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Sorry I think I confused you, I agree with using parameters etc. (I
program C/C++ etc so I wouldn't hardcode if possible)
I was just thinking why would you add the check for (Cum(1)>=setbars)
coz after 3 days (in the example I have) it would always be TRUE.
Hence sort of seem pointless.
However your comment about waiting for 50 days seems to shed the
light on it as the moving averages need 3 days hence I guess that is
what they are trying to achieve. ie wait the number of days the MA is
set too otherwise it's not valid.
Thanks, that helped heaps!
David
--- In equismetastock@xxxxxxxxxxxxxxx, "MG Ferreira" <quant@xxxx>
wrote:
>
> Yes, but.... If you 'parameterise' the thing, it is very easy to
> change it at a later stage. So if you use a different rule, and
wish
> to only start testing the system after 50 days, once the indicators
> settle down, then you just change
>
> setbars:=3
>
> to
>
> setbars:=50
>
> somewhere and you are done. Anyhow, this is just a refinement, you
> can discard it or 'hardcode' it (ie not use parameters) as you
point out.
>
> 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:
> >
> >
> > 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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