|
PureBytes Links
Trading Reference Links
|
Hi Jim:
I entered your Tema Formula into the System Tester and have run it over a
number of stocks w/o getting any results. The Tester tells me it is going
to run 6 tests and when the "completed" window appears, the "Reports" button
is greyed out. Any ideas as to what I may be missing? Thanks.
Hans
-----Original Message-----
From: Jim Greening <JimGinVA@xxxxxxxxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Date: Wednesday, July 15, 1998 5:45 PM
Subject: Re: Tema
>CMA,
> I'll copy an old post below.
>
>Jim
>--------------------------------------
> The Rsquared, S/C,MFI test is based on linear regression.
>RSquared is a function that measures how strong a data array of given
>length is trending. A return of one correlates to a very strong trend
>in either direction. A return of zero correlates to no trend. I'm
>using it to tell me when there is no trend over the last 21 days, or
>that rsquared(C,21) is less than 0.15. Now that we have no trend, we
>would expect one to start in the next 5 to 13 days. If one does start
>we want to determine the direction and get in early. Therefore
>Rsquared is used as a trigger, using it as an ALERT function. With
>the ALERT given, if all the rest of the conditions are met any time
>within a 13 day period, the buy signal will be generated. I'm then
>using S/C and MFI to determine trend start and direction.
> S/C is nothing more than the normalized 34 day LinRegSlope of the
>close. I normalize it by dividing it by the close so charts are more
>directly comparable. I also multiply by 10000 just to get numbers
>between 0 and a few hundred. Finally I apply Tema smoothing to get a
>smoother plot. The theory is that if S/C is rising then a uptrend is
>in progress. If S/C is falling a down trend is in progress. I check
>this by making sure that tema(S/C) is larger than an optimized value
>(opt1) and is rising. I use the function HHV(X,5) = HHV(X,13) to
>check. This is just a quick way to determine if the most reason
>values of X have been rising. If the condition is met, then S/C is
>rising. Similarly if it met the condition LLV(X,5) = LLV(C,13) it
>would be falling.
> I double check the result by also making sure that MFI is also
>rising. When all conditions are met within 13 days of the alert, we
>get a buy signal. The converse is true for a sell signal. Since the
>market is biased upwards, I add two additional checks for the short -
>MFI less then 0 and the 55 day variable moving average falling. I
>close the positions when the trend has stopped. For the long position
>I check that the Tema(MFI) is below 0, the Tema(S/C) is below opt 1
>and a 55 day exp moving average is falling. Short positions tend to
>move faster, so I only look the 144 day moving aver to begin rising to
>close that position. The complete test follows:
>
>ENTER LONG:
>Alert(RSquared(C,21) < 0.15,13) AND
> Tema(10000*LinRegSlope(C,34)/C,34) > opt1 AND
> HHV(Tema(10000*LinRegSlope(C,34)/C,34),5) =
> HHV(Tema(10000*LinRegSlope(C,34)/C,34),13) AND
> HHV(Tema(MFI(55),55),5) = HHV(Tema(MFI(55),55),13)
>
>CLOSE LONG:
>
>Tema(MFI(55),55) - 50 < 0 AND
> Tema(10000*LinRegSlope(C,34)/C,34) < opt1 AND
> LLV(Tema(10000*LinRegSlope(C,34)/C,34),5) =
> LLV(Tema(10000*LinRegSlope(C,34)/C,34),13) AND
> LLV(Tema(MFI(55),55),5) = LLV(Tema(MFI(55),55),13)
>
>ENTER SHORT
>
>Alert(RSquared(C,21) < 0.15,13) AND
> Tema(10000*LinRegSlope(C,34)/C,34) < opt2 AND
> LLV(Tema(10000*LinRegSlope(C,34)/C,34),5) =
> LLV(Tema(10000*LinRegSlope(C,34)/C,34),13) AND
> LLV(Tema(MFI(55),55),5) = LLV(Tema(MFI(55),55),13) AND
> Tema(MFI(55),55) - 50 < 0 AND
> LLV(Mov(C,55,VAR),5) = LLV(Mov(C,55,VAR),13)
>
>CLOSE SHORT
>
>HHV(Mov(C,55,VAR),5) = HHV(Mov(C,55,VAR),13) AND
> Tema(MFI(55),55) - 50 > 0
>
>OPTIMIZATION:
>
>OPT1: Min=-34 Max=-8 Step=13
>OPT2: Min=-55 Max=-21 Step=34
>
>-----Original Message-----
>From: amc amc <cma6@xxxxxxxxx>
>To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
>Date: Wednesday, July 15, 1998 11:09 AM
>Subject: Tema
>
>
>>
>>To Jim Greening:Don't know if you have covered this, but can you
>>describe Tema S/C and Tema MFI (money flow index?), howconstructed
>>and how interpreted. Thanks, CMA
>>
>>
>>
>>_________________________________________________________
>>DO YOU YAHOO!?
>>Get your free @yahoo.com address at http://mail.yahoo.com
>>
>
>
>
|