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[amibroker] Re: Zweig 4% Rule/System



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DM,

I don't think it matters if you stipulate Fri or not.

Fri Close is the *default* close for weekly bars.

In 2006 only one week did not close on a Fri (public holiday?) in the 
US market (4/13/2006 was a Thursday weekly close).

I think that if you accepted the weekly close for all weeks your 
backtests would not be adversely affected.

The only week that is compromised is the current week, so for 
backtesting if you set the range to avoid the current week you should 
be OK.

If you are in weekly bars that would leave you with:

sell = C < HHC(C,52) * 0.96;

If you are using daily bars:

WC = TimeFrameCompress(Close,inWeekly);

sell = WC < HHV(WC,52) * 0.96;

WC code courtesy of Ami AFL reference.

BrianB2

--- In amibroker@xxxxxxxxxxxxxxx, Dave McLeod <dmcleod1981@xxx> wrote:
>
> I am trying to code the Zweig 4% reversal system but I am not 
catching on as to how to limit the buys and sells from each week.
>    
>   Your supposed to buy if the Close drops 4% below the HHV of the 
last 52 weeks and buy if the Close is greater than the LLV of the 
last 52 weeks based on Fridays close.  
>    
>   Here is what I have so far.
>    
>   DOW=DayOfWeek()==5;
>   Hi=HHV(Close,52);
>   Lo=LLV(Close,52);
>   VBuy = Close*1.04>=Ref(Lo,-1) AND DOW;
>   VSell = Close*.96<=Ref(Hi,-1) AND DOW;
>   Buy = ExRem(VBuy,VSell);
>   Sell = ExRem(VSell,VBuy);
>    
>   This buys and then sells each week. I am obviously not using 
exrem correctly and it still buys weekly wether I have DOW in or out.
>    
>   If someone could point out my mistakes that would be great.
>    
>   Thanks
>   DM
> 
>  
> ---------------------------------
> We won't tell. Get more on shows you hate to love
> (and love to hate): Yahoo! TV's Guilty Pleasures list.
>




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