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Anthony,
in case, you ask that for short position, C[i] < C[i-1] is not always
the lowest close of the short side, the code below takes care of a
lowest or highest close for breakout.
Ouf !!
stephane
Buy=Cross(C,EMA(C,19));
Sell=Cross(EMA(C,19),C) ;//Month()==1;
CumCSt=0;
poslong=0;posshort=0;
Hiclose=LoClose=C[0];
for (i=1; i<BarCount; i++)
{
if( Buy[i])
{
poslong=1;posshort=0;
}
if(Sell[i])
{
poslong=0;posshort=1;
}
//Rlong[i]=poslong;
//RShort[i]=posshort;
if(poslong==1)
{
LoClose=Null;
if(Buy[i])
{
HiClose=C[i];
CumCSt[i]=0.1;
}
else
{
if(C[i]>HiClose)
{
HiClose=C[i];
CumCSt[i]=Cumcst[i-1] + 0.003;
}
else
CumCSt[i]=Cumcst[i-1];
}
}
else
{
HiClose=Null;
if(Sell[i])
{
Loclose=C[i];
CumCSt[i]=0.1;
}
else
{
if(C[i]<Loclose)
{
CumCSt[i]=Cumcst[i-1] + 0.003;
Loclose=C[i];
}
else
CumCst[i]=Cumcst[i-1];
}
}
result[i]=loClose; // or Hiclose
if(CumCst[i]>0.13)
CumCst[i]=0.13;
}
per=19;
Smth=2/(per+1)+CumCSt;
MovAvg=AMA(C,Smth);
Plot(Cumcst,"",colorBlue,1);<s.carrasset@xxxx> wrote:
>
> Sorry, I wrote it between two MRI
> better code
>
> Buy=Cross(C,EMA(C,19));
> Sell=Cross(EMA(C,19),C) ;//Month()==1;
>
> CumCSt=0;
> poslong=0;posshort=0;
>
> for (i=1; i<BarCount; i++)
> {
>
> if( Buy[i])
> {
> poslong=1;posshort=0;
> }
> if(Sell[i])
> {
> poslong=0;posshort=1;
> }
> //Rlong[i]=poslong;
> //RShort[i]=posshort;
>
> if(poslong==1)
> {
> if(Buy[i])
> CumCSt[i]=0.1;
> else
> {
> if(C[i]>C[i-1])
> CumCSt[i]=Cumcst[i-1] + 0.003;
> else
> CumCSt[i]=Cumcst[i-1];
> }
> }
> else
> {
> if(Sell[i])
> CumCSt[i]=0.1;
> else
> {
> if(C[i]<C[i-1])
> CumCSt[i]=Cumcst[i-1] + 0.003;
> else
> CumCst[i]=Cumcst[i-1];
> }
> }
>
>
> if(CumCst[i]>0.13)
> CumCst[i]=0.13;
>
> }
>
> per=19;
> Smth=2/(per+1)+CumCSt;
> MovAvg=AMA(C,Smth);
>
> Plot(CumCst,"",colorBlue,1);
>
> <s.carrasset@xxxx> wrote:
> >
> > Anthony,sorry I have not tried it,
> > now I think it is Ok
> >
> > Buy=Cross(C,EMA(C,19));
> > Sell=Cross(EMA(C,19),C) ;//Month()==1;
> >
> > CumCSC=0;
> > poslong=1;posshort=0;
> >
> > for (i=1; i<BarCount; i++)
> > {
> >
> > if( Buy[i])
> > {
> > poslong=1;posshort=0;
> > }
> > if(Sell[i])
> > {
> > poslong=0;posshort=1;
> > }
> > Rlong[i]=poslong;
> > RShort[i]=posshort;
> >
> > if(Rlong[i])
> > {
> > if(Buy[i])
> > CumCSC[i]=0.1;
> > else
> > {
> > if(C[i]>C[i-1])
> > CumCSc[i]=Cumcsc[i-1] + 0.003;
> > else
> > CumCSc[i]=Cumcsc[i-1];
> > }
> > }
> > if (RShort[i])
> > {
> > if(Sell[i])
> > CumCSC[i]=0.1;
> > else
> > {
> > if(C[i]<C[i-1])
> > CumCSc[i]=Cumcsc[i-1] + 0.003;
> > else
> > CumCSc[i]=Cumcsc[i-1];
> > }
> > }
> >
> >
> > if(CumCSc[i]>0.13)
> > CumCSc[i]=0.13;
> >
> > }
> >
> > per=19;
> > Smth=2/(per+1)+CumCSc;
> > MovAvg=AMA(C,Smth);
> >
> > Plot(Cumcsc,"",colorBlue,1);
> > > Stephane,
> > >
> > > Thank you for trying, but unfortunately it is not
working....the
> > CUMCST value is always .13 and does not reset to .10 with a new
buy
> > or sell signal .
> > >
> > > Anthony
> > > ----- Original Message -----
> > > From: s.carrasset
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Monday, October 25, 2004 3:34 PM
> > > Subject: Re: [amibroker] Optimizing your Moving average
> > >
> > >
> > > Anthony
> > >
> > > this must do the job
> > >
> > > Buy=Cross(C,EMA(C,19));
> > > Sell=Cross(EMA(C,19),C) ;
> > >
> > > CumCst=0.0;
> > > poslong=0;
> > > posshort=0;
> > >
> > > for (i=1; i<BarCount; i++)
> > > {
> > > if(Buy[i])
> > > {
> > > poslong=1;
> > > posshort=0;
> > > CumCst[i]=0.1;
> > > }
> > > if(Sell[i])
> > > {
> > > poslong=0;
> > > posshort=1;
> > > CumCst[i]=0.1;
> > > }
> > >
> > >
> > > if(posshort==1)
> > > {
> > > if(C[i]<C[i-1])
> > > CumCst[i]=CumCst[i-1] + 0.003;
> > > else
> > > CumCst[i]=CumCst[i-1];
> > > }
> > > else // if(poslong==1)
> > > {
> > > if(C[i]>C[i-1])
> > > CumCst[i]=CumCst[i-1] + 0.003;
> > > else
> > > CumCst[i]=CumCst[i-1];
> > >
> > > }
> > >
> > > if(CumCst[i]>0.13)
> > > CumCst[i]=0.13;
> > >
> > > }
> > >
> > > per=19;
> > >
> > > Smth=2/(per+1)+CumCst;
> > >
> > > MovAvg=AMA(C,Smth);
> > >
> > > Plot(movavg,"",colorBlue,1);
> > > Plot(C,"",1,64);
> > >
> > > PlotShapes(Buy*shapeUpArrow,colorGreen,0,L,-20);
> > > PlotShapes(Sell* shapeDownArrow,colorRed,0,H,-20);
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > Faragasso a écrit :
> > >
> > > > Thanks Stephane,
> > > >
> > > > unfortunately I am at a loss as to how to finish this...
> > > >
> > > >
> > > > Buy=Cross(C,EMA(C,19));
> > > >
> > > > Sell=Cross(EMA(C,19),C) ;//Month()==1;
> > > >
> > > > CumCSC=0;
> > > >
> > > > for (i=1; i<BarCount; i++)
> > > >
> > > > {
> > > >
> > > > if(Buy[i])
> > > >
> > > > CumCSC[i]=0;
> > > >
> > > > else
> > > >
> > > > {
> > > >
> > > > if(C[i]>C[i-1])
> > > >
> > > > CumCSc[i]=Cumcsc[i-1] + 0.003;
> > > >
> > > > else
> > > >
> > > > CumCSc[i]=Cumcsc[i-1];
> > > >
> > > > }
> > > >
> > > > if(CumCSc[i]>0.13)
> > > >
> > > > CumCSc[i]=0.13;
> > > >
> > > > }
> > > >
> > > > per=19;
> > > >
> > > > Smth=2/(per+1)+CumCSc;
> > > >
> > > > MovAvg=AMA(C,Smth);
> > > >
> > > > Plot(movavg,"",colorBlue,1);
> > > >
> > > > Plot(C,"",1,64);
> > > >
> > > > Filter=1;
> > > >
> > > > AddColumn(Buy,"buy");
> > > >
> > > > AddColumn(Cumcsc,"cst");
> > > >
> > > > AddColumn(smth,"smth");
> > > >
> > > >
> > > > Anthony
> > > >
> > > >
> > > > ----- Original Message -----
> > > > From: s.carrasset
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Sent: Sunday, October 24, 2004 5:26 PM
> > > > Subject: Re: [amibroker] Optimizing your Moving average
> > > >
> > > >
> > > > Hello,
> > > >
> > > >
> > > > Anthony, this code can be a starting point
> > > >
> > > > Sell=Month()==1;
> > > > Cumcst=0.1;
> > > > for (i=1; i<BarCount; i++)
> > > > {
> > > > if(Sell[i])
> > > > CumCST[i]=0.10;
> > > > else
> > > > {
> > > > if(C[i]>C[i-1])
> > > > CumCST[i]=Cumcst[i-1] + 0.003;
> > > > else
> > > > CumCST[i]=Cumcst[i-1];
> > > > }
> > > >
> > > > if(CumCST[i]>0.13)
> > > > CumCST[i]=0.13;
> > > >
> > > > }
> > > >
> > > > per=19;
> > > > Smth=2/(per+1)+CumCST;
> > > >
> > > > MovAvg=AMA(C,Smth);
> > > >
> > > > Plot(movavg,"",colorBlue,1);
> > > > Plot(C,"",1,64);Anthony Faragasso a écrit :
> > > >
> > > > > Anyone ?
> > > > >
> > > > > This seems a perfect time for AMA(array, factor ) but
> > unfortunately I
> > > > > have
> > > > > never applied the AMA function, I would like the Smth
to
> be
> > adjusting;
> > > > >
> > > > > Lets work with a 19 period moving average...
> > > > >
> > > > >
> > > > > Per=19;
> > > > >
> > > > > BuySignal=cross(c,Ema(c,per);
> > > > > SellSignal=cross(Ema(c,per),c);
> > > > >
> > > > > additionalSmthConstant=
> > > > >
> > > > > CumSmthConstant=2/(per+1) + additonalSmthConstant;
> > > > >
> > > > > MovAvg=AMA(C,Smth);
> > > > >
> > > > > Here are the Details:
> > > > >
> > > > > After a buy signal is generated, assign additional
> > smoothing
> > > > constant of
> > > > > .003 when a stock or commodity makes a new higher close.
> > > > >
> > > > > The new Cumulative Smoothing Constant is calculated by
> > adding daily
> > > > > additional smoothing constant to previous Cumulative
> > Smoothing
> > > > Constant
> > > > > until a maximum of .13 is reached.
> > > > >
> > > > > After a Sell signal return the Cumulative Smoothing
> > Constant to the
> > > > > starting
> > > > > value of .10
> > > > >
> > > > > After a sell signal is generated, assign additional
> > smoothing
> > > > constant of
> > > > > .003 when a stock or commodity makes a new lower close.
> > > > >
> > > > > The new Cumulative Smoothing Constant is calculated by
> > adding daily
> > > > > additional smoothing constant to previous Cumulative
> > Smoothing
> > > > Constant
> > > > > until a maximum of .13 is reached.
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > >
> > > > > Check AmiBroker web page at:
> > > > > http://www.amibroker.com/
> > > > >
> > > > > Check group FAQ at:
> > > > >
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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