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David,
Thanks for your effort. It is very helpful!
Tom
----------------------------------------------------
----- Original Message -----
From: "Dave Nadeau" <dave_nadeau@xxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Thursday, September 06, 2001 10:14 PM
Subject: RE: Dallas System by Keith Fitschen
> 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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