[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: [EquisMetaStock Group] Re: test system v7.5



PureBytes Links

Trading Reference Links


Hint: Look at the day this was sent on and read the bottom note.
----- Original Message ----- 
From: "Alexander Atreides" <alexatreides@xxxxxxxxx>
To: <equismetastock@xxxxxxxxxxxxxxx>
Sent: Friday, April 01, 2005 7:51 AM
Subject: Re: [EquisMetaStock Group] Re: test system v7.5


>
> 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





------------------------ Yahoo! Groups Sponsor --------------------~--> 
What would our lives be like without music, dance, and theater?
Donate or volunteer in the arts today at Network for Good!
http://us.click.yahoo.com/Tcy2bD/SOnJAA/cosFAA/BefplB/TM
--------------------------------------------------------------------~-> 

 
Yahoo! Groups Links

<*> To visit your group on the web, go to:
    http://groups.yahoo.com/group/equismetastock/

<*> To unsubscribe from this group, send an email to:
    equismetastock-unsubscribe@xxxxxxxxxxxxxxx

<*> Your use of Yahoo! Groups is subject to:
    http://docs.yahoo.com/info/terms/