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Me too. I get pulled this way and that by other priorities. Problem is,
after being away from it for a few days it takes time to get my head back
where I left off. I'm eager to get this producing signals at the right time
and getting out quick when a mistake is made, so I can build an Expert and
paper trade it in real time. Once the basic system's built it will provide
the foundation for any other indicator(s) based system.
Thanks for all your great input Dave. I'll post my results.
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of David DeFina
> Sent: Tuesday, January 23, 2001 3:41 PM
> To: metastock@xxxxxxxxxxxxx
> Subject: RE: BUY/SELL Trigger question
>
>
> Thanks Dave, I've been out for a while. I'll work on trying
> this with my
> system.
>
> ddefina@xxxxxxxxxxxx
>
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On
> Behalf Of Dave Nadeau
> Sent: Jan 19, 2001 11:05 PM
> To: metastock@xxxxxxxxxxxxx
> Subject: RE: BUY/SELL Trigger question
>
> Dave and Bill,
>
> The short answer to this question is yes and no: Yes this
> can be programmed
> in MetaStock's Formula Language, and no, I don't believe this
> can be done in
> the system tester.
>
> I often use the system tester to look at "pieces" of my
> trades, like Al's
> recent message about testing an entry with a fixed 3 day
> exit. Once I find
> all of the pieces that I want, I will usually build several custom
> indicators including an equity line that will take the place
> of the system
> tester.
>
> More specifically to your question: To first get a custom
> indicator to show
> whether you are long or short is your starting point. If you
> are basing a
> system off of an indicator's action, then it's a fairly
> straight forward
> matter.
>
> I will use an example of a stochastic. The fast stochastic
> crosses the slow
> stochastic(or trigger).
>
> FAST:=Stoch(5,3);
> SLOW:=Mov(FAST,3,S);
> {Defines your Signal and Trigger lines respectively}
>
> {Long Signal}
> LNG:=Cross(FAST,SLOW);
> {Short Signal, note the sign convention that I'm establishing}
> SHT:=-1*Cross(SLOW,FAST);
>
> {Now here's the function which identifies if you are long or short}
> POSITION:=If(BarsSince(LNG=1)<=BarsSince(SHT=-1),1,-1);
>
> This is the fairly simple stop and reverse case. You can add some
> complexity to this by defining some exit condition for the
> short or long
> position. In keeping with the BarsSince() methodology, you
> would just add
> in some additional IF() statements which return zero instead
> of +1 or -1.
>
> Now that you have the POSITION function created in your
> custom formula, you
> can haul out the very useful "ValueWhen() function. For
> example, to find
> the price that you entered your trade, you could use
> something like ....
> LONGENTRY:=ValueWhen(1,Cross(POSITION,0.5),OPEN or CLOSE);
> and similarly for
> a SHORTENTRY.
>
> This last ValueWhen assignment operates off of the action of
> the POSITION
> indicator that you have built previously. When your system goes long,
> POSITION goes to +1, then when you stop and reverse, it goes
> to -1. With
> some other exits, it will go to zero in between.
>
> Now that I think about this, here is a point where you can
> use the system
> tester. Once you have all of the above defined, go to the
> System Tester and
> under the Long Entry tab, you can enter
>
> FmlVar("Your custom formula name","POSITION")=1 AND
> Ref(FmlVar("Your custom
> formula name","POSITION"),-1)<>1
>
> Your Long Exit tab would be
> C>=FmlVar("Your custom formula name","LONGENTRY")+Stdev(C,9)
>
> and likewise for the short side.
>
> There are some drawbacks to the above. First of all, you can
> see that you
> might have another long signal that the System Tester would
> miss if you exit
> early with a quick profit and the POSITION indicator hasn't
> reset down to
> zero or -1. Also, you have to enter or exit on the OPEN or
> CLOSE of the bar
> using the System Tester.
>
> If you wanted to take this a step further, you could continue
> with your
> Custom Indicator and create your exits like we created the LNG and SHT
> positions. Something like
> LNGEXT:=C>=LONGENTRY+Stdev(C,9);
>
> Then if LGNEXT=1, you'd exit on the OPEN or CLOSE.
>
> Because your exits are built from a value triggered by the
> original POSITION
> indicator, it would be recursive and very problematic if you
> used these
> variable assignments (i.e. LNGEXT) in your POSITION
> indicator. How to solve
> this? Just create a second indicator made up of the long
> exits. Something
> like If(BarsSince(LNGEXT=1)<=BarsSince(LNG+SHT<>0),-1,0). So
> you can see
> that when you add this indicator which has triggered an exit
> to the POSITION
> indicator which is still showing long, a +1 and a -1 will give you a
> resultant of zero--i.e. no position. Again, similar logic
> for the short
> side.
>
> The resultant sum of the two indicators, say it's called
> TOT_POSITION could
> be used directly in the System Tester or you could take the
> next step and
> create an equity curve in the custom indicator and run an
> Exploration to
> give you performance results over a whole portfolio of stocks.
>
> I hope this answers your question and wasn't tooooooooo long winded.
>
> Dave Nadeau
> Fort Collins, CO
>
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On
Behalf Of Bill Irwin
Sent: Friday, January 12, 2001 1:34 PM
To: metastock@xxxxxxxxxxxxxxxxxx
Subject: RE: BUY/SELL Trigger question
Excellent idea Dave! I'll eagerly await the suggestions. It can be a
battle developing a system which doesn't require constant babysitting while
you watch how it works on each stock.
Bill
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of David DeFina
Sent: Wednesday, January 10, 2001 11:33 AM
To: metastock@xxxxxxxxxxxxx
Subject: BUY/SELL Trigger question
Is there a way to program the system tester to know when a trade is
currently long or short, and to base decisions based on that trades entry
price? I want to program an exit point to equal the "entry price" + say the
standard deviation of the previous 9 bars. This would give you say 40 entry
price + 6 dollars standard deviation for an exit price of $46.
My system, which works quite well, uses a profit stop of 12% to exit
trades. This obviously works only on highly volatile stocks. I would like
to have the system automatically determine achievable profit goals based on
historical volatility of the stock, in order to have it work on stocks with
varying betas.
Is there a way to program profit stops that are dependant on stock
volatility, and avoid using arbitrary points or percentages in the profit
stop tab?
Thanks,
David DeFina
ddefina@xxxxxxxxxxxx
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