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Hi,
I have modified the TRIX code to use Close price instead of ROC(C).
I also optimized it. I don't plan to re-optimize from now on. I
plan to use this for verification of a continuation signal (pullback)
generated from my primary trading system. I also have a MACD(3,10,9)
verification. These two and also 3 or 4 OB/OS De-trended price
oscillators including LinReg indicator should be sufficient to
verifiy this continuation signal. I would not use this as a primary
trading system for pullbacks, only for verification. In addition I
use tight stops for pullbacks. Thanks for the help.
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Gary A. Serkhoshian"
<serkhoshian777@xxxx> wrote:
> 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("Period 1", 9, 3, 13, 1);
>
> period2 = Optimize("Period 2", 50, 21, 62,1);
>
> period3 = Optimize("Period 3",80,62,233,1);
>
> //C = Foreign("COMPQX", "C");
>
> //INDICATORS
>
> Trixline1=TEMA(TEMA(TEMA(ROC(C, 1), period1), period1), period1);
>
> Trixline2=TEMA(TEMA(TEMA(ROC(C, 1), period2), period2), period2);
>
> Trixline3=TEMA(TEMA(TEMA(ROC(C, 1), period3), period3), period3);
>
> //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(BuySTATE,SellSTATE);
>
> Sell = NOT Buy;
>
> Short = Flip(ShortSTATE,CoverSTATE);
>
> Cover = NOT Short;
>
> //EXREM
>
> Buy = ExRem(Buy,Sell);
>
> Sell = ExRem(Sell,Buy);
>
> Short = ExRem(Short,Cover);
>
> Cover = ExRem(Cover,Short);
>
> //STOPS
>
> ApplyStop( stopTypeProfit, stopModePercent, 30, ExitAtStop = True,
Volatile = False, ReentryDelay = 0 );
>
> ApplyStop( stopTypeTrailing, stopModePercent, 20, ExitAtStop =
True, Volatile = False, ReentryDelay = 0 );
>
> Equity(1); // THIS EVALUATES STOPS
>
> //INDICATOR SECTION BEGINS
>
> Plot(Trixline1, "TRIX", colorBlue, styleHistogram);
>
> Plot(Trixline2, "TRIX", colorYellow, styleHistogram);
>
> Plot(Trixline3, "TRIX", colorGreen, styleHistogram);
>
> PlotShapes(shapeUpArrow * Buy,colorBrightGreen,0,TrixLINE1, -
10); //BUY ARROW
>
> PlotShapes(shapeDownArrow * Short,colorRed,0,TrixLINE1,
10); //SHORT ARROW
>
> Title = Name() + ": " + Date() + " Open " + WriteVal(O,1.4) + "
Hi " +WriteVal(H,1.4) +
>
> " Lo " + WriteVal(L,1.4) + " Close " + WriteVal(C,1.4);
>
> //INTERPRETATION WINDOW ANALYSIS
>
> "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";
>
>
>
>
> palsanand <palsanand@xxxx> wrote:
> 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 stops
> ApplyStop( stopTypeProfit, stopModePercent, 30, ExitAtStop = True,
> Volatile = False, ReentryDelay = 0 );
> ApplyStop( stopTypeTrailing, stopModePercent, 20, ExitAtStop =
True,
> Volatile = False, ReentryDelay = 0 );
> Equity(1); // THIS EVALUATES STOPS
> Title = 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, Pal
>
>
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