> yes I understood the Kelly principle. The rules of the game
>determine the outcome, when you win you gain 200% when you loose you
>loose 100%, your optimal fraction in the wager should be 25% of your
>account.
It is interesting that I mainly live off my intuition
but I couldn't
arrive at the 25% intuitively.
RV had to give me the
math or I would never have figured it out.
(No wo/man is an
island!)
In fact if anything it defies 'common sense' and I had to get
out a
piece of paper and a calculator (spreadsheet) before I could believe
it.
Same with MM and Portfolio Management.
It would take me
a year full time to sit down and write the readers
digest version of Vince
et al, with diagrams and trade examples, but
I guarantee anyone who has
been around trading for years could easily
understand it and would say wow
(unless of course they are amongst
the 5% who already know what he was on
about).
>Doesn't Vince's optimal f use a prior history of trades to
>determine the optimal fraction?
Yes.
It uses iterative
trial and error (computer required).
It is biased to the worst loss
experienced during that period.... as
you know, worse losses might be just
around the corner.
It also trades off drawdown against higher
returns.
Most people tend to trade left of the optimum because of the
above.
>Seems to me that if you have something that works you just
need to
>make sure there is no possibility of being wiped out
A
lot of traders recommend around 2% fixed fraction to apply your
principle.
I understand that.
I am not advocating that
people go out and trade optF, rather, just
for them to get an
understanding of it and to have some good reasons
for why they stake the
way they do.
It isn't good enough for me to run at 2% FF just because
49/50
authors say that is what they do.
BTW
You can use
MonteCarlo instead of Vince .... they can both take you
to the same
conclusion.
I am trying to boil it all down to a couple of formulas so
it is
either easier to understand OR doesn't require the massive attack of
MCS.
My desire to see the trade series as Matrices is part of
it.... you
can see from my example that it would be very easy to calculate
the
arithmetic mean and standard dev for any trade series, or part
thereof, if AFL had some basic MatrixFunctions (RV uses GeometricMean
as his ObjectiveFunction and the GM is very easy to approximate from
the AMean and StDev .... no complex math required).
Based in what I
have in front of me so far I'm optimistic I can I do
it.
brian_z
--- In amibroker@xxxxxxxxxps.com,
"Edward Pottasch" <empottasch@...>
wrote:
>
> hi
Brian,
>
> yes I understood the Kelly principle. The rules of the
game
determine the outcome, when you win you gain 200% when you loose you
loose 100%, your optimal fraction in the wager should be 25% of your
account. It is a nice game to play with people who never heard of
it,
makes you look real clever. Doesn't Vince's optimal f use a
prior history
of trades to determine the optimal fraction? Seems to
me that if you have
something that works you just need to make sure
there is no possibility of
being wiped out and hope the stockmarket
is still there the next year
(which I am starting to doubt).
>
> regards, Ed
>
>
>
> ----- Original Message -----
> From: brian_z111
> To: amibroker@xxxxxxxxxps.com
> Sent: Saturday, January 31, 2009 9:44 AM
> Subject: [amibroker]
Re: Sell and Buy on different days
>
>
> Well, I wasn't at
the front of the queue when the maths
processors
> were being
installed.
>
> I mainly work on understanding the principles,
with a lot of help
> from Excel, and then apply the simplified
principles in my own
way.
>
> I do a lot of ad-libbing
because no one can provide us with a
> complete or persoanlised
answer.
>
> Looks like you are pretty happy with what you already
have at
your
> fingertips.
>
> For academic interest
only:
>
> Use a biased coin, that pays more on heads than
tails.
>
> If you bet on the toss, it seems obvious that you will
win, over
> time, if you bet on the outcome.
>
> However,
ff you flip the coin and bet all of your stake on heads
and
> it
comes up tails you have lost all o n the firs bet, so clearly
the
>
amount we bet each toss affects the end result.
>
> Kelly is the
maths used to calc the optimum stake for coin
tossing,
> where the
amount one or lost is always the same.
>
> It is no use for
trading.
>
> OptimalF calcs return the amount to stake when the
wins and
losses
> are not all the same.
>
> It is
actually the staking system that gets you back above the
water
>
line in the shortest possible time.
>
> On one hand it definitely
shows us where our stake high enough
> because there is no further gain
to be had from increasing it.
>
> On the other hand, trading at
optF usually means you will suffer
> large drawdowns and this has put a
lot of people off it.
>
> For a more comfortable drawdown a lof
of traders operate at less
that
> optimum.
>
> Note
that the maths isn't hard ... it's accepting the truth of it
and
>
then actually doing it that is the hard part.
>
> >Played with
clever ways to adapt the position size but never
seen it
> >work
for me. Complex portfolio type systems I do not like to
trade
>
>anymore
>
> It is easier than academia makes it look (Fund
Managers have an
> entirely different background and brief to
myself).
>
> I hope I have the time in the future to post some
easy methods.
>
> You are probably like me ... better of
practising than theorising.
>
> >the idea Andy posted is very
interesting and works remarkebly
well
> >for a long only system.
Seems this can be made into a stable
> >25%/year return system
without using compounding. Long only
systems
> >are far less
complex to execute in the practice.
>
> That's very generous of
you and Andy to discuss it publicly.
>
> I'll have another look
at it.
>
> Cheers,
>
> brian.
>
> ---
In amibroker@xxxxxxxxxps.com,
"Edward Pottasch" <empottasch@>
> wrote:
>
>
> > hi Brain,
> >
> > Have to admit I am not
smart enough for stuff Ralph Vince is
> talking about. Optimal f etc.
never really understood how to use
it
> (as if I understood it at
all). The Kelly principle is as far as
I
> got but how to use it in
trading? Money management which I used
when
> I was trading a
portfolio type EOD system was simply put 3% of
the
> account in
each trade and no margin. Played with clever ways to
adapt
> the
position size but never seen it work for me. Complex
portfolio
>
type systems I do not like to trade anymore, although the idea
Andy
> posted is very interesting and works remarkebly well for a long
only
> system. Seems this can be made into a stable 25%/year return
system
> without using compounding. Long only systems are far less
complex
to
> execute in the practice.
> >
> >
Would like to have a look in the kitchen how the real quants
> operate,
like Simons of the Renaissance Hedge fund. The guy is a
> mathematician
but I believe these days these guys make money by
> simple making the
market. If you make the market you know where
it is
> heading :)
> >
> > regards, Ed
> >
> >
>
>
> >
> >
> > ----- Original Message -----
> > From: brian_z111
> > To: amibroker@xxxxxxxxxps.com
> > Sent: Saturday, January 31, 2009 5:05 AM
> > Subject:
[amibroker] Re: Sell and Buy on different days
> >
> >
> > Mike and Ed,
> >
> > Thanks for your
feedback.
> >
> > You guys sure got me thinking.
>
>
> > Thanks for your perserverance also .... I realise that my
tenses
> are
> > wobbling and the logic fades in and out
a little ... my work
> contains
> > more errors than it would
if I wrote the book formally.
> >
> > A little more ..
> >
> > ....referencing my previous matrix
example.
> >
> > My comments so far have assumed that the
trade samples are
> > independent.
> >
> > If we
had 100 Eq at the end of day 3 then the outcome, after
day
> >
four, would equal the mean of the GF's for each simultaneous
> trade
> > e.g.
> >
> > ... going back to the future ...
on day 4 we take option 1 ...
> record
> > the result and
then go back and take option 2 etc, being
careful
> to
>
> do everything exactly the same except for the X,Y,Z
selection ...
> > then compare:
> >
> > day 4
> > eq
100
> >
> > GrowthFactor, Eq
> >
> > X
1.05, 100 -> 105
> > Y 0.98, 100 -> 98
> > X 1.02,
100 -> 102
> >
> > ave GF == 1.016repeat, ave eq ==
101.6 repeat
> >
> > OR nominally, in the time warp, we had
300 and now have 305
> >
> > and 305/300 == GF 1.016repeat
for the period
> >
> > If they are independent trades then
we throw them in the bucket
> with
> > the a -> i
samples.
> >
> > a -> i and X,Y,Z are just time markers,
like buttons on a game
> board,
> > and we have to turn them
over to find their trade value.
> >
> > If we do that a
massive number of times, tending to oo, the
> outcome,
> >
for each box in the matrix, will tend to the mean value of all
> >
trades ... even on day four, which will just approach the mean
> more
> > quickly than the other time slots.
> >
> >
(if we want to imagine this we can picture the 10 box matrix
> >
repeating itself end to end infinitely and the trades falling
> into
> > the empty boxes sequentially ... since time is constant there
is
> no
> > reason not to do this ... it is the values in
the boxes that
have
> > variance and are non-stationary and not
the sample space).
> >
> > The proof is that after massive
sampling, if we transpose the
> indexed
> > array back and
stack the 10 box submatrices on top of each
other,
> and
>
> then average the columns + calc the StDev, they would all be
the
> mean
> > trade +- variance
> >
> > Note
that since the trade samples do not necessarily have a
> normal
> > dist we need to do some random sampling first, and then apply a
> > distribution to the newly selected sample space, which produces
a
> > kind of psuedo mean distribution for the trade sample set
(MCS
> just
> > does this for us automatically so we tend not
to notice that
step
> > whereas in BS I do that first).
>
>
> > Considering correlation of simultaneous trades:
>
>
> > - using EOD as the simplest example (in any case trades
must be
> on
> > the same bar or they would not be
simultaneous)
> > - trading long only (a bull system)
> > -
it might happen that on a market bull day you get more
signals
>
and
> > more wins
> >
> > day. 1, 2, 3, 4
>
> market. bear, bear, bear, bull
> > P or L. loss, loss, loss, 10
trades all win
> >
> > So we are up 10/3 wins/losses but
the market itself is 1/3
> >
> > Looking at the staking if
you bet fixed fraction:
> >
> > - losing some eq
initially,
> >
> > bet. 110,105,100 then 100/10 is bet on
each trade and the
outcome
> is
> > the ave result of the
10 trades.... as an aside this needs to
be
> ave
> > ==
10% to get us back to the start eq of 110.
> >
> >
Effectively we have achieved the result of the ave trade i.e.
it
>
is
> > as if we only made one trade in real terms.
> >
> > So, if correlation , between simultaneous trades, exists then
we
> > could count it as one trade and only throw one win in the
freq
> dist
> > bin and give it a value of the ave trade for
the bar.
> >
> > On the other hand, the reverse could hold
i.e. on market bear
> days we
> > could get 10 signals that
are all losses to our bull system,
and
> thus
> > happily
balance the books.
> >
> > We also have to ask ourselves,
"Why not just trade the market
and
> not
> > worry about
correlation"?
> >
> > It is also possible that
horizontal correlation (dependency)
can
> > occur in the trade
matrix ... RalphVince gives the calcs to
> handle
> > that
situation in his books... certainly on google as well.
> >
>
> BTW I agree with you that we need to think about the
implications
> of
> > the BT alphabetically selecting symbols to trade and
being
bound
> by
> > eq limits.
> >
>
> --- In amibroker@xxxxxxxxxps.com,
"brian_z111" <brian_z111@>
> wrote:
> >
>
> > > O.K Mike ... you live and learn :-)
> > >
> > > Possibly correlation, or NOT, of simultaneous trades to the
> market,
> > > or sector, is a related subject ... didn't
discuss that
detail
> in
> > > relation to my X,Y
& Z example .. that is where trade sample
> space
> >
> anlaysis can provide the answer.
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxps.com,
"Mike" <sfclimbers@> wrote:
> > > >
> >
> > --- In amibroker@xxxxxxxxxps.com,
"brian_z111"
<brian_z111@>
> > wrote:
> >
> > >
> > > > > > In any case it could be traded
if you organise your
funds
> in
> > > such
>
> > > a
> > > > > >way that all symbols in your
list can be held
> simultaneously.
> > > > >
>
> > > > That isn't really practical and we can calculate very
> accurate
> > > > > predictions, subject to
variance and non-stationarity,
> before
> > we
> >
> > risk
> > > > > our money.
> > > >
> > > > Why impractical? I have been doing exactly that,
profitably,
> for
> > > just
> > > >
under 2 years. There is much room for experimentation in
> exactly
> > > how
> > > > the funds get distributed among
the signals. But, even a
> simple
> > > equal
>
> > > division of equity between all signals (up to a fixed
maximum
> > > > percentage of equity per trade in the
event that there are
> few
> > > > signals) can prove
profitable when applied to a strategy.
> > > >
> >
> > Mike
> > > >
> > > >
> >
> > > >there are a lot of additional problems that arise like
an
> > > > uncomplete
> > > > >
>database during testing
> > > > >
> > >
> > You can't get a good result out of a bad database....
just
> > avoid
> > > > > trades were you can't get the
data you need.
> > > > >
> > > > >
> > > > > >Not sure if a random selection on an extended
list for
> testing
> > > > > >purposes is
reliable. Who knows in the practice you will
> find
> > >
that
> > > > > >the signals that come early during the
trading session
> usually
> > > are
> > >
> > >loosers. This could be tested however using intraday
data,
> > > > >
> > > > >
>
> > > > Yes it is reliable, in fact it is the only way that it
can
> be
> > > done.
> > > > >
> > > > > Returning to the example in my previous
post:
> > > > >
> > > > > a b c X d e f g
h i
> > > > > a b c Y d e f g h i
> > > >
> a b c Z d e f g h i
> > > > >
> > > >
> The XY & Z samples were produced by the same system (same
>
> rules)
> > > as
> > > > > the a -> i
samples, so they are part of the same series
and
> > share
> > > > the
> > > > > same profile
(frequency distribution and probabilities).
> > > > >
> > > > > If you have a list of trades for an EOD system
and then
> want to
> > > find
> > > > >
out if the intraday time affects the result then you are
> > ranking
> > > > your
> > > > > daily signals using
an intraday factor and you have to
add
> at
> > >
least
> > > > > one more trading rule to do that.
>
> > > >
> > > > > This is effectively a new
system and it will produce its
> own
> > > trade
>
> > > > series , with it's own characteristics.
> > >
> >
> > > > > As always, if we do analyse the trade
sample space, we
have
> to
> > > make
> >
> > > sure we are left with enought samples to provide a valid
> sample.
> > > > >
> > > > > NEW
RULE == NEW SYSTEM == NEW AND UNIQUE TRADE SERIES
> > > > >
> > > > >
> > > > > --- In amibroker@xxxxxxxxxps.com,
"Edward Pottasch"
> > <empottasch@>
> > >
> > wrote:
> > > > > >
> > > > >
> In any case it could be traded if you organise your
funds
> in
> > > such
> > > > a
> > > > >
way that all symbols in your list can be held
> simultaneously.
> > > EOD
> > > > > systems are tricky though
since there are a lot of
> additional
> > > > >
problems that arise like an uncomplete database during
> testing
> > > > (ENRN,
> > > > > WCOM etc missing),
no shorts available during trading.
Not
> sure
> > >
if a
> > > > > random selection on an extended list for
testing purposes
> is
> > > > > reliable. Who knows
in the practice you will find that
the
> > > signals
>
> > > > that come early during the trading session usually are
> loosers.
> > > This
> > > > > could
be tested however using intraday data,
> > > > > >
> > > > > > regards, Ed
> > > > > >
> > > > > >
> > > > > > -----
Original Message -----
> > > > > > From: Mike
>
> > > > > To: amibroker@xxxxxxxxxps.com
> > > > > > Sent: Thursday, January 29, 2009 10:32
PM
> > > > > > Subject: [amibroker] Re: Sell and Buy on
different days
> > > > > >
> > > > >
>
> > > > > > Ha ha.
> > > > > >
> > > > > > Just goes to show how people can get tunnel
vision
> > sometimes.
> > > > > Since I
>
> > > > > do a lot of custom backtester code, I immediately
> suggested
> > > > > filtering
> > >
> > > at that level.
> > > > > >
> >
> > > > But, your suggestion of a random value for
PositionScore
> > > > directly
> > > >
> > would be far easier and less prone to coding error.
> >
> > > >
> > > > > > Mike
> > >
> > >
> > > > > > --- In amibroker@xxxxxxxxxps.com,
"Edward Pottasch"
> > > > <empottasch@>
>
> > > > > wrote:
> > > > > > >
>
> > > > > > you are right on this Mike. Testing a system
like
this
> > > using a
> > > > > >
random positionscore is a good indication if it can be
> made
>
> > into
> > > > > a
> > > > >
> system that can be used in the practice. Andy has an
idea
>
> > that
> > > > is
> > > > > >
tough to execute but not impossible in my opinion,
> > > > >
> >
> > > > > > > regards, Ed
> > >
> > > >
> > > > > > >
> > >
> > > >
> > > > > > >
> > >
> > > >
> > > > > > > ----- Original
Message -----
> > > > > > > From: Mike
> >
> > > > > To: amibroker@xxxxxxxxxps.com
> > > > > > > Sent: Thursday, January 29, 2009 8:37
PM
> > > > > > > Subject: [amibroker] Re: Sell and Buy
on different
days
> > > > > > >
> > >
> > > >
> > > > > > > Andy,
> >
> > > > >
> > > > > > > Use caution
when backtesting EOD strategies where
there
> > are
>
> > > > more
> > > > > > > signals than
there are funds or positions to be
filled;
> > > > >
> >
> > > > > > > If your strategy is to buy
OCA, what logic are you
> > putting
> > > in
>
> > > > > place to
> > > > > > >
determine which symbol to buy when multiple symbols
hit
> > >
your
> > > > > limit
> > > > > > >
order on the same bar?
> > > > > > >
> >
> > > > > Since you are using EOD data, you have no idea which
> > symbol
> > > > > would
> > >
> > > have
> > > > > > > hit the limit order
first. You only know that x of y
> > > symbols
> > >
> > hit
> > > > > > the
> > > >
> > > limit order on that day.
> > > > > > >
> > > > > > > AmiBroker will just select the first in
the list
> > > > > (alphabetically?
> > > >
> > ). As
> > > > > > > such, your backtest
results will be heavily biased in
> > favor
> > > of
> > > > > > that
> > > > > > >
ordering and will not reflect live trading results.
> > > >
> > >
> > > > > > > Generally, PositionScore
can be used to influence
> > ordering.
> > > > >
But,
> > > > > > an
> > > > > >
> OCA approach by definition does not follow
>
PositionScore.
> > > > > > >
> > > >
> > > So, you might want to modify your custom backtester
>
code
> > to
> > > > > > randomly
> >
> > > > > select from the available signals and set the
remaining
> > > ones
> > > > to
> >
> > > > > PosSize 0 in order to override the default
>
> prioritization.
> > > > Then
> > > > >
> run
> > > > > > > your backtest many times and
take the average of the
> > > results
> > > > as
> > > > > a
> > > > > > best
>
> > > > > > guess estimate (i.e. Monte Carlo
Permutations)
> > > > > > >
> > > >
> > > Mike
> > > > > > >
> > >
> > > > --- In amibroker@xxxxxxxxxps.com,
Andrew Senft
<senft@>
> > > wrote:
> > >
> > > > >
> > > > > > > > Hey
Ed,
> > > > > > > >
> > > > >
> > > Thank you so much for the code on the Amibroker
Yahoo
> > > group
> > > > > > board!
>
> > > > > > It
> > > > > > > >
seems to be working from what I've seen so far. I'm
> > doing
> > > an
> > > > > > > > optimization
on that particular code (your first
> code)
> > > right
> > > > > > now.
> > > > > > >
>
> > > > > > > > The second code (the one from
your email) didn't
> work.
> > > That
> > >
> > is,
> > > > > > > there
> > >
> > > > > were sales of one stock and buy of another stock on
> the
> > > same
> > > > > > day.
> > > > > > > Not
> > > > > >
> > sure what your code was doing but it gave a lot
> bigger
> > > > > profits
> > > > > > using
> > > > > > > the
> > > > > >
> > backtester. Could you comment on this please?
> > > >
> > > >
> > > > > > > > Mind you that
this is my first attempt to writing
> code
> > > for
> > > > > any
> > > > > > stock
> > > > > > > > type software. I'm still using the
30 day free
trial
> of
> > > the
> > >
> > > > Amibroker
> > > > > > > >
software but I think that I'm getting closer as I'm
> > >
chugging
> > > > > > along.
> > > > >
> > >
> > > > > > > > My agenda is to use
this on a basket of ETF's.
> Perhaps
> > 10
> >
> to
> > > > > 20
> > > > > > >
or
> > > > > > > > so. Not sure how many I need
since the 30 day trail
> > > > backtests
> > >
> > up
> > > > > > > to a
> > >
> > > > > basket of 5 stocks. My idea is to place the
possible
> > > stock
> > > > > > trades
> > > > > > > > using the whole basket of ETF
stocks at night for
the
> > > next
> > > >
> > trading
> > > > > > > > session. I have
an IB account so I figure I could
use
> > an
> > >
OCA
> > > > > > limit
> > > > > >
> > order. Basically whenever a trade gets hit first
> (meets
> > > the
> > > > > > limit
> >
> > > > > price
> > > > > > > >
level), it trades. The other possible trades all
get
> > >
> canceled
> > > > > > right
> > > >
> > > > away. So one trade actually goes through for the
day.
> > > > > > > >
> > > >
> > > > BTW, I like ETF's because the drawdowns are not as
> > > scary....
> > > > > > okay,
>
> > > > > > > usually not as scary. Ha! I've been
backtesting
with:
> > > > > > > >
> >
> > > > > > QQQQ, DIA, SPY, MDY, IWM
> > > >
> > > >
> > > > > > > > Thank you
again!
> > > > > > > >
> > > > >
> > > Andy
> > > > > > > >
> >
> > > > > > Edward Pottasch wrote:
> > > >
> > > > >
> > > > > > > > >
Andy,
> > > > > > > > >
> > > >
> > > > > I have sent an alternative solution to your
private
> > > Email.
> > > > > Let
> > > > > > me
> > > > > > >
know
> > > > > > > > > if you received
it.
> > > > > > > > >
> > > >
> > > > > Ed
> > > > > > > > >
> > > > > > > > >
> > > > >
> > > >
> > > > > > > > > -----
Original Message -----
> > > > > > > > > *From:*
Andy <mailto:senft@>
> > > > > > > >
> *To:* amibroker@xxxxxxxxxps.com
> > > > > > > <mailto:amibroker@xxxxxxxxxps.com>
>
> > > > > > > > *Sent:* Thursday, January 29, 2009
12:40 PM
> > > > > > > > > *Subject:*
[amibroker] Re: Sell and Buy on
> different
> > >
days
> > > > > > > > >
> > > >
> > > > > This is got to be a very simple task but
>
> unfortunately
> > > > > > > AmiBroker
told
> > > > > > > > > me that I would have to
write Backtester
Interface
> > code
> > > > for
> > > > > > > this. I'm
> > > > >
> > > > sure this has been done a million times. Anyone
>
have
> > > > sample
> > > > > > >
code?
> > > > > > > > > I'm using EOD data to
trade one stock at a time
> from
> > a
> > >
> > basket
> > > > > > > of
> > >
> > > > > > stocks. The problem is that a selling of a stock
> can
> > > occur
> > > > > on
>
> > > > > > the
> > > > > > > >
> same day as a buy of *another* stock. Of course
the
> >
> > problem
> > > > > is
> > > > >
> > that
> > > > > > > > > the sell trade
can occur after the buy trade.
> > > > > > > >
>
> > > > > > > > > --- In amibroker@xxxxxxxxxps.com
>
> > > > > > > >
<mailto:amibroker%40yahoogroups.com>, "Andy"
>
<senft@>
> > > > wrote:
> > > > > >
> > > >
> > > > > > > > > > How
do I fix the below code so it doesn't buy a
> > > > different
> > > > > > > stock on a
> > > > >
> > > > > sell day?
> > > > > > > >
> >
> > > > > > > > > >
------------------------------------------------
--
>
--
> > --
> > > --
> > > > > > >
> > > // Backtester Options
> > > > > > >
> > > SetOption("MaxOpenPositions", 1 );
> > >
> > > > > > > SetOption("AllowSameBarExit",
False);
> > > > > > > > > >
> > >
> > > > > > > // Optimization numbers
> > >
> > > > > > > BuyPeriod =
Optimize("BuyPeriod",16,10,20,2);
> > > > > >
> > > > BuyFactor =
Optimize
("BuyFactor",1.2,0.5,1.5,.1);
> > > >
> > > > > > SellPeriod =
Optimize("SellPeriod",20,10,20,2);
> > > > > >
> > > > SellFactor = Optimize
>
("SellFactor",0.8,0.5,1.5,.1);
> > > > > > >
> > >
> > > > > > > > > > // ATR
formulas
> > > > > > > > > > TodaysBuyTarget
= High - BuyFactor * ATR
> (BuyPeriod);
> > > > > >
> > > > YesterdaysBuyTarget = Ref(High,-1) - BuyFactor *
>
> > > > > > > > Ref(ATR(BuyPeriod),-1);
>
> > > > > > > > > YesterdaysSellTarget =
Ref(Low,-1) + SellFactor
*
> > > > > > > > >
Ref(ATR(SellPeriod),-1);
> > > > > > > > >
>
> > > > > > > > > > // Buy/Sell signals
and prices
> > > > > > > > > > Buy =
YesterdaysBuyTarget > Low;
> > > > > > > > >
> BuyPrice = IIf(YesterdaysBuyTarget > Open, Open,
> >
> > > > > > > YesterdaysBuyTarget);
> >
> > > > > > > > Sell = YesterdaysSellTarget <
High;
> > > > > > > > > > SellPrice =
IIf(YesterdaysSellTarget < Open,
Open,
> > > > >
> > > > YesterdaysSellTarget);
> > > > >
> > > > > Buy = ExRem(Buy,Sell);
> > > >
> > > > > > Sell = ExRem(Sell,Buy);
> > >
> > > > > > >
> > > > > > > >
>
> > > > > > > > >
> > > >
> > > > >
--------------------------------------------------
--
>
--
> > --
> > > --
> > > > > > >
------
> > > > > > > > >
> > > >
> > > > >
> > > > > > > > > No
virus found in this incoming message.
> > > > > > >
> > Checked by AVG - http://www.avg.com
> > > >
> > > > > Version: 8.0.176 / Virus Database:
270.10.15/1921
-
> > > > Release
> > > > > > Date:
> > > > > > > 1/28/2009 6:37 AM
> > >
> > > > > >
> > > > > > > >
>
> > > > > > > >
> > > > >
> >
> > > > > >
> > > > >
>
> > >
> > >
> >
>