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Hi Dave,
I woke up. ^^_^^
Yes, double simply means the setup has persisted for 2 days. The
sell is based on intraday movement through the low of the setup bar.
It is not based on the close. However, there are a few situations
where he would take the trade on the setup bar, particularly on a
close in the bottom 5 percent of the range (shorts) or top 5 percent
of the range (long).
Personally, I don't use this system. But it is based on mean
reversion, and I am naturally drawn to this class of ideas.
No double window is required. But, the more you get the better the
likelihood of a snapback the other way. I think this system works
much better too, like most, in the direction of the strong primary
trend. So, I would expect this to do better signaling long entries
right now after a serious enough correction to get the ADX stuff
headed the other way.
I have a chart for this, even though I don't trade based on it, and
the Buy/Sell from that code is used simply to color the setup bars on
that chart.
I have observed with this that one needs to be pretty aggressive
about locking in a piece early.
Yuki
Wednesday, February 11, 2004, 10:42:18 PM, you wrote:
DM> Hi Yuki, interesting setup. Where would I find more info on this?
DM> For instance, what do you mean by "double" window setup? Two days in a row
DM> of the setup conditions being met? Is that a stronger signal? A requirement?
DM> Not a lot of those, especially confirmed, if I understand confirmation
DM> right.
DM> Also, I want to make sure I understand the buy and short confirmation
DM> conditions that would follow the setups. Is it that the setup conditions was
DM> true on the prior day, and Close is above/below the previous day's High/Low,
DM> like this?
DM> ---------
DM> MA4 = MA(C, 4);
DM> ADX10 = ADX(10);
DM> ConditionB = H < MA4;
DM> ConditionB1 = PDI(14) >= 30;
DM> ConditionB2 = ADX10 >= 30 AND (PDI(10) > MDI(10));
DM> ConditionB3 = C > Ref(H, -1);
DM> ConditionS = L > MA4;
DM> ConditionS1 = MDI(14) >= 30;
DM> ConditionS2 = ADX10 >= 30 AND (MDI(10) > PDI(10));
DM> ConditionS3 = C < Ref(L, -1);
DM> BuySetup = ConditionB AND (ConditionB1 OR ConditionB2);
DM> ShortSetup = ConditionS AND (ConditionS1 OR ConditionS2);
DM> Buy = Ref(BuySetup, -1) AND ConditionB3;
DM> Short = Ref(ShortSetup, -1) AND ConditionS3;
DM> ---------
DM> If the requirement is that setup conditions need to be met for two days,
DM> you'd replace the equivalent lines above with:
DM> Buy = Ref(BuySetup, -1) AND Ref(BuySetup, -2) AND ConditionB3;
DM> Short = Ref(ShortSetup, -1) AND Ref(ShortSetup, -2) AND ConditionS3;
DM> Dave
>> We have a double window short setup on the Naz Comp as of the close
>> on Tuesday. You have to go back all the way to 9/26/2002 for the
>> last short setup window there -- single, double or otherwise.
>>
>> Ditto the NDX, although you have to go back even farther, to July of
>> 2002 to see the previous short setup on the NDX.
>>
>> Neither DOW nor S&P "confirm".
>>
>> These are only setups by the way, not signals. But they would become
>> signals if the Tuesday lows are taken out.
>>
>> I've forgotten where I got these, but here is the AFL:
>>
>> ConditionB = H < MA(Close,4);
>> ConditionB1 = PDI(14) >=30;
>> ConditionB2 = ADX(10) >=30 AND PDI(10) > MDI(10);
>>
>> ConditionS = L > MA(Close,4);
>> ConditionS1 = MDI(14) >=30;
>> ConditionS2 = ADX(10) >=30 AND MDI(10) > PDI(10);
>>
>> Buy = ConditionB AND (ConditionB1 OR ConditionB2);
>>
>> Short = ConditionS AND (ConditionS1 OR ConditionS2);
>>
>> Best,
>>
>> Yuki
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