Recursive Moving Trendline system

["Glen Wallace" <gcwallace@xxxxxxxx>]

Several months ago I adapted the Recursive Moving Trendline system described
in the Dec98 issue of Technical Analysis of Stocks & Commodities to a
MetaStock system.  I don't recall if anyone has posted the code and I have
been meaning to bring it up.  In any case, I would be happy to share it if
anyone is interested.

The system is basically a moving average crossover system used to identify
changes in trends.  It compares a Recursive Moving Trendline (which attempts
to predict tomorrow's price using an exponential moving average slope
calculation) to an Exponential Moving Average of the price plot.  A
crossover of the two lines triggers a buy or sell signal.  It might make a
useful addition for those who use a linear regression-based system.

Overall, it seems to identify trends and trend changes quite well, though
with the weak money management capabilities of MetaStock, it is difficult to
fine tune the system to avoid whipsaws during retracements.

I have attached a sample DJIA chart for the period from July to December.
The green line is a 10-day RMT and the red is a 10-day EMA.  In theory, one
buys when the green line crosses over the red, and sells when red crosses
over green.

Let me know if you want to try it out.  My only condition (aye, therein lies
the rub) is that you share your insights and improvements  --  particularly
money management enhancements  --  with the group.

Regards.




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