|
Duke,
Thank you for running the formula....would you be so kind as to run
the formula for Long only....or does the formula have to be edited ?
....
Also, you mention stops....is the maximum stop loss on initial
purchase set to 10 % ?....if not could you set it to 10
%...
Is there any provision in the formula to plot something on a
chart ? ...if there is could you attach a chart ?....
Thank you
Anthony
Ps. I appreciate your time....thank you very much.
----- Original Message -----
Sent: Saturday, March 12, 2005 7:20
PM
Subject: Re: [amibroker] Re: OT: convert
Wealth lab fromula to Amibroker
Anthony, I don't know if I am at the stage of being able to
convert it to AFL yet but here is what it looks like with 5% equity initial
positions and the defined stops in the code.
The list is a random
sampling of securities between lg cap small cap etc. The data runs from 01 to
Nov 04.
Regards,
Duke Jones, CMT
-------Original
Message-------
> From: "Anthony Faragasso"
<ajf1111@xxxxxxxx>
> Subject: Re: [amibroker] Re: OT: convert
Wealth lab fromula to Amibroker
> Sent: 12 Mar 2005
18:49:40
>
> Hello Jim,
>
> It is
not a joke, I am not familiar with Wealth lab coding....
>
> This formula is supposed to represent Jesse Livermore's trading
rules / style....
>
> I was / am interested in
testing it...
>
> Thanks
>
Anthony
>
> ----- Original Message
-----
> FROM: jnk1997
> TO:
amibroker@xxxxxxxxxxxxxxx
> SENT: Saturday, March 12, 2005
1:30 PM
> SUBJECT: [amibroker] Re: OT:
convert Wealth lab fromula to Amibroker
>
> Anthony,
>
> That looks like a lot of
work (or is it a joke?).
> Anyway's perhaps someone
would be willing if you published the WL
> stats, like win rate
etc.....
> If somone does, please post it
here.
>
> Regards
> Jim
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Anthony
Faragasso"
> wrote:
> > Anyone able to convert
this wealth lab formula to Amibroker ?
>
>
> > Thank you
> > Anthony
>
> var Bar : integer;
> > var
SecondaryRally, NaturalRally, SecondaryReaction, DnTrend
:
> float;
> > var ResumeUpTrend,
ResumeDnTrend, UseRule10 : boolean;
> > var
Thresh , threshold, HalfThresh ,NaturalReaction,
>
NaturalRallyBL, NaturalReactionRL, UpTrendRL, UpTrend,
DnTrendBL :
> float;
> > var
MA10_10, MA10_Now , State,
ATRvalue :
integer;
> > var PtsPctATR, tradetrends
: integer;
> > { Install AutoStops
}
> > {InstallStopLoss( 12 ); }
>
> threshold := 2;
> > PtsPctATR
:= 2; {0=Points, 1=Precent,
2=ATR}
> > tradetrends :=
1; {0=trends and reactions, 1=trends
only}
> > {State = 0
Uptrend }
> > {State = 1
Dntrend }
> > {State =
2 NatRally}
> > {State =
3 SecRally}
> > {State =
4 NatReact}
> > {State =
5 SecReact}
> > if (PtsPctATR =
0) then
> > begin
>
> Thresh :=
threshold;
> > HalfThresh
:= thresh/2;
> >
end;
> > for Bar := 1 to 21 do
>
> begin
> > if (Bar = 1)
then
> > begin
>
>
AddCommentary('Init');
> >
SecondaryRally := PriceClose(bar);
>
> NaturalRally :=
PriceClose(bar);
> > UpTrend
:= PriceClose(bar);
>
> SecondaryReaction :=
PriceClose(bar);
> >
NaturalReaction := PriceClose(bar);
>
> DnTrend :=
PriceClose(bar);
> >
ResumeUpTrend := false;
>
> ResumeDnTrend :=
false;
> > UseRule10 := false;
{if true try/test futures only}
>
> end;
> > if
(Bar begin {1}
>
> MA10_Now := SMASeries( #Close, 10
);
> > MA10_10 :=
SMASeries( OffSetSeries( #Close, -10 ), 10 );
> >
>
>
> > if (Bar = 21)
then
> > begin {2}
>
>
> > if @MA10_Now[Bar] >
@MA10_10[Bar] then
>
> begin
>
>
AddCommentary('InUpTrend');
>
> State := 0;
>
> UpTrend :=
PriceClose(bar);
> >
end
> >
else
> >
begin
> >
AddCommentary('InDnTrend');
>
> DnTrend :=
PriceClose(bar);;
> >
State := 1;
> >
end;
> > end {2}
>
> end; {1}
> >
end;
> >
> > {Main
Loop}
> > for Bar := 22 to BarCount - 1
do
> > begin {3}
> >
>
> if (PtsPctATR = 1) then
>
> begin
>
> Thresh := threshold *
(PriceClose(bar-1)/100);
> >
HalfThresh := Thresh/2;
> >
end
> > else if (PtsPctATR = 2)
then
> > begin
>
> Thresh := threshold * ATR(Bar,
14);
> > HalfThresh
:= Thresh/2;
> >
AddCommentary('ATR thresh ' + FloatToStr(Thresh));
>
> AddCommentary('State '
+ IntToStr(State));
>
> AddCommentary('Price ' +
FloatToStr(PriceClose(bar)));
>
> AddCommentary('Nat Reaction '
+ FloatToStr(NaturalReaction));
>
> end;
>
> case State of
>
> 0:
> > {
If InUpTrend then}
>
> begin {4}
>
> if (PriceClose(bar)
> (NaturalReaction + Thresh)) then
>
>
NaturalReactionRL := NaturalReaction; {Rule 4b}
>
>
AddCommentary('InUpTrend');
> >
>
> if
ResumeUpTrend then { Rule 10 logic. }
>
>
begin {6}
>
>
if (PriceClose(bar) > (UpTrendRL + HalfThresh))
then
>
>
begin
>
>
ResumeUpTrend := false; {Rule 10a}
>
>
State := 4; {InNatReact}
>
>
NaturalReaction := PriceClose(bar);
>
>
UpTrend := PriceClose(bar);
>
>
end
>
>
else if (PriceClose(bar) < (UpTrendRL - HalfThresh))
>
then
>
>
begin
>
>
ResumeUpTrend := false; {Rule 10b}
>
>
State := 4; {InNatReact}
>
>
NaturalReaction := PriceClose(bar);
>
>
end;
>
>
end {6}
>
>
else if (PriceClose(bar) < (UpTrend - Thresh)) then
>
{start NaturalReaction}
>
>
begin {Rules 4a, 6a}
>
>
State := 4; {InNatReact}
>
>
UpTrendRL := UpTrend; {pivot point, rule 8}
>
>
NaturalReaction := PriceClose(bar);
>
>
ResumeUpTrend := false;
>
>
end
>
>
else if (PriceClose(bar) > UpTrend) then {remain in
> uptrend
higher high price}
>
>
UpTrend := PriceClose(bar);
>
>
end; {4 InUpTrend}
>
> 2:
>
> {Natural Rally
State}
>
> begin
{7}
> >
>
>
if (PriceClose(bar) > (NaturalReaction + thresh))
then
>
>
NaturalReactionRL := NaturalReaction; {Rule 4b}
>
>
if (PriceClose(bar) > UpTrend) then {resume
UpTrend}
>
>
begin {rules 6d, 6f}
>
>
State := 0; {InUpTrend}
>
>
AddCommentary(' Set to InUpTrend');
>
>
UpTrend := PriceClose(bar);
>
>
if UseRule10 then ResumeUpTrend := true;
>
>
end
>
>
else if (PriceClose(bar) > (NaturalRallyBL +
>
HalfThresh)) then
>
>
begin {Rules 5a}
>
>
AddCommentary('Set to InUpTrend');
>
>
State := 0; {InUpTrend}
>
>
UpTrend := PriceClose(bar);
>
>
if UseRule10 then ResumeUpTrend := true;
>
>
end
>
>
else if (PriceClose(bar) < DnTrend) then {Start
>
DnTrend}
>
>
begin {Rule 6b}
>
>
AddCommentary('InNatRally start dntrend');
>
>
State := 1; {InDnTrend}
>
>
DnTrend := PriceClose(bar);
>
>
NaturalRallyBL := PriceClose(bar); {rule 4D}
>
>
end
>
>
else if (PriceClose(bar) < (NaturalRally - Thresh))
>
then
>
>
begin
>
>
if (PriceClose(bar) < NaturalReaction) then
> {start
Natural Reaction}
>
>
begin {rule 4d, 6b}
>
>
State := 4; {InNatReact}
>
>
AddCommentary('InNatRally start nat
> reaction');
>
>
NaturalReaction := PriceClose(bar);
>
>
NaturalRallyBL := PriceClose(bar); {rule 4D}
> {Pivot pt,
Rule 9b}
>
>
end
>
>
else {start secondaryreaction}
>
>
begin {rule 6h}
>
>
AddCommentary('InNatRally start sec
> reaction');
>
>
State := 5; {InSecReact}
>
>
SecondaryReaction := PriceClose(bar);
>
>
end;
>
>
if (PriceClose(bar) > NaturalRally) then
>
>
NaturalRally := PriceClose(bar);
>
>
AddCommentary(' none of the above');
>
>
end;
>
>
end; {7 InNatRally}
>
>
3: { Secondary Rally State}
>
>
begin
>
>
if (PriceClose(bar) > UpTrend) then
>
>
begin {rules 6d, 6f}
>
>
AddCommentary('InSecRally');
>
>
State := 0; {InUpTrend}
>
>
UpTrend := PriceClose(bar);
>
>
if UseRule10 then ResumeUpTrend := true;
>
>
end
>
>
else if (PriceClose(bar) > (NaturalRallyBL +
>
halfthresh)) then
>
>
begin {rules 5a}
>
>
State := 0; {InUpTrend}
>
>
UpTrend := PriceClose(bar);
>
>
if UseRule10 then ResumeUpTrend := true;
>
>
end
>
>
else if (PriceClose(bar) > NaturalRally)
then
>
>
begin {rule 6g}
>
>
State := 2; {InNatRally}
>
>
NaturalRally := PriceClose(bar);
>
>
end
>
>
else if (PriceClose(bar) < DnTrend) then
> {start
DnTrend}
>
>
begin {rule 6b}
>
>
State := 1; {InDnTrend}
>
>
DnTrend := PriceClose(bar);
>
>
NaturalRallyBL := PriceClose(bar); {rule
> 4d, pivot pt,
rule 9b}
>
>
end
>
>
else if (PriceClose(bar) > SecondaryRally)
> then {record
higher high}
>
>
SecondaryRally := PriceClose(bar); {rule
> 3,
6g}
>
>
end; {InSecRally}
>
>
{ DOWN TREND STATE}
>
>
1:
>
>
begin {9}
> >
>
>
if (PriceClose(bar) < (NaturalRally - Thresh))
>
then
>
>
NaturalRallyBL := NaturalRally; {rule 4d}
>
>
if ResumeDnTrend then {Rule 10 logic best works
> with
futures}
>
>
begin
>
>
if (PriceClose(bar) < (DnTrendBL -
> HalfThresh))
then
>
>
begin
>
>
ResumeDnTrend := false; {rule 10a}
>
>
DnTrend := PriceClose(bar); {rule 2, 6b}
>
>
end
>
>
else if (PriceClose(bar) > (DnTrendBL +
> HalfThresh)) then
{DnTrend Over}
>
>
{return to NaturalRally}
>
>
begin
>
>
AddCommentary('return to NaturalRally');
>
>
ResumeDnTrend := false;
>
>
State := 2; {InNatRally}
>
>
NaturalRally := PriceClose(bar);
>
>
end;
>
>
end
>
>
else if (PriceClose(bar) > (DnTrend +
> Thresh))
then {Start NaturalRally}
>
>
begin { rules 4c, 6c}
>
>
AddCommentary('return to NaturalRally');
>
>
State := 2; {InNatRally}
>
>
NaturalRally := PriceClose(bar);
>
>
DnTrendBL := DnTrend; {Pivot Pt, Rule 8}
>
>
ResumeDnTrend := false;
>
>
end
>
>
else if (PriceClose(bar) < DnTrend) then
> {remain in
down trend, record lower lows}
>
>
DnTrend := PriceClose(bar); {Rule 2, 6b}
>
>
end; {9 InDnTrend}
>
>
4:
>
>
{ Natural Reaction State }
>
>
begin {Nat Reaction State}
>
>
if (PriceClose(bar) < (NaturalRally -
> Thresh))
then
>
>
NaturalRallyBL := NaturalRally; {Rule 4d}
>
>
if (PriceClose(bar) < DnTrend) then {resume
>
DnTrend}
>
>
begin {Rule 6b, 6e}
>
>
AddCommentary('InNatReact - InDnTrend1');
>
>
State := 1; {InDnTrend}
>
>
DnTrend := PriceClose(bar);
>
>
if UseRule10 then ResumeDnTrend := true;
>
>
end
>
>
else if (PriceClose(bar) <
> (NaturalReactionRL - halfthresh
)) then
>
>
{resume DnTrend}
>
>
begin {rules 5b}
>
>
AddCommentary('InNatReact - InDnTrend2');
>
>
State := 1; {InDnTrend}
>
>
DnTrend := PriceClose(bar);
>
>
if UseRule10 then ResumeDnTrend := true;
>
>
end
>
>
else if (PriceClose(bar) > UpTrend) then
>
{start UpTrend}
>
>
begin {rule 6d}
>
>
AddCommentary('InNatReact - InUpTrend1');
>
>
State := 0; {InUpTrend}
>
>
UpTrend := PriceClose(bar);
>
>
NaturalReactionRL := PriceClose(bar);
> {rule 4b, pvt point,
rule 9c}
>
>
end
>
>
else if (PriceClose(bar) >
> NaturalReaction +
Thresh) then
>
>
begin
>
>
if (PriceClose(bar) > NaturalRally)
> then {start
Natural Rally}
>
>
begin {rules 4b, 6d}
>
>
State := 2; {In Nat Rally}
>
>
NaturalRally := PriceClose(bar);
>
>
NaturalReactionRL := PriceClose
> (bar); {rule 4b, pvt point,
rule 9c}
>
>
end
>
>
else {start SecondaryRally}
>
>
begin {rule 6g}
>
>
State := 3; {In Sec Rally}
>
>
SecondaryRally := PriceClose(bar);
>
>
end;
>
>
end
>
>
else if (PriceClose(bar) <
> NaturalReaction) then {remain
in NaturalReaction , record lower lows}
>
>
NaturalReaction := PriceClose(bar);
> {rule 3, 6a,
6b}
>
>
end; {InNatReact}
>
>
5:
>
>
begin
>
>
AddCommentary('InSecReact');
>
>
if (PriceClose(bar) < DnTrend) then
> {resume
DnTrend}
>
>
begin {rules 6b, 6e}
>
>
State := 1; {InDnTrend}
>
>
DnTrend := PriceClose(bar);
>
>
if UseRule10 then ResumeDnTrend := true;
>
>
end
>
>
else if (PriceClose(bar) <
> (NaturalReactionRL -
halfthresh)) then
>
>
begin {rules 5b}
>
>
State := 1; {InDnTrend}
>
>
DnTrend := PriceClose(bar);
>
>
if UseRule10 then ResumeDnTrend := true;
>
>
end
>
>
else if (PriceClose(bar) > UpTrend) then
> {start
UpTrend}
>
>
begin {rules 6d}
>
>
State := 0; {InUpTrend}
>
>
UpTrend := PriceClose(bar);
>
>
NaturalReactionRL := PriceClose(bar);
> {rule 4b, pivot point,
rule 9c}
>
>
end
>
>
else if (PriceClose(bar) <
> NaturalReaction)
then
>
>
begin {rules 6h}
>
>
State := 4; {InNatReact}
>
>
NaturalReaction := PriceClose(bar);
>
>
end
>
>
else if (PriceClose(bar) <
> SecondaryReaction) then {record
lower lows}
>
>
SecondaryReaction := PriceClose
> (bar); {rule
6h}
>
>
end; {InSecReact}
>
>
else
>
>
begin
>
>
AddCommentary('Never get here! ');
>
>
end;
>
>
end;
> > { Paint it }
>
> case State of
>
> 0:
>
> begin
>
> SetBarColor( Bar, #blue
);
> > end;
>
> 1:
>
> begin
>
> SetBarColor( Bar, #Red
); {Down Trend}
>
> end;
>
> 2:
>
> begin
>
> SetBarColor( Bar, #Black
);
> > end;
>
> 3:
>
> begin
>
> SetBarColor( Bar, #Green
);
> > end;
>
> 4:
>
> begin
>
> SetBarColor( Bar, #yellow
);
> > end;
>
> 5:
>
> begin
>
> SetBarColor( Bar, #purple
);
> > end
>
> else
>
> AddCommentary('not
important to show! ');
> > end;
> >
if (tradetrends = 1) then
> > { Trend Rules
}
> > begin
>
> if (State = 0) then
{uptrend}
> >
begin
> > if
(not lastpositionactive()) then
>
>
begin
>
>
buyAtMarket( Bar+1, 'LE');
>
>
end;
> > if
positionshort(lastposition) then
>
>
coverAtMarket( Bar+1,LastPosition, 'SXL');
>
> end;
> >
>
> if (State = 1) then
{downtrend}
> >
begin
> > if
(not lastpositionactive()) then
>
>
begin
>
>
shortAtMarket( Bar+1, 'SE');
>
>
end;
> >
if positionlong(lastposition) then
>
>
SellAtMarket( Bar+1, Lastposition, 'LXS');
>
> end;
> >
>
> end
> > else
>
> { Trend plus Rules = trade trends, rallies,
reactions}
> > begin
>
> if ((State = 0) or (State = 2) or
(State = 3)) then
>
> begin
>
> if (not
lastpositionactive()) then
>
>
begin
>
>
buyAtMarket( Bar+1, 'LE');
>
>
end;
> > if
positionshort(lastposition) then
>
>
coverAtMarket( Bar+1,LastPosition, 'SXL');
>
> end;
> >
>
> if ((State = 1) or (State = 4) or
(State = 5)) then
>
> begin
>
> if (not
lastpositionactive()) then
>
>
begin
>
>
shortAtMarket( Bar+1, 'SE');
>
>
end;
> >
if positionlong(lastposition) then
>
>
SellAtMarket( Bar+1, Lastposition, 'LXS');
>
> end;
>
> end;
> >
> >
end;
> >
> >
> > No virus found
in this outgoing message.
> > Checked by AVG
Anti-Virus.
> > Version: 7.0.308 / Virus Database: 266.7.2 -
Release Date: 3/11/2005
>
> Please note
that this group is for discussion between users
only.
>
> To get support from AmiBroker
please send an e-mail directly to
> SUPPORT {at}
amibroker.com
>
> For other support
material please check also:
> http://www.amibroker.com/support.html
>
> -------------------------
>
> No virus
found in this incoming message.
> Checked by AVG
Anti-Virus.
> Version: 7.0.308 / Virus Database: 266.7.2 - Release
Date: 3/11/2005
>
> Please note that this
group is for discussion between users only.
>
> To
get support from AmiBroker please send an e-mail directly to
>
SUPPORT {at} amibroker.com
>
> For other support
material please check also:
> http://www.amibroker.com/support.html
>
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-------------------------
> No virus found in this outgoing
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> Checked by AVG Anti-Virus.
> Version:
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-------Original
Message-------
Please note that this group is for
discussion between users only.
To get support from AmiBroker please
send an e-mail directly to
SUPPORT {at} amibroker.com
For other
support material please check also:
http://www.amibroker.com/support.html
No virus found in this incoming message.
Checked by AVG
Anti-Virus.
Version: 7.0.308 / Virus Database: 266.7.2 - Release Date:
3/11/2005
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
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