RE: Indicator System problem

["Sean Taylor" <cloudnine@xxxxxxxxxxxx>]

Roy,

Many many thanks for your time and effort.  This is extremely helpful.
I've taken a quick look over your changes and they all make very good sense.
I've got a 4 month old daughter which is great but can make it difficult to
find time at weekends to work on this.

Thanks again,
Sean

-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Roy Larsen
Sent: Saturday, June 30, 2001 4:29 PM
To: metastock@xxxxxxxxxxxxx
Subject: Re: Indicator System problem


Sean

Some more adjustments. I have moved the Ref() function from the Position
variable to each of the
entry/exit variables. This can be done directly which will also delay Init
by one bar, or by listing
the variable again and applying the Ref() which will not delay Init. In this
case when I apply Ref()
directly to the entry/exits the timing of some trades seems to be differ
from your original code,
but not others. I need to work through that issue still.

Note that Ref() is still applied to Position, but with the delay set to
zero.

To get around the Equity (late display) problem I created four new variables
that signal entry and
close for both long and short trades. By  substituting these for the Cross()
functions and adding in
'OR Init' we now have an Equity variable that displays from the first bar
that Init is valid.

One problem with my adding in new variables is that one of your original
statistic variables had to
be commented out because the 20 variable limit was reached. These stat
variables can be built into
an exploration if you are planning to do multiple stock testing. The other
approach is to insert the
new variable code directly into the Equity variable. However this makes for
quite verbose code, and
it can also mean that the character limit for the total indicator is reached
prematurely.

For your interest here are working variables from a Fixed Equity indicator
that I have that may help
you as move along in your indicator development. These assume a fixed
position size (e.g $10,000 for
every trade) and long only. Short requires a slightly different calculation
I seem to recall (I
don't trade short), and componding equity requires the use of a Prev() or
other work-around.

Cutting and pasting code from this post directly into MS may throw up one or
two errors, asit it did
when I copied your code, but removing spurious "new-line" characters from
where the errors are
repoted will usually solve that problem.

Gain:=If(CloseLong,(PositionSize-Costs)*(ExitPrice/EntryPrice)-PositionSize-
Costs,0);
Equity:=Cum(Gain)+
If(LongPosition,(PositionSize-Costs)*(ExitPrice/EntryPrice),PositionSize);

I hope this helps some.

Roy

  {ST Equity}
LongEntryPoint:=Ref(H,-1); {calc. on day of entry, limit order entry}
ShortEntryPoint:=Ref(L,-1); {calc. on day of entry, limit order entry}
LongExitPoint:=O;
ShortExitPoint:=O;
LongEntry:=Ref(C,-1)<C AND C<L+((H-L)/4) AND
  C<O AND H<Ref(H,+1);
{last part only for system test - following day entry condition}
LongExit:=Alert(LongEntry,4) AND Alert(LongEntry,3)=0;
  {auto exit 3 days later}
ShortEntry:=Ref(C,-1)>C AND C>H-((H-L)/4) AND
  C>O AND L>Ref(L,+1);
  {last part only for system test - following day entry condition}
ShortExit:=Alert(ShortEntry,4) AND Alert(ShortEntry,3)=0;
  {auto exit 3 days later}

LongEntry:=Ref(LongEntry,-1);
LongExit:=Ref(LongExit,-1);
ShortEntry:=Ref(ShortEntry,-1);
ShortExit:=Ref(ShortExit,-1);

Init:=Cum(LongEntry<>2 AND LongExit<>2 AND
  ShortEntry<>2 AND ShortExit<>2)=1;
Position:=Ref(If(BarsSince(LongEntry OR Init)>=
  BarsSince(LongExit OR Init),0,1) +
  If(BarsSince(ShortEntry OR Init)>=
  BarsSince(ShortExit OR Init),0,-1),-0);

EnterLong:=Alert(Position<=0,2) AND Position=1;
CloseLong:=Alert(Position=1,2) AND Position<>1;
EnterShort:=Alert(Position>=0,2) AND Position=-1;
CloseShort:=Alert(Position=-1,2) AND Position<>-1;

Equity:=Cum(If(CloseLong,ValueWhen(1,CloseLong OR Init, LongExitPoint)-
ValueWhen(1,EnterLong OR Init,LongEntryPoint),
If(CloseShort,ValueWhen(1,EnterShort
OR Init, ShortEntryPoint) - ValueWhen(1,CloseShort OR Init
,ShortExitPoint),0)));

TotalLongWin:=Cum(If(Cross(0.5,Position),ValueWhen(1,Cross(Position,0.5),Lon
gEntryPoint)<
ValueWhen(1,Cross(0.5,Position),LongExitPoint),0));
TotalLong:=Cum(Cross(Position,0.5));
TotalShort:=Cum(Cross(-0.5,Position));
TotalLongLoss:=TotalLong-TotalLongWin;
TotalShortWin:=Cum(If(Cross(Position,-0.5),ValueWhen(1,Cross(-0.5,Position),
ShortEntryPoint)>ValueWhen(1,Cross(Position,-0.5),ShortExitPoint),0));
{TotalShortLoss:=TotalShort-TotalShortWin;}
Equity;