|
PureBytes Links
Trading Reference Links
|
While we are talking of
cross and > in conditions, I did a quick check on something you would
expect to give many signals
Buy=<FONT
color=#0000ff>Cross(H,<FONT
color=#ff0000>L);
It gave signals only on
the day after the bar had zero range. (ie H=L)
So cross only gives the
first instance of the occurence.
Cheers,Graham<A
href="">http://groups.msn.com/ASXShareTrading<A
href="">http://groups.msn.com/FMSAustralia
<FONT
face=Tahoma size=2>-----Original Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx] Sent: Sunday, 30 November 2003 8:53
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Cross or > ??
Just as an aside, Graham, when TJ implements pyramiding in AB, it's
possible to envision circumstances when you wouldn't want to use ExRem to
eliminate additional impulse signals. For example, in the example I gave
before, suppose the threshold changes every day, and you WANT to add to
your position every time H crosses above that threshold before you get an exit
signal. In that case, those additional signals would not be unwanted, and you
would refrain from using ExRem (or Equity(1)). But that's for the future.
AV
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=gkavanagh@xxxxxxxxxxxxx
href="">Graham
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, November 29, 2003 7:33
PM
Subject: RE: [amibroker] Cross or >
??
Yes it would be
possible to get consecutive signals, and that is why you would use something
like Exrem(Buy,Sell) to remove the additional
unwanted signals
<FONT
face=Arial>
Cheers,Graham<A
href="">http://groups.msn.com/ASXShareTrading<A
href="">http://groups.msn.com/FMSAustralia
<FONT
face=Tahoma size=2>-----Original Message-----From: Al Venosa
[mailto:advenosa@xxxxxxxxxxxx] Sent: Sunday, 30 November 2003
8:27 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re:
[amibroker] Cross or > ??
Yes, Graham, you are right. An ma would first have to cross above
another ma on one bar, signalling the buy, then cross below on the next
bar, then cross above again the bar after that. That would give you 000
101 000. I used the wrong example. An example where an impulse cross
could occur on 2 consecutive bars would be when H crossed above a certain
numerical threshold, signalling a buy, then on the next bar, the price
could open below that threshold and the H could again cross above the
threshold again. In that case, you could get 2 buy signals on 2
consecutive bars using an impulse signal. Thanks for pointing out my
error.
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=gkavanagh@xxxxxxxxxxxxx
href="">Graham
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, November 29, 2003
7:17 PM
Subject: RE: [amibroker] Cross or
> ??
Al you are right
that you can have the cross and > for different conditions within a
single signal.
But I think you
would find it impossible to get 2 crosses in consecutive bars. It would
not be possible to get a cross below, then a cross above for the
same bar for a simple MA. It would take a bar to cross below,
then another to recross above. I say bars, not days, as this would apply
to any timeframe.
Cheers,Graham<A
href="">http://groups.msn.com/ASXShareTrading<A
href="">http://groups.msn.com/FMSAustralia
<FONT
face=Tahoma size=2>-----Original Message-----From: Al
Venosa [mailto:advenosa@xxxxxxxxxxxx] Sent: Sunday, 30
November 2003 7:52 AMTo:
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Cross or
> ??
Thanks for the explanation, Gary, about the difference between
impulse and state conditions. One question I have is in regard to your
statement that, when ANDing two terms, they should both be in state
form. I can think of situations where one can be in state form and one
can be in impulse form. For example, suppose you want to buy when MA1
crosses above MA2 (impulse) while the ATR(10)/C is greater than, say,
0.03 (state). The cross statement could take place while the ATR/C is
> 0.03, and the latter could be true for a rather long time. You
certainly wouldn't want to write Buy = cross(ma1,ma2) AND
cross(ATR(10)/C, 0.03) because, as you said, that would have to take
place on exactly the same day. Rather, you'd want to write: Buy =
Cross(ma1,ma2) AND ATR(10)/C>0.03. Right?
By the way, the cross statement could take place 2 days in a row
if the MA1 crossed below the MA2 again the day after it crossed above
MA2, then rose above MA2 again. In that case, you would have 0000 11
0000.
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=serkhoshian777@xxxxxxxxx
href="">Gary A. Serkhoshian
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, November 29,
2003 5:12 PM
Subject: Re: [amibroker] Cross
or > ??
Hi Joe,
Actually you ask a great question. I was fortunate to have
smart people around to explain the difference to me which is quite
dramatic.
Cross(MA1, MA2) is only true on the day of the cross.
This is called an impulse signal because if you visualize it over
time it would look like 0000000 1 000000 where "1"is the day that it
is true. Exrem function also creates the impulse signal which
is used to give us the buy/sell/short/cover for our systems.
MA1 > MA2 is true as long as MA1 is greater than MA2.
This is "state" form. A way of describing this would be
"OnBuy" or "ÖnSell". When you use the Flip() function you are
creating a state form as well. In other words you are either
on a buy state (1) or sell state (0). It would look like
this
000 111111111 000000 where the "1" is when the MA1
> MA2.
So, why is this important? If you are going to "AND" two
conditions together you need to ensure that the two conditions are
in state form because typically you're wanting a situation where MA1
> MA2 and MA2 > MA3. If the conditions are in impulse
form (via Cross() ), you are essentially saying that the two
conditions must be true on the same bar for the "AND" condition to
be true. BTW, "NOT" needs state form as well for the same
reasons.
You can OR two impulse conditions together. For example
Cross(MA1,MA2) OR Cross(MA2,MA3) you are saying as long as one of
the two are true then the OR statement is true.
I could go on, but I think this should be enough to get your
going.
Regards,
Garyemg_gang <joeemmett@xxxxxxxxxxx>
wrote:
<BLOCKQUOTE class=replbq
>Is
it proper to use the "Cross" statement in a BUY statement or the
> symbol. I have been using these interchangeable, but it
appears I should not!Buy =
Cross(MA(C,30),MA(C,50));Buy = MA(C,30) >
MA(C,50);I was doing some optimization for MA and found a
difference in returns between using the "Cross" or the
'>'!I would have thought they would be the same since
they both buy when the 30 day is greater than the 50
day!Could someone tell me which one is correct and if you
have time WHY!Thanks, JoeSend
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: <A
href="">http://groups.ya!
hoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service.
Do you Yahoo!?<A
href="">Free
Pop-Up Blocker - Get it now
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend
SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web
page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service. <FONT
face="Courier New">
<BLOCKQUOTE
><FONT
face="Courier New">---Outgoing mail is certified Virus
Free.Checked by AVG anti-virus system (<A
href="">http://www.grisoft.com).Version:
6.0.543 / Virus Database: 337 - Release Date:
11/21/2003Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web
page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service. Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web
page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service. Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend
SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|