Re: [amibroker] Re: Vortex Indicator, AmiBroker Email List Archive

Some of the other systems have done some backtesting and used it other indicators.

Wealthlab uses ATR Trailing stop. On S&P emini, the strategy was effective in entering and remaining in large trends and generated around $33,000 in profits trading two contracts 24 times in the past two years, not including slippage and commissions.

StrataSearch said the indicator was not very effective by itself on Nasdaq 100 stocks, but combining with other indicators the VI yielded more than 35% annual return with more than 65% profitable trades.

And TraderStudio said that the VI system was more profitable and higher Sharpe ratio than DMI on futures but the opposite on Nasdaq stocks.

From: Richard <richpach2@xxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Thu, December 31, 2009 10:07:38 PM
Subject: [amibroker] Re: Vortex Indicator

Hi "droskill",

I am a little confused by the rules as well. Sum(abs(.... )..) will never go below 0 and you can see it if you plot VIP or VIM.
As the result, he rules do not generate any Buy or Sell signals.
Buy=Cross(VIP, 1); seems to create some reasonable entries but this is not what the rules say.

Regards
Richard

--- In amibroker@xxxxxxxxx ps.com, "droskill" <droskill@xx .> wrote:
>
> The AB code is defined as:
> // Vortex Indicator
> // S&C Traders Tips Jan 2010
> period = Param("Period" , 14, 2 );
>
> VMP = Sum( abs( H - Ref( L, -1 ) ), period );
> VMM = Sum( abs( L - Ref( H, -1 ) ), period );
> STR = Sum( ATR( 1 ), period );
>
> VIP = VMP / STR;
> VIM = VMM / STR;
>
> Plot( VIP, "VI"+period+ "+", colorBlue);
> Plot( VIM, "VI"+period+ "-", colorRed );
>
> The system is defined as:
>
> - Go long when the VI (or Dmi) goes from less than zero to greater than zero.
> - Go short when the VI (or Dmi) goes from above zero to less than zero.
> - All trades are placed "next day market on open."
>
> That would translate to:
>
> SetTradeDelays( 1,1,1,1); // everything delayed 1 day
> Buy = VIP > 0 AND Ref(VIP,-1) < 0;
> BuyPrice = Open;
> Sell = VIP < 0 and Ref(VIP,-1) > 0;
> SellPrice = Open;
> Short = Sell;
> Cover = Buy;
>
> That should do it - I've not tested this but it should be close.
>
>
>
> --- In amibroker@xxxxxxxxx ps.com, Bob Waits <bobwaits2@> wrote:
> >
> > I have the magazine and the formula, but it is only for the oscillator and not for a trading system, which Tradestation and Nuroshell have provided. I was wondering if anybody has used this as a system and tested the validity of this indicator.
> >
> >
> >
> >
> >
> >
> > ____________ _________ _________ __
> > From: droskill <droskill@>
> > To: amibroker@xxxxxxxxx ps.com
> > Sent: Wed, December 30, 2009 8:15:57 PM
> > Subject: [amibroker] Re: Vortex Indicator
> >
> >
> > Here:
> >
> > http://www.traders. com/Documentatio n/FEEDbk_ docs/2010/ 01/TradersTips. html#TT4
> >
> > --- In amibroker@xxxxxxxxx ps.com, Bob Waits <bobwaits2@ ..> wrote:
> > >
> > > In the latest S&C magazine, there is a nice article on Vortex Indicator. While the formula for the indicator is listed in the magazine, I was wondering if anyone has written a code for turning this into a system and testing the validity of this indicator. The Tradestation and Nuroshell has code for an entry, exit and shorting strategies.
> > >
> > > Thanks.
> > >
> >
>