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First question: Did the changes get the trades to happen on the right days?
RE: getting different answers versus your Excel version: It is impossible
for me to comment since I don't have your Excel version (or even the results
of the different answers). What I can say is that I used Excel before
Amibroker. I transferred all my systems to AB and had similar discrepancies.
I was able to resolve all of them with some work. AB will give correct
answers if coded correctly. I have found no bugs in AB. AB is smarter than
Excel, especially with respect to data, data holes, number of bars needed to
properly compute a given indicator, etc.
RE: Whether your 5 day strength is adequate: You need to answer that
question. If you haven't tried the Optimize statement yet, please do. Just
BE SURE to not use all your data to optimize on. AB is VERY GOOD at curve
fitting (using Optimize) if you let it ;-)
--
Terry
From: "iascool" <sai20_2000@xxxxxxxxx>
Reply-To: amibroker@xxxxxxxxxxxxxxx
Date: Mon, 08 Nov 2004 11:33:20 -0000
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: SNiper
HI Terry,
Thanks for advise.
Mom stands for momentum .I had only pasted the part of code to
avoid confusion.I have included your suggestions.But the part iam
not getting is whether 5 day strength , I coded is adequate to the
concept.Coz I also did the same analysis in excel sheet , so for the
same scrip instead of values to match they dont!Pls comment.
Regards
Pls find the whole code
R1=(MA(H,3)-MA(Ref(L,-1),3))+L;
R2=((MA(Ref(H,-1),3))-MA(H,3))+H;
R3=H;
R4=2*Avg-L;
Sellno=(R1+R2+R3+R4)/4;
S1=H-(MA(Ref(H,-1),3)-MA(L,3));
S2=L-(MA(Ref(L,-1),3)-MA(L,3));
s3=L;
S4=2*Avg-H;
Buyno=(S1+S2+S3+S4)/4;
//1-Day strength
DS1=(C-L)/(H-L)*100;
//5-Day Strength
DS5=(C-LLV(L,5))/(HHV(H,5)-LLV(L,5))*100;
//LSS-5Day Oscillator
X=HHV(H,5)-Ref(O,-5);
Y=C-LLV(L,5);
LSSO=(X+Y)/((HHV(H,5)-LLV(L,5))*2);
AvgLSSO=MA(LSSO,3)*100;
//Momentum
Mom=AvgLSSO-Ref(AvgLSSO,-3);
//Add these lines for next day OPEN trading
SetTradeDelays(1,1,1,1);
BuyPrice = SellPrice = ShortPrice = CoverPrice = Open;
condbuy1 = 65<DS5>95 AND LSSo>50 AND mom>-10 AND DayOfWeek() == 5;
condbuy2 = DS5>83 AND LSSo>50 AND mom>-40 AND DayOfWeek() == 4;
condsell = DS5>53 AND LSSo >70 AND mom> -10 AND DayOfWeek() == 2;
Buy = condbuy1 OR condbuy2;
Sell=Condsell;
//Note conditions are tested the day before so you get, for example
//Friday's conditions for a Monday buy
Filter=Buyno AND Sellno;
AddColumn(Buyno,"BuyNo");
AddColumn(Sellno,"SellNo");
AddColumn(DS1,"1-Day Strength");
AddColumn(DS5,"5-Day Strength");
AddColumn(AvgLSSO,"AVg LSS 5-Day OSC ");
AddColumn(Mom,"Momentum ");
Plot(DS5,"5 Day strength",colorGreen,1);
Plot(Mom,"Momentum",colorRed,2);
Plot(AvgLSSO,"Smooth LSS Oscillator",colorBlue,4);
Plot(LSSO," LSS Oscillator",colorBlue,4);
--- In amibroker@xxxxxxxxxxxxxxx, Terry <MagicTH@xxxx> wrote:
> Some questions and suggestions:
>
> mom is not defined below. What is it?
>
> Your buys with DayOfWeek do not make sense.
> Try changing your conditions as follows:
>
> //Add these lines for next day OPEN trading
> SetTradeDelays(1,1,1,1);
> BuyPrice = SellPrice = ShortPrice = CoverPrice = Open
>
> condbuy1 = 65<LSS>95 AND LSSosc>50 AND mom>-10 AND DayOfWeek() ==
5;
> condbuy2 = LSS>83 AND LSSosc>50 AND mom>-40 AND DayOfWeek() == 4;
> condsell = LSS>53 AND LSSosc >70 AND mom> -10 AND DayOfWeek() == 2;
> Buy = condbuy1 OR condbuy2;
> Sell = condsell;
>
> //Note conditions are tested the day before so you get, for example
> //Friday's conditions for a Monday buy
> --
> Terry
>
>
> From: "iascool" <sai20_2000@xxxx>
> Reply-To: amibroker@xxxxxxxxxxxxxxx
> Date: Sun, 07 Nov 2004 14:39:54 -0000
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] SNiper
>
>
> Hello,
> I have tried to code some concepts from Sniper Trading , but have
> not achieved results to one i have in excel sheet.Where am I going
> wronge in code?Any Suggestions.
>
> 1)5Day strength index-
> (Close-Lowest price in last 5days)/(highest price in last 5 days-
> Lowest price in last 5 days) * 100
>
> code-//5-Day Strength
> DS5=(C-LLV(L,5))/(HHV(H,5)-LLV(L,5))*100;
>
> 2)lss oscillator
> X=highest price in last 5 days-open 5days ago
> Y=last close - lowest price in last 5 days
> lssosc = (X+Y)/((highest price in last 5 days - Lowest Price in
last
> 5 days)*2)*100
>
> Code//LSS-5Day Oscillator
> X=HHV(H,5)-Ref(O,-5);
> Y=C-LLV(L,5);
> LSSO=(X+Y)/((HHV(H,5)-LLV(L,5))*2)*100;
>
> 3)Buy on Monday if(on friday close)
> 65<LSS>95 and LSSosc>50 and mom>-10
> Buy on Friday if( on thrusday close)
> LSS>83 and LSSosc>50 and mom>-40
> Sell on Wednesday if( on tuesday close)
> LSS>53 and LSSosc >70 and mom> -10
>
> Code
> condbuy1= 65<LSS>95 AND LSSosc>50 AND mom>-10;
> condbuy2= LSS>83 AND LSSosc>50 AND mom>-40;
> condsell= LSS>53 AND LSSosc >70 AND mom> -10;
> buy= iif( condbuy1,Dayofweek()==1,condbuy2);
> Sell=iif(condsell,dayofweek()==6, 1);
>
> Kind Regards
>
>
>
>
>
>
>
>
>
>
>
>
>
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>
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