I totally agree – discretionary intraday
trading is just not for me.
Anthony Abry
-----Original Message-----
From: quanttrader714
[mailto:quanttrader714@xxxxxxxxx]
Sent: Monday, December 06, 2004
11:53 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: CCI ZLR
On the one hand, if you read the manual you
mention (which at one
point had been approved by Woodie), it says
*repeatedly* to follow the
patterns as described *exactly*, which implies
they can be backtested.
But when confronted with the fact that the
patterns don't test out,
the official story becomes oh, too many nuances,
you need to put in
your time and then you'll be able to trade them,
they can't be
backtested, there are additional filters, some of
which are
proprietary, etc. My advice is to do your
own testing and believe
only that. And if it's really true that the
patterns are too complex
to be backtested and there really are too many
nuances, then that
means the patterns form the base of some form of discretionary
trading, in which case why not use simple patterns
that *do* test out
instead of complex ones that don't?
--- In amibroker@xxxxxxxxxxxxxxx, Anthony Abry
<abry@xxxx> wrote:
> Thank you everyone for your help.
>
> Mark, I think your code looks good and is an
excellent starting
point.
> The entry looks great, and the exit is one of
many. Thank you.
>
> There are many nuances to Woodie's CCI which
makes it hard to trade
for
> some, easy for others. Myself, I have had
good and bad days
papertrading
> but have not committed real money yet.
>
> These days, Woodie uses a LSMA 25 as a filter
as well as a
"Sidewinder"
> which is, as far as I can tell, a filter
incorporation the angle of
the
> 34 EMA (to get a good trend slope) as well as
some sort of
volatility
> measure.
>
> Exits are tricky as well and are implemented
differently if traded
with
> one or more contracts. Woodie encourages to
start learning his
method
> with one contract but to be really profitable
one needs to trade
> multicontract as the runners will eventually
make the system
profitable.
>
>
> There is a good intro manual by a guy named
Jeff on the website
> woodiescciclub.com. If nothing else, Woodie
is an excellent teacher
of
> trading discipline.
>
>
>
> Anthony C. Abry
>
> -----Original Message-----
> From: quanttrader714
[mailto:quanttrader714@xxxx]
> Sent: Monday, December 06, 2004 6:36 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: CCI ZLR
>
>
> Hi Anthony,
>
> A while ago, I took a look at the manual that
explains Woodie's
> patterns and attempted to code ZLR for long
trades (below). This
and
> every other variation I tried performed
poorly. I think this code
> pretty much captures the essence of the
pattern but if I'm
mistaken, I
> welcome constructive feedback. Watch
out for wrapped code. Good
luck.
>
> Mark
>
> SetTradeDelays(0,0,0,0);// no trade delays
> BuyPrice=C;
> SellPrice=C;
> wcci=CCI(14);
> tcci=CCI(6);
> Ct=IIf(wcci>0,1,0);
> sct1=Sum(Ct,8);// # of times in last 8 bars
CCI was >0
> sct2=Sum(Ct,2);// # of times in last 2 bars
CCI was >0
>
> Buy= sct1>=7 AND sct2==2// 7 or more of
last 8 CCI bars must be >0
AND
> last 2 must be >0
> AND wcci>Ref(wcci,-1) AND
Ref(wcci,-1)<=Ref(wcci,-2) AND
> Ref(wcci,-2)<=Ref(wcci,-3)// CCI bounce
> AND LLV(wcci,3)>=-100 AND
HHV(wcci,3)<=100;// CCI bounce occurs
> between +/- 100
>
> Sell=wcci<=Ref(wcci,-1)// declining or
flat CCI
> OR Cross(0,wcci)// CCI crosses below zero
line
> OR tcci<=Ref(tcci,-1)// declining or flat
TCCI
> OR Cross(wcci,tcci);// TCCI crosses below CCI
>
> SetOption("MaxOpenPositions", 20 );
> PositionSize = -5;
>
> --- In amibroker@xxxxxxxxxxxxxxx, Anthony
Abry <abry@xxxx> wrote:
> > I was wondering if any of you have ever
coded Woodie's CCI zero
line
> > reject into AB.
> >
> > As a first step to learn some coding I
am currently trying to do,
> >
> > If CCI(14) has been positive for 6 bars
then buy. Sell when CCI
> > declines.
> >
> > The next step would be, if CCI(14) has
been positive for 6 bars,
and
> has
> > been above 100 and has retraced back
below 100 and then turns up
> again,
> > then buy.
> >
> > I have tried many variations - all of
which show me I am not fit
for
> > programming.
> >
> > Any help appreciated ......
> >
> > Anthony Abry
>
>
>
>
>
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