shapeUpArrow + Sell *
shapeDownArrow;PlotShapes(IIf(Buy,shapeUpArrow,shapeNone)
,colorBrightGreen,0,Graph1,-15);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorRed,0,Graph1,-15);
//PlotShapes(IIf(Buy,shapeUpArrow,shapeNone)
,colorBrightGreen);//PlotShapes(IIf
(Sell,shapeDownArrow,shapeNone),colorRed);GraphXSpace=10; //Sell =
0 ; // exit only by stopsApplyStop( stopTypeProfit, stopModePercent, 30,
ExitAtStop = True, Volatile = False, ReentryDelay = 0 );ApplyStop(
stopTypeTrailing, stopModePercent, 20, ExitAtStop = True, Volatile =
False, ReentryDelay = 0 );Equity(1); // THIS EVALUATES STOPSTitle =
Name() + ": " + Date() + " Open " + WriteVal(O,1.4) + " Hi "
+WriteVal(H,1.4) + " Lo "+WriteVal(L,1.4) + " Close " +
WriteVal(C,1.4);//Plot(Sell==4,"ApplyStop
Sell",colorRed,1|styleOwnScale);//Plot(Cover==4,"ApplyStop
Cover",colorGreen,1|styleOwnScale); rgds,
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