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Again, the hint that unlocks the puzzle, is here
> Note to all - it makes more sense if you just read
> the first letter of
> each sector.
It is linked to some crazy custom practised around the globe - or so
I've heard.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, Alexander Atreides
<alexatreides@xxxx> wrote:
> OK, I'm stupid. What' s this all about ?
>
> AlexAtreides
> --- MG Ferreira <quant@xxxx> 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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