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<DIV><FONT color=#000000 size=2>Hi Jerry,</FONT></DIV>
<DIV><FONT color=#000000 size=2>I don't know if the right idea is cautious.. we
are at an extreme in Pe ...many of the world markets are in disorder...I would
like to point out... slightly breadth has improved... it had to have with these
moves.. but still my models are flashing caution.. My Sp 500 model is only 55%
invested... and I have a more aggressive OTC and it is also under invested..
50%.. </FONT></DIV>
<DIV><FONT color=#000000 size=2>the positives for the market are interest
rates... and seasonality... but breadth which is a forebarer of market action is
underpreforming.. </FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT size=2>This explemplifies why my matrix scales in and out.. the
picture isn't all that clear...and it is defensive... what I have learned over
the years.. by being defensive.. profits come... and losses are
minimized...</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>As far as your moving averages. it depends on your time
frame...I mix my daily with weekly ... so I don't get whipped around...and
combine it with Breadth.. sentiment and interest rate ideas... </FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>Thanks </FONT></DIV>
<DIV><FONT size=2>Andy Abraham cta</FONT></DIV>
<DIV><FONT size=2>Angus </FONT></DIV></BODY></HTML>
</x-html>From ???@??? Fri Dec 25 23:39:12 1998
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From: "Yngvi Hardarson" <hardy@xxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Subject: RE: Ruggiero's Trend Mode Rules
Date: Tue, 22 Dec 1998 10:04:24 -0000
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Thanks Tomasso!
I was aware of the big lag of the ADX. The Vertical Horizontal Filter (VHF)
seems much more responsive so I intend to adapt Ruggiero's rules to that
indicator.
Has anybody done this already?
Best regards,
Yngvi
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]
On Behalf Of Tommaso Galanti
Sent: 20. desember 1998 11:50
To: metastock@xxxxxxxxxxxxx
Subject: R: Ruggiero's Trend Mode Rules
<< File: bulletin5.htm >>
Yngvi,
give a look at the attached file, downloaded from Chuck LeBeau's site and
concerning ADX.
I also think visit the site http://www.traderclub.com is worth.
Happy Xmas to all.
Tommaso Galanti
Italy
galantit@xxxxxx
-----Messaggio originale-----
Da: Yngvi Hardarson <hardy@xxxxxxxxxx>
A: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Data: sabato 19 dicembre 1998 19.25
Oggetto: Re: Ruggiero's Trend Mode Rules
>Adam!
>
>Yes you are right but there is a bit more. I guess I should have posted the
>following along with my original message.
>
>Ruggiero's rules for trend mode quoting his table 4.9:
>1. If ADX crosses above 25, then the market is trending.
>2. If ADX crosses below 20, then the market is consolidating.
>3. If ADX crosses below 45 from above, then the market is consolidating.
>4. If ADX rises from below 10 on 3 out of 4 days, then the market will
start
>to trend.
>5. If a trend is based on rule 4, it remains in effect until the 5 day
>difference in ADX is less than 0.
>
>Ruggiero employs a 14 day ADX but that is based on T-Bonds data.
>Ruggiero suggest employing the above rules as a filter. Sounds quite
>sensible.
>
>However I'm not quite sure of the precise interpretation of his point 4 and
>therefore I guess my implementation of it is somewhat primitive.
>
>I make the indicator take the value +1 if trending, a -1 if consolidating
>according to the above criteria but I guess the zero is for the grey area
>inbetween. Anyway according to definition: If a market is not trending it
>must be consolidating. However the zero may contain additional useful
>information. I just have not experimented enough.
>
>Also Ruggiero suggests tweaking the threshold values but I have not
>experimented much on that. I guess that I'm a bit conservative with regard
>to optimization and I tend to give prior knowledge much greater value. Also
>I prefer parsimony.
>
>Thanks for your feedback Adam and if you come up with anything of interest
>I'd be interested to know.
>
>Best regards,
>Yngvi
>
>-----Original Message-----
>From: Von Hef <VonHef@xxxxxxxxxx>
>To: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
>Date: Saturday, December 19, 1998 2:52 PM
>Subject: Re: Ruggiero's Trend Mode Rules
>
>
>>Hello Yngvi ,
>>I find your indicator very interesting, perhaps (If you dont mind) would
>you
>>share
>>the strategy in using this indicator? I plotted it with the ADX and
noticed
>>that when
>>ADX is below 20 or ADX is declining (which indicates no or falling trend)
>>that your
>>indicator plotted "-1". When a trend broke out, yours showed a "0" or
>>"+1"......
>>what does the value "0" represent? Thanks for sharing!
>>
>> Best wishes,
>> Adam Hefner.
>> e-mail: VonHef@xxxxxxxxxx
>>
>>_____________________
>>-----Original Message-----
>>From: Yngvi Hardarson <hardy@xxxxxxxxxx>
>>To: Metastock list <metastock@xxxxxxxxxxxxx>
>>Date: Saturday, December 19, 1998 4:17 AM
>>Subject: Ruggiero's Trend Mode Rules
>>
>>
>>>Hi All!
>>>
>>>Has anybody experimented with Ruggieros Trend mode identification
strategy
>>>as described in table 4.9 in his Cybernetic Trading Strategies book?
>>>
>>>Below I have made an attempt to write down an indicator supposed to
employ
>>>his rules.
>>>
>>>periods:=Input("Periods?",1,63,14);
>>>If((ADX(periods)>25 AND (BarsSince(Cross(45,ADX(periods))) >
>>>BarsSince(Cross(ADX(periods),25)))) OR (ADX(periods) > 10 AND
>>>Ref(ADX(periods),-4)<10 AND (ADX(periods)-Ref(ADX(periods),-5)>0)), 1,
>>>If(ADX(periods)<20 OR ((BarsSince(Cross(45,ADX(periods))) <
>>>BarsSince(Cross(ADX(periods),25))) AND ADX(periods) < 45),-1,0))
>>>
>>>
>>>Comments or suggestions anybody?
>>>
>>>Regards,
>>>Yngvi
>>>
>>>
>>
>
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