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Thanks,
I will.
Dan
-----Original Message-----
From: fletch <fletchmo@xxxxxxx>
To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Date: Thursday, October 22, 1998 1:11 AM
Subject: Re: Metastock formulas for this Parabolic indicator?
>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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