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Dan
maybe you should ask the creator of this himself ( Clyde Lee
<clydelee@xxxxxxx> )
Clyde's good people -
fletch
Dan wrote:
> The following indicator was posted on the Omega reflector today. Another
> fellow back tested it with good results. Has anyone worked out the
> Metastock equivalent? There are some features of the following Omega
> formulas I'm not familiar with. Following this is some backtest info.
>
> ------------------------------------
> "One method of getting around some of the problems of the
> Parabolic and yet retaining much of what is good about
> the Parabolic was suggested by Andrew Abraham in a recent
> issue of TAS&C.
>
> If as termed, "Trend Finder" , is true then this certainly
> should provide a very good STOP point in a trade.
>
> A 21 day period for ATR and a multiplier of 3 works out well
> on almost ALL time periods of data. (I use it on 30 minute
> bars and daily bars). What this does with OEX 30 minute data
> is unbelievable.
>
> I have called this LeeX4 in my scheme of things just to note
> that it is a bit different than originally proposed.
>
> Clyde Lee
> { *******************************************************************
> Study : Trend Finder (LeeX4)
> ast Edit : 8/7/98
> Provided By : Andrew Abraham (c) Copyright 1998
> Modified By : Clyde Lee (SYTECH/FuturesMagic) (c) Copyright 1998
> ********************************************************************
> }
> Inputs: ATRMult(NumericSimple),
> ATRLeng(NumericSimple);
>
> Vars: ATRVal(0),HHigh(H),LLow(L),Position(1),SAR(c);
>
> If ATRLeng<>0 then begin
>
> if High > HHigh then HHigh = High;
> if Low < LLow then LLow = Low;
>
> ATRVal = WAverage(TrueRange,ATRLeng);
>
> if Position = 1 then begin
> if Low <= SAR and Low[1] <SAR then Position = -1; {Reverse}
> end
> else begin
> if High >= SAR and High[1]>SAR then Position = +1; {Reverse}
> end;
>
> if Position = 1 then begin
> if Position[1] <> 1 then begin
> LLow = Low;
> HHigh = High;
> SAR = HHigh-ATRVal*ATRMult;
> end
> else begin
> SAR = HHigh[1]-ATRVal*ATRMult;
> If SAR[1]>SAR THEN SAR=SAR[1]*.9+SAR*.1;
> end;
> end
> else If Position < 0 then begin
> if Position[1] <> -1 then begin
> LLow = Low;
> HHigh = High;
> SAR = LLow+ATRVal*ATRMult;
> end
> else begin
> SAR = LLow[1]+ATRVal*ATRMult;
> If SAR[1]<SAR THEN SAR=SAR[1]*.9+SAR*.1;
> end;
> end;
> LeeX4 = SAR*Sign(Position);
> End
> Else LeeX4=C;
> - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -
>
> Here is some backtest info:
>
> Here's a bonehead system based on the indicator from Clyde Lee
> <clydelee@xxxxxxx>
>
> {LEE indicator tester}
> inputs: ATFMult(3),
> Delay(0),
> AvgLeng(21);
>
> Value1=AbsValue(LeeX4(ATFMult,AvgLeng));
>
> if l>value1 then exitlong {or sell} value1 stop;
> if l<value1 then buy value1 stop;
> {The End}
>
> And here's the exciting results. Sorry the spacing seems messed up.
>
> Trender SPNEW.TXT-Daily 10/11/84 - 10/14/98
>
> Performance Summary: All Trades
>
> Total net profit $ 439997.50 Open position P/L $ 1550.00
> Gross profit $ 691215.00 Gross loss $-251217.50
>
> Total # of trades 240 Percent profitable 60%
> Number winning trades 144 Number losing trades 96
>
> Largest winning trade $ 38552.50 Largest losing trade $ -20395.00
> Average winning trade $ 4800.10 Average losing trade $ -2616.85
> Ratio avg win/avg loss 1.83 Avg trade(win & loss) $1833.32
>
> Max consec. winners 12 Max consec. losers 8
> Avg # bars in winners 39 Avg # bars in losers 14
>
> Max intraday drawdown $ -59065.00
> Profit factor 2.75 Max # contracts held 7
> Account size required $ 97469.50 Return on account 451%
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