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Hi,
RE:
New version
-----------
isLong := (Cum(1)>=setbars) AND (ff<=Ref(ff,-1)) AND (ss>=Ref(ss,-1));
This is what confuses me. Why you would do cum(1)>=setbars in this
context.Since setbars = 3 isn't it (Cum(1)>=3) which always is going
to be true once we have had 3 trading days?
Which really means the test is only based on (ff<=Ref(ff,-1)) AND
(ss>=Ref(ss,-1))?
David
--- In equismetastock@xxxxxxxxxxxxxxx, "MG Ferreira" <quant@xxxx>
wrote:
>
> Hi David,
>
> > Thanks for the replies. The example of cum(5) = 5 helps as I see
> > the parameter is the increment?
>
> No problem. The parameter is indeed the increment. Note that it
> need not be a constant, but you could have
>
> CC := cum(CLOSE)
>
> to have
>
> CC(t) := CC(t-1) + CLOSE(t)
>
> You could even use a formula, say you want to calculate a volume
> weighted average, you can do something like
>
> CUM(CLOSE*VOLUME)/CUM(VOLUME)
>
> Just some off-the-cuff examples, they may very well contain some
bugs....
>
> > {long}
> > setbars:=3;
> > entryadd:=1;
> > ff:=Mov(Stoch(7,1),3,E);
> > ss:=Mov(Mov(Stoch(16,1),3,E),3,E);
> > cbuy:=If(ff<=Ref(ff,-1) AND ss>=Ref(ss,-1),Cum(1),0);
> > bbuy:=If(cbuy>=setbars,H+entryadd, 99999);
> > bbuy<99999
>
> In terms of this, I think the heart of it is locked up in the last
> three lines, so let us look at them, but I'll start from the last
> one and work my way backwards! I think this will make things more
> clear actually....
>
> > bbuy<99999
>
> This line basically returns a TRUE or FALSE, a yes or no if you
want.
> True if we are long, false if not. Note that it really hangs on
just
> one value, 99999. This value is just used as a type of a flag, so
if
> bbuy is equal to (or exceeds) this value, we are out.
>
> > bbuy:=If(cbuy>=setbars,H+entryadd, 99999);
>
> The second to last line sets this flag. If cbuy equals or exceeds
> setbars then bbuy becomes H (High) + entryadd, probably the cost
> plus some slippage. Otherwise, the flag value of 99999 is assigned
> and we are out.
>
> > cbuy:=If(ff<=Ref(ff,-1) AND ss>=Ref(ss,-1),Cum(1),0);
>
> Here we have the actual decision rule. If ff is falling and ss is
> rising, cbuy takes on the ever-increasing cum(1) value, otherwise it
> will take on zero.
>
> Now, here is a different way of writing the same code that will
> make things a lot clearer I think. Note that I have liberally
changed
> names and stuff to deliberately make it clearer. Again, some bugs
may
> remain. Please review the disclaimer.
>
> Original version
> ----------------
> > cbuy:=If(ff<=Ref(ff,-1) AND ss>=Ref(ss,-1),Cum(1),0);
> > bbuy:=If(cbuy>=setbars,H+entryadd, 99999);
> > bbuy<99999
>
> New version
> -----------
> isLong := (Cum(1)>=setbars) AND (ff<=Ref(ff,-1)) AND (ss>=Ref(ss,-
1));
> costLong := isLong * ( HIGH + entryadd );
> isLong
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com
>
>
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "dpleydel" <dpleydel@xxxx>
wrote:
> >
> >
> > Thanks for the replies. The example of cum(5) = 5 helps as I see
> > the parameter is the increment?
> >
> > This is the full code I was trying to understand: (it's Linda
> > Bradfords - Anti Indicator)
> >
> > {long}
> > setbars:=3;
> > entryadd:=1;
> > ff:=Mov(Stoch(7,1),3,E);
> > ss:=Mov(Mov(Stoch(16,1),3,E),3,E);
> > cbuy:=If(ff<=Ref(ff,-1) AND ss>=Ref(ss,-1),Cum(1),0);
> > bbuy:=If(cbuy>=setbars,H+entryadd, 99999);
> > bbuy<99999
> >
> > Hence why I didn't understand why you would want to just
accumlate
> > the periods, like if it was period 100, 101, 103 etc as the test
> > where cbuy >=3(setbar) seems strange as cum(1) will always be
> > greater once we have more than 3 days (so the setbar seems
> > unnecessary) unless as per your example where a mod functions was
> > used to reset the sequence.
> >
> > David
> >
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