Hello Bob,
I do not have access to the magazine right now. However, does the article have the WealthLab and StrataSearch extras.
With Regards,
Sanjiv Bansal
--- In amibroker@xxxxxxxxx ps.com, Bob Waits <bobwaits2@x ..> wrote:
>
> 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@x ..>
> To: amibroker@xxxxxxxxx ps.com
> 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@ .> 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.
> > > >
> > >
> >
>