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Andrew
Thanks much for this paper. Its very interesting.
Lionel
-----Original Message-----
From: Andrew Tomlinson [mailto:andrew_tomlinson@xxxxxxxxxxx]
Sent: Tuesday, June 29, 2004 5:42 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: RE: [EquisMetaStock Group] Entry testing code issues
Roy
Thanks for taking the time to look at this. The ability to reference the bar
the latch gets set, within the latch itself, is very neat
BarsSince(PREV=0)
And not possible to get to using my ROC formulation.
The EMA point is also well taken. For those with a historical bent, there
is a 1968 paper I just came across by P.N.Haurlan called "Measuring Trend
Values", on the earliest EMA calculations, which is contained in a recent
presentation by Tom McClellan,
http://www.mcoscillator.com/user/McClellan_MTAaward.pdf. Haurlan was a
rocket scientist (true!) and apparently the first user of the EMA for
securities analysis. The rest of the booklet, about the inventors of the
McClellan Oscillator, is kind of fun too.
Thanks again Roy.
Andrew
-----Original Message-----
From: Roy Larsen [mailto:rlarsen@xxxxxxxxxxxxxx]
Sent: Tuesday, June 29, 2004 5:38 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: Re: [EquisMetaStock Group] Entry testing code issues
Hi Andrew
> For a long and short system, I am ending up with code with 4 PREV
> latches. I can't get the indicator exit and the time stop in the same
> latch since the time stop needs to refer to the prior latch to set the
> clock running. This seems to work, but it feels clumsy - is there a
> better way?
The timestop can be built into one PREV latch quite easily
Trigger2:= If(PREV=0,If(Set,1,0),If(Reset OR
BarsSince(PREV=0)>=B2,0,PREV));
The PREV count can be cut back to two by substituting 1 for the last PREV.
This latch is only remembering a binary state (zero or one) and since the
first If() has already tested for the previous state there is no need for
PREV at the end. Once the latch is set (to one) it will reatain a value of 1
until there is a Reset.
Trigger2:= If(PREV=0,Set,If(Reset OR BarsSince(PREV=0)>=B2,0,1));
Here's the abreviated version. I prefer to use ">=" when testing for a bar
count, as opposed to "=", because with more complex logic it there may be
something else happening on the same bar that causes the "=" to be missed.
Using ">=" prevents any possibility (with flakey code admittedly) of the
count dissappearing into the stratosphere.
There's no need for an If() where you have Set.
Now another point about your determination of the direction of the the EMA.
There's a simpler way to decide if the EMA is going up or down. By it's
nature an EMA must go up if the price is above it, and conversly, the EMA
must go down if the price is below it. Therefore any time the price crosses
the EMA we know that the EMA has reversed direction.
MA:= Mov(C,B1,E); {today's MA}
MA1:= Ref(Mov(C,B1,E),-1); {yesterday's MA}
MA2:= Ref(Mov(C,B1,E),-2); {day before yesterday's MA}
Set:= MA2>=MA1 AND MA1<MA; {MA turns up}
Reset:= MA2<=MA1 AND MA1>MA; {MA turns down}
This code above can be reduced to this.
MA:= Mov(C,B1,E); {today's MA}
Set:= Cross(C,MA); {MA turns up}
Reset:= Cross(MA,C); {MA turns down}
This "law" determining the direction of an EMA also applies to Wilders
Smoothing, but not to non-exponential noving averages.
Hope this helps
Roy
> Here's an example, written as an indicator which will show long
> positions as
> +1, short as -1 and time out of the market as 0. The entry is on the
> +slope
> of a moving average. I've annotated the long side for clarity. Short
> is just the opposite of long. I have included entry and exit signals
> for use in TE/TradeSim/System Tester although they're not actually
> used in the Indicator. Ideally I'm trying to get to a baseline code
> that I can use to quickly compare different entries. [NB this is not a
> tradable system -it cuts off trends way too early- just an exercise to
> compare different entries]
>
> Thanks for your thoughts
> Andrew
>
> ----------------------------------------------------------------------
> ------
> ---------------------------
>
> {Single MA System - gives entry signals when slope of MA changes to up
> or down in one day. Exit is a reverse signal or a time stop.
> Indicator.}
>
>
> B1:= Input("Enter bars for MA1",1,300,50);
> B2:= Input("Enter bars for TStop",1,100,10);
>
> MA:= Mov(C,B1,E); {today's MA}
> MA1:= Ref(Mov(C,B1,E),-1); {yesterday's MA}
> MA2:= Ref(Mov(C,B1,E),-2); {day before yesterday's MA}
>
> Set:= MA2>=MA1 AND MA1<MA; {MA turns up}
> Reset:= MA2<=MA1 AND MA1>MA; {MA turns down}
>
> Trigger1:= If(PREV=0,If(Set,1,0),If(Reset,0,PREV));
> {first binary trigger for set and reset signals}
> TStopL:=if(Trigger1=1,if(barssince(roc(Trigger1,1,$)>0)=B2,1,0),0);
> {time stop keying off Trigger1}
> Trigger2:= If(PREV=0,If(Set,1,0),If(Reset OR TStopL,0,PREV));
> {second binary trigger to include time stop} Long:=Trigger2;
>
> EL:=if(ref(long,-1)=0,if(set,1,0),0);
> {Enter Long if you're out of the market and get an indicator buy}
> CL:=if(ref(long,-1)=1,if(Reset OR TStopL,-1,1),0);
> {Close Long on an indicator sell or time stop}
>
>
> Trigger3:= If(PREV=0,If(Reset,1,0),If(Set,0,PREV));
> TStopS:=if(Trigger3=1,if(barssince(roc(Trigger3,1,$)>0)=B2,1,0),0);
> Trigger4:= If(PREV=0,If(Reset,1,0),If(Set OR TStopS,0,PREV));
> Short:=Trigger4;
>
> ES:=if(ref(short,-1)=0,if(Reset,1,0),0);
> CS:=if(ref(short,-1)=1,if(Set OR TStopS,-1,1),0);
>
> Long - Short; {i.e., will show +1 for long market position, -1 for
> short and 0 for out}
>
>
>
>
>
>
> -----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
>
>
>
>
>
>
> Yahoo! Groups Links
>
>
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> Yahoo! Groups Links
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