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OK, I'm stupid. What' s this all about ?
AlexAtreides
--- MG Ferreira <quant@xxxxxxxxxxxxxxxx> wrote:
>
> 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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