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^AEX example is an opportunity to describe this timing
procedure for those who did not follow the related messages.
STEP1. Find the first significant
peak/trough of 2003Although it is subjective, I will use an average zig(C,6)
as a measureBegin
with Plot(Zig(C,6),"",colorYellow,1);Plot(C,"",colorBlack,64);to
see the first peak on Jan2, 2003 and the first trough on Feb10,
2003STEP2.By the end of May2003 run
the
// ^AEX 2003 timing
OptimizationSYM="^AEX";STARTBUY=DateNum()==1030210;STARTSELL=DateNum()==1030102;BuyFREQ=Optimize("bf",25,10,40,1);SellFREQ=Optimize("sf",28,10,40,1);Buy=BarsSince(STARTBuy)%Buyfreq
==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
The top combination was bf=18, sf=28, ie buy every 18
bars/sell every 28 bars.
STEP3. Since 18+28=46 and 46/2=23, we may
define the period of Inspection Points as x=23 [or x=24, if you prefer even
numbers].It means we shall check the optimal bf/sf every 24
bars.STEP4.
Insert these ^AEX numbers [the STARTBUY/STARTSELL/INSPECTION
PERIOD]in the basic Ind. builder codeand...thats it !!
// ^AEX 2003
timing
// The following 4 lines need to change for another index
study<FONT
color=#0000ff>SYM="^AEX";STARTBUY=DateNum()==1030210;// the datenum of the
first significant troughSTARTSELL=DateNum()==1030102;// the datenum of the
first significant peakINSPECTIONPERIOD=24;// the average of the optimal
bf+sf is a good point to start the period research
// The following lines are the same for any index
studyx=INSPECTIONPERIOD;
<FONT
size=2>startIP=DateNum()==1030530;in=DateNum()>=1030530;EVENT=BarsSince(startIP)%x==0;Plot(50,"",1,1);//
INSPECTION
COUNTERshape=33+2*(Cum(event)%10);Color=colorIndigo;space=-40;PlotShapes(shape*EVENT,color,0,Graph0,space);event1=Cum(event)%10==0
AND Ref(Cum(event)%10,-1)!=0;Counter1=Cum(event1);shape1 =
IIf(counter1==0,shapeNone,shapeDigit0 + 2 * ( Counter1%10 ))
;PlotShapes(event*shape1,color,0,Graph0,space+10);Plot(0,"",1,1);//
OPTIMAL BF, SF
SELECTIONG=0;for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++){for(SellFREQ=10;SellFREQ<40;SellFREQ++){Buy=BarsSince(STARTBuy)%Buyfreq
==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);e1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11);}}BFpass=0;SFpass=0;for(BuyFREQ=10;BuyFREQ<40;BuyFREQ++){for(SellFREQ=10;SellFREQ<40;SellFREQ++){Buy=BarsSince(STARTBuy)%Buyfreq
==0;Sell=BarsSince(STARTSell)%Sellfreq==0;Short=Sell;Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);e1=Equity(1,0);E11=ValueWhen(EVENT,E1);BF1=IIf(E11==G,BuyFREQ,0);BFpass=BFpass+BF1;SF1=IIf(E11==G,SellFREQ,0);SFpass=SFpass+SF1;G=IIf(E11==G,0,G);}}Plot(BFPASS,"\nBFpass",colorBlack,8);Plot(SFPASS,"SFpass",colorBlue,8);//
the trading systemCb=in*BarsSince(STARTBuy)%BFpass
==0;Cs=in*BarsSince(STARTSell)%SFpass==0;Cb=ExRem(Cb,Cs);Cs=ExRem(Cs,Cb);Buy=in*BarsSince(STARTBuy)%BFpass
==0;Sell=in*BarsSince(STARTSell)%SFpass==0;Short=Sell;Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);e1=Equity(1,0);Plot(e1,"Equity",colorBrightGreen,styleOwnScale);PlotShapes(shapeUpTriangle*Cb,colorBrightGreen);PlotShapes(shapeDownTriangle*Cs,colorRed);PlotShapes(shapeUpArrow*Cb,colorDarkGreen);PlotShapes(shapeDownArrow*Cs,colorDarkRed);Plot(
2, "Ribbon",IIf( BarsSince(Buy)>BarsSince(Sell), colorRed, colorGreen),
styleArea|styleNoLabel, -1, 100 );GraphXSpace=5;Title=sym+",
BFpass="+WriteVal(BFpass,1.0)+", SFpass="+WriteVal(SFpass,1.0)+",
Equity="+WriteVal(e1);
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