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Jose,
Here are the results of the test. We got best results if we used a
parameter higher than 80 but less than 60 in the Fibonator. The
inactivity filter was expecially useful when we set the trade
frequency higher but less so when we did not set it lower.
Here are the results, broken down per sector. It is the average
annual returns in that sector, and bears a remarkable resemblance to
the digits used in the FibSeriesSum variable. We are trying to figure
out why at the moment, I think we made a typo when we transferred this
to the mainframe.
Sector Sector performance
--------------------- ------------------
Aerospace 11.1%
Property 12.1%
Retail 31.5%
Industrial 18.1%
Leisure 13.1%
Food and drink 21.1%
Oil 34.1%
Opportunity stocks 55.1%
Light industrial 89.1%
Silicon
Diamonds 14.4%
Aluminum 12.3%
Yellow metal (gold) 31.3%
Note to all - it makes more sense if you just read the first letter of
each sector.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "MG Ferreira" <quant@xxxx> wrote:
>
> Hi Jose,
>
> We are testing this at the moment - luckily we just got a new
> mainframe as it takes very long, not to mention the time it took us to
> type it in as we can not copy and paste into the mainframe.
>
> It does not do well on the Banking sector, but the performance really
> rocks in the Leisure and Hotel industry. One guy here had the MkIV
> money management module lying around, so we could also test it with
> that. Wow! I think we'll make more money than the King of Swaziland
> if we use this. Are you selling rights to it?
>
> PS: Since you posted it, I tested it in AUD. Should I test it in ZAR
> as well?
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Jose Silva" <josesilva22@xxxx>
> wrote:
> >
> > Would anyone out there with JSE data kindly test these signals for me?
> > Thanks in adv.
> >
> > ---8<------------------------------
> > { HG Long MkIV system signals v7.5 }
> > { Warning: Xperimental only - *Do Not Trade!* }
> >
> > { Ignore all signals without matching
> > MkIV Money Management module!
> > Enter Long = +1 (Close)
> > Exit Long = -1 (Close)
> > For JSE markets only.}
> >
> > { ©Copyright 2005 Jose Silva }
> > { http://www.metastocktools.com }
> >
> > pds:=Input("Avg trade frequency",2,500,21);
> > pdsN:=Input("Fibonator normalizing periods (1=none)",1,260,1);
> > vFilter:=Input("Inactivity filter? [1]Yes, [0]No",0,1,1);
> > delay:=Input("Entry and Exit delay",0,5,0);
> > plot:=Input("[1]Signals, [2]Trade binary",1,2,1);
> >
> > vFilter:=If(vFilter=1,HHV(C,pds)>LLV(C,pds)*1.05,1);
> > FibSeriesSum:=1+1/1+1/2+1/3+1/5+1/8+1/13+1/21+1/34+1/55+1/89+1/144+1/
> > 233+1/377+1/610;
> > FibSeriesSumVal:=Frac(FibSeriesSum+LastValue(DPO(pds)+PREV-PREV)-
> > FibSeriesSum);
> > FibSeriesSumValNorm:=(FibSeriesSumVal-LLV(FibSeriesSumVal,pds))/
> > (HHV(FibSeriesSumVal,pds)-LLV(FibSeriesSumVal,pds)+.000001)*100;
> > avg:=Cum(FibSeriesSumValNorm)/Cum(IsDefined(FibSeriesSumValNorm));
> > pk:=Ref(FibSeriesSumValNorm,-1)=HHV(FibSeriesSumValNorm,3) AND
> > Ref(FibSeriesSumValNorm,-1)>avg;
> > pkVal:=ValueWhen(1,pk,Ref(FibSeriesSumValNorm,-1));
> > pkAvg:=Cum(pkVal)/Cum(IsDefined(pkVal));
> > tr:=Ref(FibSeriesSumValNorm,-1)=LLV(FibSeriesSumValNorm,3) AND
> > Ref(FibSeriesSumValNorm,-1)<avg;
> > trVal:=ValueWhen(1,tr,Ref(FibSeriesSumValNorm,-1));
> > trAvg:=Cum(trVal)/Cum(IsDefined(trVal));
> > entryLong:=Cross(FibSeriesSumValNorm,trAvg) AND vFilter;
> > exitLong:=Cross(FibSeriesSumValNorm,pkAvg);
> > InitSequence:=Cum(IsDefined(entryLong+exitLong))=1;
> > x:=ValueWhen(1,entryLong-exitLong<>0,entryLong-exitLong);
> > entryLong:=x=1 AND (Alert(x<>1,2) OR InitSequence);
> > exitLong:=x=-1 AND (Alert(x<>-1,2) OR InitSequence);
> > binary:=ValueWhen(1,entryLong-exitLong<>0,entryLong-exitLong);
> >
> > { Plot in own window }
> > Ref(If(plot=1,entryLong-exitLong,binary),-delay)
> > ---8<------------------------------
> >
> >
> > jose '-)
> > http://www.metastocktools.com
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