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In message 9729 I posted the code for just the VLE portion and not
the added 20 dma. Using this code you don't have to have the VLE on
the screen. When you attach it to the SPY, it works just like it's
suppose to. That's not the problem.
The problem is when it's plugged into the system's tester the MS
results are much different from the results found in other systems
testers. The difference between the results is too great to be
accounted for by algorithm differences alone.
In the next few days, I'm going to examine the code, the theory, the
back testing methods, the indices values from Esignal and whatever
else I can find. This all takes a lot of time so I don't know when
I'll finish it. I'm suppose to be finishing up a magazine article and
I'm behind on that so I'll have to juggle my schedule. Since it's not
that important, I'll probably let this slide a little for now.
There are reams of test data on this index and this method. It
shouldn't be a big deal, but it's turning out to be one.
You can use the trend following system with or without the 20 dma.
The 20 dma improves the ability to use it as a trading system. You
get a lot of small losers but you catch the big trends where the
money is.
Feel free to play with the code. It's there for whatever purpose you
can find useful. Roy tweaked part of it again for prev statements.
It's as tight as it's going to get in that regard. Since this is only
applied to the SPY EOD, whichever version of the base code you use
won't slow the processor down much. Nanoseconds.
Have fun! If I ever figure this out, I'll post it.
I've got a version of this for the Qs that works really well, but
given the difficulty I have had with this one that's generally well
understood and tested to death, I don't think I'll post the one for
the Qs.
JO
--- In equismetastock@xxxxxxxxxxxxxxx, "Joe J." <jojab@xxxx> wrote:
> Hi JO,
>
> What are the specific rules you are trying to code for your buys
and sells? If you provide a general description perhaps I (or
someone else) can give it a shot on 8.01. I know you mentioned a 4%
rule on the $VLE and a 20dma rule but what are they specifically?
>
> Good Trading,
>
> Joe J.
>
>
>
>
>
> -----Original Message-----
> From: manohohman [mailto:no_reply@xxxxxxxxxxxxxxx]
> Sent: Wednesday, November 19, 2003 11:23 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] SPY code update
>
>
> Thanks Martin. I appreciate your assistance. Unfortunately we're
> still stuck.
>
> Here's the code for the VLE part. I wrote it as an expert so you
can
> attach it directly to the SPY chart. However, it does not test out
> properly. I'm looking at the formula and MS to see if either one is
> the problem.
>
> To make an expert
>
> Highlight Buy
>
> a:=Security("online:$VLE",C);
> X:=If(Cum(Ref(a>Lowest(a)*1.04 OR a<Highest(a)*.96,-1))=0,
> If(a>Lowest(a)*1.04,1,
> If(a<Highest(a)*.96,-1,0)),
> If(PREV=1,
> If(a<HighestSince(1,PREV<1,a)*.96,-1,PREV),
> If(a>LowestSince(1,PREV>-1,a)*1.04,1,PREV)));
> I:=Cum(1)<=2;
> State:=BarsSince(X=1 OR I)<BarsSince(X=-1 OR I)+(Cum(X=1)=1);
> State;
>
> Symbols Buy
>
> a:=Security("online:$VLE",C);
> X:=If(Cum(Ref(a>Lowest(a)*1.04 OR a<Highest(a)*.96,-1))=0,
> If(a>Lowest(a)*1.04,1,
> If(a<Highest(a)*.96,-1,0)),
> If(PREV=1,
> If(a<HighestSince(1,PREV<1,a)*.96,-1,PREV),
> If(a>LowestSince(1,PREV>-1,a)*1.04,1,PREV)));
> I:=Cum(1)<=2;
> x=1 AND Ref(x,-1)=-1
>
> Symbols Sell
>
> a:=Security("online:$VLE",C);
> X:=If(Cum(Ref(a>Lowest(a)*1.04 OR a<Highest(a)*.96,-1))=0,
> If(a>Lowest(a)*1.04,1,
> If(a<Highest(a)*.96,-1,0)),
> If(PREV=1,
> If(a<HighestSince(1,PREV<1,a)*.96,-1,PREV),
> If(a>LowestSince(1,PREV>-1,a)*1.04,1,PREV)));
> I:=Cum(1)<=2;
> x=-1 AND Ref(x,-1)=1
>
> You don't need a highlight sell if you color your line red. It's
the
> inverse.
>
> This is without the 20 dma. You can add that to the chart by hand.
>
> Everything looks right but something is out of wack. Back to the
> drawing board. it predicts the trend changes nicely.
>
>
>
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "praktikus_ms"
> <praktikus@xxxx> wrote:
> > Hi JO,
> >
> > What people like you, Roy and many others do here in this group
is
> > greatly appreciated by me (and I guess many others too). It helps
> me
> > a lot to get a greater unterstanding of MS. Thank you all for
your
> > posting!
> >
> > A really good way of further improvement is the give and take
rule.
> > Only the one who teaches realizes what he can learn from that.
> >
> > JO, I was not sure wich version of MS you are using and from my
> > expirience I know that a lot of people dont know the Security
Data
> > function.
> >
> > I was just trying to assist with my little knowledge and was not
> > aware of the problems you described. From my use I did not come
up
> > with similar problems.
> >
> > Thank you,
> >
> > Martin
> >
> >
> > > While this one looks the same on the surface, Roy and I have
been
> > > exchanging data and it has yet to work properly. Roy has found
at
> > > least part of the problem with false signals and overlapping
> > signals
> > > leading to wrong interpretations of trades. Hopefully in a
couple
> > of
> > > more days, we'll have it ironed out. The backtesting seems to
> work
> > > better for Roy using MS 7.02. MS 8.01 still has a few issues.
As
> I
> > > said these problems didn't come up on TradeStation. MS is a
> little
> > > more ridgid.
>
>
>
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