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First-rate code DParia thanks for sharing, at a glance it seems to be very responsive. Dickie Paria <babui@xxxxxxxxx> wrote:
How would like to trade a system that will make you rich beyond your
wildest dreams, lower your cholesterol and make you a better lover in
bed ?!! Don't think such a system exists !! then read on - my
sceptical friend........(afl code is below)
This system was revealed to me, this morning, as I was crossing 5th
Ave and 34th St...a bright white light shown down on me and I heard a
Voice - "O' Grasshopper - combine a smart money flow indicator with a
momemtum indicator". I asked - which indicators - there are so many
of them ? The Voice replied - "must you ask such stupid qts,
Grasshopper. There is only the FVE smart money indicator by Markos
Katsanos and the TSI momemtum indicator by William Blau. And...test
it only on volatile sectors".
Such revelations come only once in a blue moon - so I
put together
the system (after playing around with many buy/sell rules) and tested
it on all the stocks in the Biotech sector from Yahoo (I think about
a 100+ stocks) from 6/14/02 - 6/13/04. $10k equity, 50% margin, Long
only, $16 trade comm. Results - 25 trades, 15 winners and annual
return of 312%. Gotta be a fluke, I said. So, I tried it on the
same stocks from 6/14/04 - 6/13/05. Annual return 335% !!
Ok. there is a catch. There always is ! The buy/sell delays were
set to '0' (meaning buy/sell happened as soon as the conditions were
met). This system would work only for those folks with fancy
automated trading (through IB with AB).
What about the rest of us Grasshoppers who buy and sell on the open
with a 1 day trade delay ? Well, I re-tested and 6/14/02 - 6/13/04
and 6/14/04 - 6/13/05 showed annual returns of 28% and 26%
respectively. Respectable....I
guess.
What about other volatile sectors - you say ? Sheeet ! O'
Grasshoppers in training - must I do all the work ?
[Ok. Ok. So, I did exaggerate on the 'lowering cholesterol and being
better lovers in bed' but - hey - you can't ask for everything]
**************************************************************
// Money Flow Indicator - FVE by Markos Katsanos - almost identical
to proprietary TSV money flow indicator by Worden
Period = Param("Period for FVE", 22, 5, 80, 1 );
Coeff = Param("Coeff for Cutoff", 0.1, 0, 2, 0.01 );
intra=log(H)-log(L);
Vintra = StDev(intra, period );
inter = log(Avg)-log(Ref(Avg,-1));
Vinter = StDev(inter,period);
Cutoff = Coeff * (Vinter+Vintra)*C;
MF = C- (H+L)/2 + Avg - Ref( Avg, -1 );
VC = IIf( MF > Cutoff, V,
IIf( MF < -Cutoff, -V, 0 ));
FVE = 100 * Sum( VC, Period )/(MA( V, Period ) * Period );
// Momemtum Indicator by William Blau
TSI
= 100 * ( EMA( EMA( C - Ref( C, -1 ) ,25 ) ,13)
/ EMA( EMA( abs( C - Ref( C, -1) ),25 ), 13 ) );
// Plots for money flow and momentum indicators
Plot(TSI,"TSI",43,1); //Plots TSI line
PlotGrid(25,55); // shows white grid line for black background
PlotGrid(-25,-55); // same
Plot(EMA(TSI,7),"TSI signal",32,1); // Plots a 7 day EMA of TSI
Plot( FVE, "Modified FVE", colorRed, styleThick ); // FVE line is
shown in red
Plot (0,"",colorBlue,styleNoLabel); // shows a blue line through 0
RAD_TO_DEG = 180/3.1415926; // radians to degrees
LinRegAngleFVE = RAD_TO_DEG * atan( LinRegSlope( FVE, 22 ) ); //
calculates angle of money flow indicator
// Buy Rules
Buy = FVE > -10 AND FVE < 10 AND
LinRegAngleFVE > 30 AND
FVE > EMA( FVE, 5 ) AND EMA(FVE, 5) > EMA(FVE, 22) AND
LinRegSlope( C, 10 ) < Ref(C, -10 ) *0.6/100 AND
LinRegSlope( C, 10 ) > -Ref( C, -10 ) * 0.3/100 AND Cross( TSI, EMA(
TSI, 7 ) );
// Sell Rules
Sell = Cross (EMA (TSI, 7), TSI) OR LinRegAngleFVE < -20;
***************************************************************
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