|
PureBytes Links
Trading Reference Links
|
<x-html><!DOCTYPE HTML PUBLIC "-//W3C//DTD W3 HTML//EN">
<HTML>
<HEAD>
<META content=text/html;charset=iso-8859-1 http-equiv=Content-Type>
<META content='"MSHTML 4.72.3110.7"' name=GENERATOR>
</HEAD>
<BODY bgColor=#ffffff>
<DIV><FONT color=#000000 size=2>Help needed for formula wizards.</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2>I have coded the entry for the n-day breakout
system from Perry Kaufmann's "Trading Systems and Methods" as:
</FONT></DIV>
<DIV><FONT color=#000000 size=2>ENTER LONG:</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000
size=2>n:=20;<BR>nhigh:=Ref(HHV(H,n),-1);<BR>HIGH>nhigh AND CLOSE >
Ref(CLOSE,-1)</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2>I would like to be able to vary "n"
using a volatility multiplier like this one taken from Chande's "The New
Technical Trader",</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2>Stdev(C,20)/Mov(Stdev(C,20),5,S), so that,
ultimately "n" will equal 20*(<FONT color=#000000
size=2>Stdev(C,20)/Mov(Stdev(C,20),5,S)). </FONT></FONT></DIV>
<DIV><FONT color=#000000 size=2><FONT color=#000000
size=2></FONT></FONT> </DIV>
<DIV><FONT size=2>So far so good, but when I try to implement this into the
ENTER LONG Formula I get the following error message.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT color=#000000 size=2>"This variable or expression must contain
only constant data.", referring to the "n" in the
"nhigh" formula.</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT
size=2>n:=20*(Stdev(C,20)/Mov(Stdev(C,20),5,S));<BR>nhigh:=Ref(HHV(H,<FONT
color=#ff0000 face=Arial size=2>n</FONT>),-1);<BR>HIGH>nhigh AND CLOSE >
Ref(CLOSE,-1)</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>After pondering this I thought that maybe it was because the
"n" needed to be a whole number for this particular formula; after
all, it must be difficult to select a highest high value for a fractional
day. Therefore, I altered the formula thusly: </FONT></DIV>
<DIV><FONT size=2>n:=int(20*(Stdev(C,20)/Mov(Stdev(C,20),5,S))). I was
willing to accept that the program would round every decimal down.
Unfortunately, I received the same error. This makes little sense to me
since I can simply put n:= opt1 for as many days as I want and the formula works
just fine.</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>Any help with this little conundrum will be greatly
appreciated.</FONT></DIV>
<DIV><FONT size=2></FONT> </DIV>
<DIV><FONT size=2>Jeff</FONT></DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV>
<DIV><FONT color=#000000 size=2></FONT> </DIV></BODY></HTML>
</x-html>From ???@??? Sun Feb 27 16:29:39 2000
Return-Path: <majordom@xxxxxxxxxxxxxxxxxx>
Received: from listserv.equis.com (listserv.equis.com [204.246.137.2])
by purebytes.com (8.9.3/8.9.3) with ESMTP id HAA25689
for <neal@xxxxxxxxxxxxx>; Sat, 26 Feb 2000 07:02:00 -0800
Received: (from majordom@xxxxxxxxx)
by listserv.equis.com (8.8.7/8.8.7) id HAA28197
for metastock-outgoing; Sat, 26 Feb 2000 07:21:09 -0700
X-Authentication-Warning: listserv.equis.com: majordom set sender to owner-metastock@xxxxxxxxxxxxx using -f
Received: from freeze.metastock.com (freeze.metastock.com [204.246.137.5])
by listserv.equis.com (8.8.7/8.8.7) with ESMTP id HAA28194
for <metastock@xxxxxxxxxxxxxxxxxx>; Sat, 26 Feb 2000 07:21:06 -0700
Received: from hme0.mailrouter01.sprint.ca (hme0.mailrouter01.sprint.ca [207.107.250.16])
by freeze.metastock.com (8.8.5/8.8.5) with ESMTP id HAA04481
for <metastock@xxxxxxxxxxxxx>; Sat, 26 Feb 2000 07:35:47 -0700 (MST)
Received: from default (spc-isp-mtl-58-4-12.sprint.ca [149.99.137.12])
by hme0.mailrouter01.sprint.ca (8.8.8/8.8.8) with SMTP id JAA14037
for <metastock@xxxxxxxxxxxxx>; Sat, 26 Feb 2000 09:20:07 -0500 (EST)
Message-ID: <001b01bf8065$3eec77c0$0c896395@xxxxxxx>
From: "Walter Lake" <wlake@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
References: <001b01bf7e68$6c30cfa0$1ca294d1@xxxxxxx>
Subject: Re: AMRES Fx library
Date: Sat, 26 Feb 2000 09:24:51 -0500
MIME-Version: 1.0
Content-Type: text/plain;
charset="iso-8859-1"
Content-Transfer-Encoding: 7bit
X-Priority: 3
X-MSMail-Priority: Normal
X-Mailer: Microsoft Outlook Express 5.00.2919.6600
X-Mimeole: Produced By Microsoft MimeOLE V5.00.2919.6600
Sender: owner-metastock@xxxxxxxxxxxxx
Precedence: bulk
Reply-To: metastock@xxxxxxxxxxxxx
Status:
Sorry about the confusion
The API file is 35MB zipped ... unzipped it runs ~150MB with an additional
50+ workbooks and Word documents. Very interesting to be able to cross
compare the C++ and VB/VBA code.
The EXPO/Econometrics and EXPO/XPL are much more heavy duty. One of the
traders told me that they run about $500 to $600 per month. But, they'll do
real-time analysis on the fly.
Best regards
Walter
----- Original Message -----
From: "Walter Lake" <wlake@xxxxxxxxx>
To: "Metastock bulletin board" <metastock@xxxxxxxxxxxxx>
Sent: Wednesday, February 23, 2000 8:42 PM
Subject: AMRES Fx library
| Thanks for the emails.
|
| The easy way into more advanced work is probably through something like
the
| "Comprehensive Financial, Statistical Analysis & Graphics Software
Library"
| ... AMRES Fx library at http://www.marketsys.com/ for about $100US.
|
| The modules are programmed as add-ins and 14 workbooks for Excel ... plus
| identical modules coded in VB/VBA, Java + and C+ etc. The API file alone
is
| about 35MB so it's very interesting.
|
| It's very comprehensive with a 200 page manual. The modules pretty well
| cover everything that you can think of. The code is completely revealed
and
| can be adapted to whatever you would like. It has a nice time series
module
| with a GARCH workbook.
|
| Combine that with KyPlot and Demetra which both export and import data
very
| easily to Excel ... and you're in "business". Metastock can easily plot
all
| of your graphics and indicators once you've done the analysis.
|
| ==========
|
| For others: a simple explanation of "deterministic trend" is where the
| shocks are transitory and "stochastic trend" is where the shocks are
| permanent. But that's very simplistic ... so don't jump all over me for
lack
| of rigor. <G>
|
| Best regards
|
| Walter
|
|
|
|