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Hi,
Commenting only on the code structure; You can improve things by not
repeating the same calcuations unnecessarily.
Mike
// Stochastic Trend Filter
Periods = Param( "Periods", 15, 1, 200, 1 );
Ksmooth = Param( "%K avg", 50, 1, 200, 1 );
EMAKsmooth = EMA( C, Ksmooth );
PriorEMAKsmooth = Ref( EMAKsmooth, -1 );
StochKKsmooth = StochK( Periods, Ksmooth );
Plot( IIf( EMAKsmooth > PriorEMAKsmooth, StochKKsmooth, 0 ), "", 27 );
Plot( IIf( EMAKsmooth < PriorEMAKsmooth, StochKKsmooth, 0 ), "", 4 );
--- In amibroker@xxxxxxxxxxxxxxx, "Gerard Carey" <gcfinance@xxx>
wrote:
>
> The Stochastic Trend Filter
> A trader mate of mine asked me to create a stochastic filter for
him.
> He wanted one that would use stochastics to determine the character
> of the predominant trend.
> He wanted to do some backtesting, taking only (short-term) long
> trades when a stochastic filter showed the predominant trend was
> positive & only (short-term) shorts when it was negative.
> He uses stochos as an important part of his trading system.
> I'm sure he knows them upside down & inside out, so he obviously
just
> wanted somebody to take a fresh look, without any of his bias.
> After checking it out he reckons it's cool and works better than
what
> he used previously, tho he reckons there are nuances he wants to
> investigate further. So for him it's early days.
> Anyway here 'tis for your evaluation and edification.
> I trust it may be of value.
>
> Regards, good trading and have a good weekend,
> Gerard
>
> // Stochastic Trend Filter
> periods = Param( "Periods", 15, 1, 200, 1 );
> Ksmooth = Param( "%K avg", 50, 1, 200, 1 );
>
> Plot( IIf(EMA(C,Ksmooth)>Ref(EMA(C,Ksmooth),-1),StochK( periods ,
> Ksmooth),0),"",27) ;
> Plot( IIf(EMA(C,Ksmooth)<Ref(EMA(C,Ksmooth),-1),StochK( periods ,
> Ksmooth),0),"",4) ;
>
> /*
> INTERPRETATION
> So the deal is;
> NB. The Filter is designed for those taking relatively short term
> trades, say up to 15 bars max.
> When green line is on top the Predominant trend is positive, take
> only long signals, red on top then only shorts are allowed.
> That's it.
> Its rather simple construction belies the effort spent on its
> development.
> In short what I needed to do was to identify, in a general way, the
> trends a data series may contain, and then determin the specific
> trend ( the predominant one) that should be applied to a specific
> trading time frame.
> */
>
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