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I've been concerned about backtesting systems where the indicators used have
a significantly different timescale. For example, if I compare a 200 bar
moving average crossover system with a similar, 10 bar system, then the 10
bar system is going to start generating signals 190 bars earlier than the
200 bar one, which will make nonsense out of the comparison. I have started
including a 250-bar delay in my entry signals, viz
EL:= Fml(long entry) AND cum(1)>250;
Etc.
This seems to be working (although I haven't tested it exhaustively), but I
am curious what solutions others have used.
Also, I am wondering if this might cause problems with Roy's Initiation
variable in latch formulas.
Thanks for your thoughts
Andrew
-----Original Message-----
From: praktikus_ms [mailto:praktikus@xxxxxxxxxx]
Sent: Monday, June 28, 2004 8:36 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Re: unnecessary repetitive signals
Hormuz,
Go to the files section of this group and search for a word document
called 'Using Latches in MS.doc' by Roy Larsen. This should give you
an idea about how solve this problem.
A quick shot would be:
{Trade Latch; Idea by }
{2004 Roy Larsen, rlarsen@xxxxxxxxxxxxxx}
Set:=Fml(your long therm buy signal);
Reset:=Fml(your long term sell signal); Init:=Cum(Set+Reset>-1)=1;
Trade:=If(BarsSince(Init+Set)<BarsSince(Init+Reset),1,-1);
Trade; {swings between +1 and -1}
This gives you an output of +1 for the buy signal and -1 for the sell
signal. Just assign those to your expert signals and you should doing
fine.
Martin
--- In equismetastock@xxxxxxxxxxxxxxx, hormuz maloo
<hormuzmaloo@xxxx> wrote:
> Hi everybody,
> I am trying to program my own expert advisor, which
> gives long-term buy and sell signals.
> Have just got started, but I find that the buy or sell
> signal is repeated everytime the pattern is found on
> the chart.
> What I would like to do is see that a buy signal does
> not follow a buy signal, ie a buy signal should occur
> only if the previous signal was a sell signal and vice
> versa.
> Can somebody please show me a simple way to do this.
> Thanks in advance,
> Hormuz Maloo
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