DBS in TS code

["Walter Lake" <wlake@xxxxxxxxx>]

Mark Etzkorn in Futures Magazine listed the following code for a "Dynamic
Breakout System" in
Futures Jan '98:

Inputs: Ceil(60), Flr(20);

Vars: X(0), Y(0), VarA(0), VarB(0), OldVarA(0);

Y = X; 

X = Stddev(Close,30);
ZDelta = (X - Y)/X;

If CurrentBar = 1 then VarA = 20

OldVarA = VarA;
VarA = OldVarA * (1 + ZDelta);
VarA = MaxList(VarA, Flr);
VarA = MinList(VarA, Ceil);
VarB = VarA * 0.5;

Buy tomorrow at Highest(High,VarA) stop;
Sell tomorrow at Lowest(Low,VarA) Stop;
ExitLong tomorrow at Lowest(Low, VarB) Stop;
ExitShort tomorrow at Highest(High, VarB) Stop;

- 0 -

The April issue of Tech Analysis of Stocks and Commodities (TASC) had a
long article starting on page 22 that appears to use a Channel Breakout
System. There are many charts indicating what the system looks like. Did
Metastock publish anything in the
"Traders Tips" section of TASC about how to program it?

Here are two out of three indicators that Futures magazine published in the
March 98 issue,
page 46, that are used with the DBS system. 

The first one is just an extension of the code listed above. 

The second one uses the same code but is shortened. It is placed in an
inner window and shows how many days are used in the daily calculation of
the variable channel length so that the volitility is clearly visible.

#1  Indicator Name: DBS-Break (or DBS-Breakout) charts the entry and exit
trigger levels plus the price action.

Inputs: Ceil(60), Flr(20);

Vars: X(0), Y(0), ZDelta(0), VarA(0), VarB(0), OldVarA(0), EntryL(0),
EntryS(0), ExitL(0), ExitS(0);

Y = X;
X = Stddev(Close,30);
ZDelta = (X-Y)/X;

If CurrentBar = 1 then VarA = 20;

OldVarA = VarA;
VarA = OldVarA*(1 + ZDelta);
VarA = MaxList(VarA,Flr);
VarA = MinList(VarA,Ceil);
VarB = VarA * 0.5;

EntryL = Highest(High,VarA);
EntryS = Lowest(Low,VarA);
ExitL = Lowest(Low,VarB);
ExitS = Highest(High,VarB);

Plot1(EntryL,"EntryL");
Plot2(EntryS,"EntryS");
Plot3(ExitL,"ExitL");
Plot4(ExitS,"ExitS");


#2  Indicator Name: DBS-Day (i.e., DBS-Days in Channel)
NOTE: This code is almost identical to #1 without the Entry & Exit lines
and the Plot lines, 
the Vars: is shortened and a different Plot1 is added at the end.

Inputs: Ceil(60), Flr(20);

Vars: X(0), Y(0), ZDelta(0), VarA(0), VarB(0), OldVarA(0);

Y = X;
X = Stddev(Close,30);
ZDelta = (X-Y)/X;

If CurrentBar = 1 then VarA = 20;

OldVarA = VarA;
VarA = OldVarA*(1 + ZDelta);
VarA = MaxList(VarA,Flr);
VarA = MinList(VarA,Ceil);
VarB = VarA * 0.5;

Plot1(VarA,"LookBack")

I believe the above is copied correctly from Futures magazine.

- 0 -


The following is Metastock's attempt to program the basic channel

enter the following formula "base" into the indicator builder. It
needs to have the name of base for your system test to work.

Base

If(Cum(1)<=31,1,(((Stdev(C,30)-Ref(Stdev(C,30),-1))/Stdev(C,30))+1)*PREV)

The next two formulas should be entered in the Enter Long and Enter Short
of a system test.

Enter Long

Cross(H,Ref(HHV(H,20)+Fml("base"),-1))

Enter short

Cross(Ref(LLV(L,20)-Fml("base",-1),L)

If you just want to look at the formulas on a chart enter the following
into the indicator builder and plot then on top of your chart.

Formula1
Ref(HHV(H,20)+Fml("base"),-1)
Formula2
Ref(LLV(L,20)-Fml("base"),-1)

Any assistance would be greatly appreciated

Walter Lake