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Graham or anyone, I have a question about the
following code:
When I use code 2 on my database I generate trades
which do not meet the criteria that is, volume
required. What exactly could be going on behind the
scenes, because the code allows trades with less than
10000000 volume to get through. When I test 1. , the
code works fine, but I found the return goes way down
compared to the 2. coe, volume for the single day
only. I can't figure out why this is.
1. MA (Volume,10) > 20000000
2. Buy = Open > 1.00 AND Volume > 10000000 AND ....
System Code:
Length = Optimize("Length", 50, 1, 100, 1);
Change = Close - Ref(Close, -1);
intraChange = Close - ((H + L) / 2);
PlusChange = IIf(Change > 0 AND intraChange > 0,
Change +
intraChange, 0);
MinusChange = IIf(Change < 0 AND intraChange < 0,
-Change -
intraChange, 0);
BSPC0 = BarsSince(PlusChange == 0);
BSMC0 = BarsSince(MinusChange == 0);
PlusCF = Sum(PlusChange, BSPC0);
MinusCF = Sum(MinusChange, BSMC0);
PlusTCF = Sum(PlusChange - MinusCF, Length);
MinusTCF = Sum(MinusChange - PlusCF, Length);
//MA (Volume,10) > 2000000
Buy = Open > 1.00 AND Volume > 10000000 AND
PlusTCF > 0 AND Cross ( MACD (12,26), Signal
(12,26,9)) OR Cross( MA( Close, 154 ), MA( Close, 384
));
Sell = MinusTCF > 0 OR Cross( MA( Close, 200
), EMA( Close, 20 ) );
Plot(PlusTCF, "PlusTCF", colorGreen, 1);
//Plots PlusTCF line
Plot(MinusTCF, "MinusTCF", colorRed, 1);
//Plots MinusTCF line
Plot (0, "", colorBlue, styleNoLabel);
// shows a blue line through 0
PlotGrid( 25, 55); // shows white grid line for black
background
PlotGrid(-25,-55); // same
//Stops
TrailStopAmount = 16 * ATR( 10 );
ApplyStop( 2, 2, TrailStopAmount, 2 );
//Position Sizing Algorithm
Capital= 100000;
MaxTrade = Ref(Equity(),-1) * 0.30;
MaxTrade = Equity() * 0.30;
MinTrade = Equity() * 0.07;
riskPS = (.015 * Capital)/(BuyPrice *
(TrailStopAmount/500)) * BuyPrice;
PositionSize = Min(MaxTrade, riskPS);
Thanks,
Eric
--- Graham <kavemanperth@xxxxxxxxx> wrote:
> Buy = MA (Volume,-20) > 10000000l is incorrect
> unless you are trying
> to calculate moving average into the future, not
> even certain it does
> calculate anything printable
>
> try using
> Buy = MA (Volume,20) > 10000000
>
>
> Volume > 10000000 means on that particular single
> bar the volume value
> MA(Volume,20) is the average of the volumes over
> past 20 bars
>
> On 8/10/05, eric paradis
> <thechemistrybetweenus@xxxxxxxxx> wrote:
> > I am using the following code as part of my buy
> > statement. What is the difference between the
> > statement with the moving average and volume by
> > itself? It can't be volume for a single bar,
> because
> > during testing, the system bought shares on stocks
> > with about 200,000 volume a day. Is there a
> default
> > period that volume uses? I cannot find the
> information
> > in my User Guide. Thanks for the help.
> >
> > Buy = MA (Volume,-20) > 10000000
> >
> >
> > Buy = Volume > 10000000
> >
> > __________________________________________________
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> >
> >
> >
> >
> >
> >
> >
> >
>
>
> --
> Cheers
> Graham
> AB-Write >< Professional AFL Writing Service
> Yes, I write AFL code to your requirements
> http://e-wire.net.au/~eb_kavan/ab_write.htm
>
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