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Hi Tom,
I looked through the posted code this evening. It's my first look and
I may have missed some nuances, but here's a plain language
description:
This is a volatility breakout system. The measure of volatililty in
this case is the Standard Deviation of the Price (selectable, but
usually the CLOSE) from the moving average of the close. Length is
selectable by the user; here it's 50 bars.
The Abb.stddev is an EasyLanguage function that's called from the main
code. It essentially calculates the Sum of the Squares of the
difference between the mvoing average (Close, 50 bars), then it takes
the square root of the SumSquares/(Length-1) to get the Std Deviation.
It has a few error checking sequences to make sure that it returns a
valid Std Dev and doesn't blow up in a division by zero.
So, the main code starts with Sigma equal to the std dev of the
difference of the close from the moving average over 50 bars. When
Sigma becomes less than the Sigma of 22 bars ago, the setup begins
(not a trigger, just a setup). You prepare to go long or short.
I'll discuss the long side only in this case. The short is a mirror
image.
When Sigma > Mov(Sigma,3,S) and Sigma > Ref(Sigma,-22) and Close >
Ref(Close,-22) {All signs that the volatility is increasing, and the
price is beginning to move upward} and Close < Ref(Close,-1){small
pullback}, you'd enter long at the open of the next bar.
Once you are Long, your stop gets set at your entry price less some
standard deviation factor (1.5 in the code) times the Sigma. So, it's
an adaptive stop that varies with volatility.
You'll exit your position when the volatility declines to Sigma<Sigma
of 22 bars ago.
> -----Original Message-----
> From: owner-metastock@xxxxxxxxxxxxx
> [mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Tom Strickland
> Sent: Thursday, September 06, 2001 7:51 PM
> To: metastock@xxxxxxxxxxxxx
> Subject: Re: Dallas System by Keith Fitschen
>
>
> David,
>
> I'd find it very helpful if you would translate the code
> into plain English.
> That would tell me how it works and then I could decide if
> it's worth my
> time to code it for Metastock.
>
> Thanks!
>
> Tom Strickland
> tstrickland@xxxxxxxxxxxxx
>
> ------------------------------------------------------------
> ----------------
> -------------------------
> ----- Original Message -----
> From: "David Jennings" <DavidJennings@xxxxxxxxxxxxx>
> To: <metastock@xxxxxxxxxxxxx>
> Sent: Thursday, September 06, 2001 3:05 PM
> Subject: Re: Dallas System by Keith Fitschen
>
>
> > I'll have a go if you wish - but must say I'm not a
> metastock wiz, but
> > pretty proficient in Easy Language.
> > ----- Original Message -----
> > From: "Philip" <pschmi02@xxxxxxxxxxx>
> > To: <metastock@xxxxxxxxxxxxx>
> > Sent: Thursday, September 06, 2001 6:24 PM
> > Subject: Dallas System by Keith Fitschen
> >
> >
> > > Greetings,
> > >
> > > Several weeks ago at a presentation in New York, Keith Fitschen
> > > discussed a profitable, volatility-based system of his
> called "Dallas."
> > > Fitschen is no slouch (understatement of the day) when
> it comes to
> > > developing systems.
> > >
> > > Unfortunately "Dallas" is written in EL. Does anyone
> have the metastock
> > > code for this system? . . . or is anyone willing/able
> to translate the
> > > EL code into MS if I supply it?
> > >
> > > Best regards,
> > > Philip Schmitz
> > >
> > >
> > >
> >
> >
>
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