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<DIV><FONT color=#000000 size=2>All,</FONT></DIV>
<DIV><FONT color=#000000 size=2> I was going to try to
discuss all my MetaStock system tests today, but decided that wasn't practical
with this being Super Bowl Sunday <G>. Therefore I decided to
discuss my binary wave composite test since that's the one that's used with this
weeks pick of GMH. </FONT><FONT color=#000000 size=2>The basic idea behind
a MetaStock binary wave is to use if statements on several MetaStock indicators
and have them return plus one for a bullish indication, minus one for a bearish
indication, and zero for a neutral condition. Then you add them all up for
your binary wave indicator. I decided to format all my indicators so they
could be plotted as a histogram. For these indicators plotting as
histograms, positive is bullish and negative is bearish. To cut down on
whipsaws, I decided that over +5 would be bullish, under -13 would be bearish
and anything in between would be neutral. Therefore my binary wave
formulas are:<BR> BW2 Demand
Index<BR> If(Tema(DI(),21)
> 5,+1,If(Tema(DI(),21) < -13,-1,0))<BR> BW3
Linear Regression
Slope<BR>
If(Tema(10000*LinRegSlope(C,34)/C,34) >
5,+1,<BR>
If(Tema(10000*LinRegSlope(C,34)/C,34) <
-13,-1,0))<BR> BW4
CCI<BR>
If(Tema(CCI(21),21) > 5,+1, If(Tema(CCI(21),21) < -13,-
<BR>
1,0))<BR> BW5
ROC<BR>
If(Tema(ROC(C,21,%),21) > 2,+1,If(Tema(ROC(C,21,%),21) <
<BR>
-2,-1,0))<BR> BW6 Money
Flow<BR>
If(Tema(MFI(21),21)-50 >
5,+1,If(Tema(MFI(21),21)-50<BR>
< -5,-1,0))<BR> BW7
CMO<BR>
If(Tema(CMO(C,21),21) >
5,+1,If(Tema(CMO(C,21),21)<BR>
< -5,-1,0))<BR> BW8 VAR
ma<BR> If(Mov(C,21,VAR)
> Mov(C,55,VAR) AND
<BR> HHV(Mov(C,233,VAR),5)
= <BR>
HHV(Mov(C,233,VAR),13),+1,If(Mov(C,21,VAR) <
<BR> Mov(C,55,VAR) AND
LLV(Mov(C,233,VAR),5) =
<BR>
LLV(Mov(C,233,VAR),13),-1,0))<BR>The next formula just adds up the binary
wave.<BR> BW
Add<BR>
Fml("BW2") + Fml("BW3") + Fml("BW4") +
Fml("BW5") +<BR>
Fml("BW6") + Fml("BW7") + Fml("BW8")<BR>Next, I
decided to do something a little different. Since the whole purpose of
this test is to catch a trending stock, I decided to add an amplifier that would
get larger as the trend got stronger. Since I like Fibonacci numbers, I
decided to use Rsquared as a measure of trend strength and base my amplifier on
Fibonacci numbers. The formula I finally came up with after a lot of
tinkering follows.<BR> BW
Amplifier<BR>
If(RSquared(C,21) > 0.8,5,If(RSquared(C,21)
><BR>
0.6,3,If(RSquared(C,21) >
0.4,2,<BR>
If(RSquared(C,21)>0.2,1,0.5))))<BR>The last step in constructing the binary
wave was to decide on the smoothing and put it all together. Of course, I
used tema smoothing.<BR> Tema Binary Wave
Composite<BR> Periods :=
Input("Enter Tema Smoothing
<BR>
Periods",8,233,21);<BR> Tema(Fml("BW
Add")*Fml("BW Amplifier"),Periods) <BR>
<BR> The final step is to come up with a system test for
the Tema Binary Wave Composite. Remember, the binary wave is just made up
of a bunch of technical indicators that I give a +1 value when bullish, 0 when
neutral, and -1 when bearish. Then they are summed and smoothed. So
in general a positive value is bullish and a negative value is bearish.
Also a rising number is bullish and a falling<BR>number is bearish.
Therefore you could use a zero crossover to the upside as a buy signal and a
crossover to the downside as a sell signal. If you had a good algorithm,
you could also use a rise from a negative peak (or trough) as a buy signal and a
fall from a positive peak as a sell signal. I decided to use a 8 day
moving average of the BW with a crossover of the BW for my algorithm in an
attempt to get an early signal on a rise from a negative peak. It does
have the disadvantage of finding way too many peaks so I only use it as an
Alert. For confirmation I use the QStick function and a variable moving
average function.</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT><FONT size=2>
QStick was developed by Chande as a way to quantify candlesticks. Since
the difference between the open and close prices lies at the heart of
candlestick charting, QStick is simply a moving average of that
difference. Negative values of QStick correlate to black candlesticks,
positive values to white candlesticks. Since in general black candles are
bearish and white candles are bullish, this indicator can also be plotted as a
histogram and interpreted the same was as the Binary Wave. The formula
is:</FONT></DIV>
<DIV><FONT size=2> Periods := Input("Enter
Periods",1,233,34);<BR> Tema(Qstick(Periods),Periods)</FONT></DIV>
<DIV><FONT size=2> Now to get my open long signal I use
the ALERT signal with an 8 day vma BW crossover of the BW. Then to
actually get the signal, I have to have both the QStick rising and the 21 day
vma greater then the 55 day vma.</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2>Therefore my buy signal
became:<BR> Enter
Long<BR> Alert(Cross(Fml("Tema
Binary Wave Comp"), <BR>
Mov(Fml("Tema Binary Wave Comp"),8,S)),21)
AND<BR> HHV(Tema(Qstick(34),34),5)
= HHV(Tema(Qstick(34),34),13)
AND<BR> Mov(H,21,VAR) >
Mov(H,55,VAR)</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2> Since the market has an
upward bias, I wanted my sell signal to be more restrictive. Therefore
instead of trying to catch a fall from a positive peak as my sell alert, I
wanted a crossover of an optimized negative number. I still used QStick
and vma to confirm and also added that the close should be lower than yesterdays
low. </FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2>Therefore, my sell signal
became:<BR> Enter
Short<BR>
Alert(Cross(-opt2,Fml("Tema Binary Wave Comp")),8)
AND<BR> Tema(Qstick(34),34) <
-0.1 AND<BR> C <
Ref(L,-1)
AND<BR>
Mov(L,21,VAR) < Mov(L,55,VAR)</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2> Then I wanted exit
conditions that were less then full signal reversals. I decided that the
BW being less than a negative number would be my primary close long signal, but
I also wanted confirmation from other indicators. After a lot of trial and
error I used the following:<BR></FONT></DIV>
<DIV><FONT color=#000000 size=2> Close
Long<BR> Fml("Tema
Binary Wave Comp") < -opt1
AND<BR>
Tema(Qstick(34),34) < 0
AND<BR>
LLV(Mov(L,21,VAR),5) = LLV(Mov(L,21,VAR),13)</FONT></DIV>
<DIV><FONT color=#000000 size=2> </FONT></DIV>
<DIV><FONT color=#000000 size=2> Close
Short<BR> Fml("Tema
Binary Wave Comp") > 0
AND<BR>
Tema(Qstick(34),34) > 0.08<BR></FONT></DIV>
<DIV><FONT color=#000000 size=2>Finally I also used Fibonacci numbers for my
optimization:<BR> Opt 1: Min 3, Max 13, Step
5<BR> Opt 2: Min 3, Max 13, Step
5<BR> </FONT></DIV>
<DIV><FONT color=#000000 size=2> That's it. I'd
appreciate any comments, ideas, or suggestions for improvements. I'll try
to post my other tests in the next few weeks. I'm tweaking them as I go,
so I'll send a MetaStock import file with the revised tests to everyone on my
formula email list when I get done. <BR></FONT></DIV>
<DIV><FONT color=#000000 size=2>JimG</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2><BR></FONT> </DIV></BODY></HTML>
</x-html>From ???@??? Sun Jan 31 15:40:55 1999
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Message-ID: <009401be4d6b$8e223b00$8d2779c3@xxxxx>
From: "A.J. Maas" <anthmaas@xxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Subject: Re: New Patch 65to652
Date: Sun, 31 Jan 1999 22:35:09 +0100
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Doesn't ELWAVE uses the by DLWIN (previously) maintained MetaStock's
*DOP files along with the *DAT files ?
Think the New 652 Downloader does not automatically maintain them
anymore. So somewhere within the Downloaders' Settings......................
(or mayby even within the MSWIN settings)
Regards,
Ton Maas
ms-irb@xxxxxx
----- Original Message -----
From: <Kevin243@xxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: zondag 31 januari 1999 17:35
Subject: Re: New Patch 65to652
>I tried a download from Telescan with the new patch installed. It worked OK.
>My new Elwave software 4.1, which is supposed to work with Metastock files, no
>longer works. I sent them an email this morning.
>
>Kevin Campbell
>
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