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Hi Pal,
isn't a continuation signal the opposite of a pullback (in a long system, at
least)?
i think of a pullback as a reversal...
thanks
-john
----- Original Message -----
From: "palsanand" <palsanand@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, November 24, 2003 10:32 AM
Subject: [amibroker] Re: Simple TRIX Crossover system question
> 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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