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Eugene's Range system can be coded (and better understood) this way:
---8<----------------
{ variables }
R2:=Mov(C-O,2,S);
R3:=Mov(C-O,3,S);
R5:=Mov(C-O,5,S);
R6:=Mov(C-O,6,S);
R7:=Mov(C-O,7,S);
R8:=Mov(C-O,8,S);
R9:=Mov(C-O,9,S);
D2:=Mov(C-Ref(C,-1),2,S);
D3:=Mov(C-Ref(C,-1),3,S);
D4:=Mov(C-Ref(C,-1),4,S);
D7:=Mov(C-Ref(C,-1),7,S);
D9:=Mov(C-Ref(C,-1),9,S);
D10:=Mov(C-Ref(C,-1),10,S);
{ system logic }
In:=Sum(R2,5)>Ref(Sum(R2,5),-1)
AND Sum(R3,4)>Ref(Sum(R3,4),-1)
AND R8>-R9
AND R9>-R7
AND Sum(D2,3)>Ref(Sum(D2,3),-1)
AND D2>Ref(D2,-1)
AND D3>-D4
AND D7>-D4;
Out:=Sum(R2,3)<Ref(Sum(R2,3),-1)
AND Sum(R2,9)<Ref(Sum(R2,9),-1)
AND R3<-R6
AND R7<-R5
AND Sum(D3,9)<Ref(Sum(D3,9),-1)
AND Sum(D4,4)<Ref(Sum(D4,4),-1)
AND D3<-D7
AND D9<-D10;
{ plot }
In+-Out
---8<----------------
A simple profit test on 1472 ASX stock charts shows:
avg win rate: 35.7%
avg loss rate: 64.3%
avg profit/chart: -3.6%pa
$10K trades, $34 brokerage, 0.75% slippage, avg 6 years' data.
jose '-)
http://users.bigpond.com/prominex/pegasus.htm
--- In equismetastock@xxxxxxxxxxxxxxx, "Eugene Labunsky" <elabunsky@xx
.. wrote:
I've some work under the small contract ... Now TM (private core)
allow do RT walk test (day by day). In this mode trader can estimate
how TM will work on UNKNOW data (for next trading day) on the PREV.
date.
One small sample for MIX core (from C-O & C-C(-1))... REVIEW -
http://www.profitfromstocks.com/tmp/csco_mix_10.jpg
FORMULA KIND is something like this:
{ TrendMedium trading system for CSCO*10 Intradaily-10min }
if((Sum(Mov(C-O,3,S),4)-Ref(Sum(Mov(C-O,3,S),4),-1)>0) And
(Sum(Mov(C-O,2,S),5)-Ref(Sum(Mov(C-O,2,S),5),-1)>0) And
(Sum(Mov(C-Ref(C,-1),2,S),1)-Ref(Sum(Mov(C-Ref(C,-1),2,S),1),-1)>0)
And
(Sum(Mov(C-Ref(C,-1),2,S),3)-Ref(Sum(Mov(C-Ref(C,-1),2,S),3),-1)>0)
And
((Mov(C-O,8,S)>(-1)*Mov(C-O,9,S)) And (Mov(C-O,9,S)>(-1)*Mov(C-O,7,S))
) And
((Mov(C-Ref(C,-1),7,S)>(-1)*Mov(C-Ref(C,-1),4,S)) And
(Mov(C-Ref(C,-1),3,S)>(-1)*Mov(C-Ref(C,-1),4,S)))
,1,if((Sum(Mov(C-O,2,S),3)-Ref(Sum(Mov(C-O,2,S),3),-1)<0) And
(Sum(Mov(C-O,2,S),9)-Ref(Sum(Mov(C-O,2,S),9),-1)<0) And
(Sum(Mov(C-Ref(C,-1),3,S),9)-Ref(Sum(Mov(C-Ref(C,-1),3,S),9),-1)<0)
And
(Sum(Mov(C-Ref(C,-1),4,S),4)-Ref(Sum(Mov(C-Ref(C,-1),4,S),4),-1)<0)
And
((Mov(C-O,3,S)<(-1)*Mov(C-O,6,S)) And (Mov(C-O,7,S)<(-1)*Mov(C-O,5,S))
) And
((Mov(C-Ref(C,-1),3,S)<(-1)*Mov(C-Ref(C,-1),7,S)) And
(Mov(C-Ref(C,-1),9,S)<(-1)*Mov(C-Ref(C,-1),10,S))), -1, 0))
{SUM_RANGE=9, MOV_RANGE=9}
Best Regards,
Eugene Labunsky.
http://www.TrendMedium.com - Official MetaStock Add-on
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