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Andrew, you can get rid of at least 6 of the 8 PREV functions in your
code, as well as some redundant code, with the code below which gives
identical signals to the sloooow original.
---8<----------------
{ Single MA System }
{ Entry: slope of MA changes in one bar. }
{ Exit: reverse of Entry }
B1:=Input("EMA periods",1,300,50);
B2:=Input("TStop periods",1,100,10);
MA:=Mov(C,B1,E);
Set:=Cross(C,MA);
Reset:=Cross(MA,C);
Init:=Cum(Set+Reset>-1)=1; {thanks Roy}
Trigger1:=BarsSince(Init OR Set)
<BarsSince(Init OR Reset)+(Cum(Set)=1);
TStopL:=If(Trigger1,
BarsSince(ROC(Trigger1,1,$)>0)=B2,0);
long:=If(PREV=0,Set,
If(Reset OR BarsSince(PREV=0)>=B2,0,1));
Trigger3:=BarsSince(Init OR Reset)
<BarsSince(Init OR Set)+(Cum(Reset)=1);
TStopS:=If(Trigger3,
BarsSince(ROC(Trigger3,1,$)>0)=B2,0);
short:=BarsSince(Init OR Reset)
<BarsSince(Init OR Set OR TStopS)
+(Cum(Reset)=1);
long-short
---8<----------------
jose '-)
http://users.bigpond.com/prominex/pegasus.htm
--- In equismetastock@xxxxxxxxxxxxxxx, "Andrew Tomlinson"
<andrew_tomlinson@xxxx> wrote:
>
> I am writing some code to follow Le Beau's strategy for testing
Entries in
> "Computer Analysis of the Futures Markets" - i.e. test a bunch of
entries
> using with the only exits being time stops and compare to a random
entry. I
> am therefore assuming an entry as per the system, and an exit as the
earlier
> of a system reversal or a time stop.
>
> 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?
>
> 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}
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