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--- msolferino <solferino@xxxxxxxxxxx> wrote:
> Hi,
>
> I am trading a very simple trading system that
> consists of two
> moving averages. When the faster average crosses
> the slower I go
> long, when the faster crosses below the slower I
> reverse and go
> short. How could I run an exploration on a group of
> stocks to find
> out which stock or stocks tend to stay in a long or
> short period for
> the most bars on average. The moving avergae
> formula is as
> follows...
>
> Mov(C,5,E) > Mov(C,8,S) (go long)
>
> Mov(C,5,E) < Mov(C,8,S) (go short)
>
> Trading this on a sixty minute time frame. Thanks,
>
> Marc
>
{20 period avg of barssince cross(ST ma, LT ma)}
k0:=Mov(c,5,s);
k1:=Mov(c,8,s);
k2:=If(Cross(k0,k1),BarsSince(Cross(k1,k0)),0);
k3:=If(Cross(k1,k0),BarsSince(Cross(k0,k1)),0);
k4:=ValueWhen(1,k2<>0,k2);
k5:=ValueWhen(1,k3<>0,k3);
k6:=Mov(k4,20,S);
k7:=Mov(k5,20,S);
k6;
{20 period avg of barssince cross(lT ma, sT ma)}
k0:=Mov(c,5,s);
k1:=Mov(c,8,s);
k2:=If(Cross(k0,k1),BarsSince(Cross(k1,k0)),0);
k3:=If(Cross(k1,k0),BarsSince(Cross(k0,k1)),0);
k4:=ValueWhen(1,k2<>0,k2);
k5:=ValueWhen(1,k3<>0,k3);
k6:=Mov(k4,20,S);
k7:=Mov(k5,20,S);
k7;
is this of any help ?
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