|
PureBytes Links
Trading Reference Links
|
AHA.....So the DEMA is the same as the Zero Lag EMA, at least as far
as my system test is concerned(profit for both systems returned
exactly the same number - down to the last decimal point)
PAUL
--- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@xxx> wrote:
>
> Paul,
>
> Works for me!
>
> If you want to add a touch of volume why not use a volume adjusted
> moving average instead of the exponential? Its quick and simple.
>
> Playing around with moving averages can be a lot of fun. In the end
> though I think you will need to weigh the value and benefit of the
> exercise. Always keep in mind that lag is the enemy. It should be
> minimized if the MA is to be of any value.
>
> You should also consider if the formula can be written any
> differently. What happens when we compare the Zero Lag to a DEMA?
>
> Enjoy yourself,
>
> Preston
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "Paul Harris"
> <paul_vicmar@> wrote:
> >
> > Preston
> >
> > So have had a chance to play around with the system test. And have
> > thought of an improvement on your idea.
> >
> > {ZLEMA(Zero Lag EMA1)}
> > EMA1:= Mov(CLOSE,opt1,E);
> > EMA2:= Mov(EMA1,opt1,E);
> > Difference:= EMA1 - EMA2;
> > ZeroLagEMA1:= EMA1 + Difference;
> > {ZLEMA(Zero Lag EMA2)}
> > EMA1:= Mov(CLOSE,opt2,E);
> > EMA2:= Mov(EMA1,opt2,E);
> > Difference:= EMA1 - EMA2;
> > ZeroLagEMA2:= EMA1 + Difference;
> > Cross(ZeroLagEMA1,ZeroLagEMA2)
> >
> > All we have done is to create two separate ZLEMAs. One which would
> be
> > a short term MA and the second one which would be a long term MA.
> And
> > then to use the cross function to identify the buy when one crosses
> > the other.
> >
> > Provisionally at the moment it looks to perform better than a
> normal
> > MA crossover system. A more detailed inspection neeeded.
> >
> > So I was thinking to combine this kind of MA system with the
> addition
> > of another indicator by using the "AND" function. I was thinking of
> > using a volume based indicator that measures volume and price
> movement
> > i.e OBV or Price Volume Trend and maybe a momentum indicator like
> > Chaikin´s Volatality.
> >
> > Preston, or anyone reading in, if you have advice about choice of
> > indicators to choose or how to combine the indicators together, I
> > would be most grateful.
> >
> > Yours
> > PAUL
> >
> >
> >
> >
> >
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@> wrote:
> > >
> > > Paul,
> > >
> > > Its a pleasure. We always have room for young talent to embrace
> what
> > > we can do with Metastock and to contribute to our future.
> > >
> > >
> > > Preston
> > >
> > >
> > >
> > >
> > > --- In equismetastock@xxxxxxxxxxxxxxx, "Paul Harris"
> > > <paul_vicmar@> wrote:
> > > >
> > > > Preston
> > > >
> > > > Success. It seems to work OK. It´s late here in Spain so I´m
> going
> > > to
> > > > leave it to the morning. I´ll write back with some results and
> let
> > > you
> > > > know.
> > > >
> > > > If I haven´t said so already, very grateful for your patience.
> > > > Hopefully we can put up something like the Zero Lag MACD
> > > Exploration
> > > > and Expert so that others may benefit as well.
> > > > Yours
> > > >
> > > > PAUL
> > > >
> > > >
> > > >
> > > > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@>
> wrote:
> > > > >
> > > > > Paul,
> > > > >
> > > > > Try this:
> > > > >
> > > > > {ZLEMA(Zero Lag EMA)}
> > > > > EMA1:= Mov(CLOSE,opt1,E);
> > > > > EMA2:= Mov(EMA1,opt2,E);
> > > > > Difference:= EMA1 - EMA2;
> > > > > ZeroLagEMA:= EMA1 + Difference;
> > > > > Cross(ZeroLagEMA,Mov(ZeroLagEMA,opt3,E))
> > > > >
> > > > >
> > > > > --- In equismetastock@xxxxxxxxxxxxxxx, "Paul Harris"
> > > > > <paul_vicmar@> wrote:
> > > > > >
> > > > > > Preston
> > > > > >
> > > > > > So the exact formula for the ZLEMA(Zero Lag EMA) is as we
> have
> > > used
> > > > > > before.
> > > > > >
> > > > > > Period:= Input("What Period",1,250,10);
> > > > > > EMA1:= Mov(CLOSE,Period,E);
> > > > > > EMA2:= Mov(EMA1,Period,E);
> > > > > > Difference:= EMA1 - EMA2;
> > > > > > ZeroLagEMA:= EMA1 + Difference;
> > > > > > ZeroLagEMA
> > > > > >
> > > > > > PAUL
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh <no_reply@>
> > > wrote:
> > > > > > >
> > > > > > > Paul,
> > > > > > >
> > > > > > > Post your exact formulas for me.
> > > > > > >
> > > > > > > Preston
> > > > > > >
> > > > > > >
> > > > > > > --- In equismetastock@xxxxxxxxxxxxxxx, "Paul Harris"
> > > > > > > <paul_vicmar@> wrote:
> > > > > > > >
> > > > > > > > Preston
> > > > > > > >
> > > > > > > > OK had a look and couple of points arise.
> > > > > > > > (ZLEMA=Zero Lag EMA)
> > > > > > > > The Indicator builder does not allow me to change the
> > > period
> > > > > > funtion
> > > > > > > > in the ZLEMA formula to, in our example, "opt1".
> > > > > > > >
> > > > > > > > The other thing:
> > > > > > > > "Cross(ZeroLagEMA,Mov(ZeroLagEMA,opt2,E))"
> > > > > > > >
> > > > > > > > Whilst the first ZLEMA would be optimised, the second
> > > ZLEMA
> > > > > would
> > > > > > be
> > > > > > > > an optimsed EMA of the ZLEMA.
> > > > > > > > Would it not be possible to create two ZLEMA formulas,
> > > ZLEMA1
> > > > > > (short)
> > > > > > > > and ZLEMA2(long). I am sure that it is possible, the
> trick
> > > is
> > > > > how
> > > > > > to
> > > > > > > > optimise them.
> > > > > > > >
> > > > > > > > Gracias
> > > > > > > > PAUL
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh
> <no_reply@>
> > > > > wrote:
> > > > > > > > >
> > > > > > > > > Paul,
> > > > > > > > >
> > > > > > > > > Sure. Look at Equis - CCI +100/-100 Crossover tester
> and
> > > > > check
> > > > > > > those
> > > > > > > > > buy and sell tabs.
> > > > > > > > >
> > > > > > > > > In the original formula you would cange the input
> value
> > > to
> > > > > and
> > > > > > > opt#
> > > > > > > > > value like this:
> > > > > > > > >
> > > > > > > > > Period:= opt1;
> > > > > > > > > EMA1:= Mov(CLOSE,Period,E);
> > > > > > > > > EMA2:= Mov(EMA1,Period,E);
> > > > > > > > > Difference:= EMA1 - EMA2;
> > > > > > > > > ZeroLagEMA:= EMA1 + Difference;
> > > > > > > > > ZeroLagEMA
> > > > > > > > >
> > > > > > > > > Then the Buy Order is:
> > > > > > > > >
> > > > > > > > > Period:= opt1;
> > > > > > > > > EMA1:= Mov(CLOSE,Period,E);
> > > > > > > > > EMA2:= Mov(EMA1,Period,E);
> > > > > > > > > Difference:= EMA1 - EMA2;
> > > > > > > > > ZeroLagEMA:= EMA1 + Difference;
> > > > > > > > > ZeroLagEMA
> > > > > > > > > Cross(ZeroLagEMA,Mov(ZeroLagEMA,opt2,E))
> > > > > > > > >
> > > > > > > > > Make it easy on yourself and run this with a non
> > > optimized
> > > > > sell
> > > > > > > then
> > > > > > > > > optimize the sell side.
> > > > > > > > >
> > > > > > > > > Preston
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > >
> > > > > > > > > --- In equismetastock@xxxxxxxxxxxxxxx, "Paul Harris"
> > > > > > > > > <paul_vicmar@> wrote:
> > > > > > > > > >
> > > > > > > > > > Preston
> > > > > > > > > >
> > > > > > > > > > Thanxs for the walkthrough. I understand the logic
> of
> > > what
> > > > > > you
> > > > > > > have
> > > > > > > > > > done but I would prefer to optimise on the
> original
> > > formula
> > > > > > of
> > > > > > > Zero
> > > > > > > > > > Lag EMA instead of a moving average of Zero Lag
> EMA.
> > > > > > > > > > The original formula that we have been using is
> the
> > > > > > following :
> > > > > > > > > >
> > > > > > > > > > Period:= Input("What Period",1,250,10);
> > > > > > > > > > EMA1:= Mov(CLOSE,Period,E);
> > > > > > > > > > EMA2:= Mov(EMA1,Period,E);
> > > > > > > > > > Difference:= EMA1 - EMA2;
> > > > > > > > > > ZeroLagEMA:= EMA1 + Difference;
> > > > > > > > > > ZeroLagEMA
> > > > > > > > > >
> > > > > > > > > > I understand that the "mov" function will allow
> you to
> > > only
> > > > > > use
> > > > > > > the
> > > > > > > > > > moving averages listed in Metastock i.e EXP, SIM,
> WEI,
> > > etc
> > > > > > and
> > > > > > > not
> > > > > > > > > in
> > > > > > > > > > this case our Zero Lag EMA so would it be possible
> to
> > > use
> > > > > > > > > the "cross"
> > > > > > > > > > function. So that the logic would be:
> > > > > > > > > > Buy when the optimised Zero Lag EMA(shorter)
> crosses
> > > over
> > > > > the
> > > > > > > > > optimised
> > > > > > > > > > Zero Lag EMA(longer). And conversely sell when the
> > > longer
> > > > > > > crosses
> > > > > > > > > the
> > > > > > > > > > shorter.
> > > > > > > > > >
> > > > > > > > > > Yours
> > > > > > > > > > PAUL
> > > > > > > > > >
> > > > > > > > > > --- In equismetastock@xxxxxxxxxxxxxxx, pumrysh
> > > <no_reply@>
> > > > > > > wrote:
> > > > > > > > > > >
> > > > > > > > > > > Paul,
> > > > > > > > > > >
> > > > > > > > > > > Let's see if we can provide some recap
> information
> > > for
> > > > > > anyone
> > > > > > > > > else
> > > > > > > > > > > wishing to take part in this. The indicators
> were
> > > listed
> > > > > by
> > > > > > > you
> > > > > > > > > in
> > > > > > > > > > > message 24953.
> > > > > > > > > > >
> > > > > > > > > > > As I remember we had several indicators from
> which
> > > to
> > > > > take
> > > > > > > > > signals. We
> > > > > > > > > > > had a MACD that we made using the ZeroLag EMA
> and we
> > > also
> > > > > > > took
> > > > > > > > > the
> > > > > > > > > > > ZeroLag MACD and normalized it.
> > > > > > > > > > >
> > > > > > > > > > > Now we want to do an exploration and optimize
> some
> > > values
> > > > > > to
> > > > > > > see
> > > > > > > > > what
> > > > > > > > > > > performs best.
> > > > > > > > > > >
> > > > > > > > > > > This was always a lot of fun but also consumed
> large
> > > > > > amounts
> > > > > > > of
> > > > > > > > > time.
> > > > > > > > > > > Even so you have to walk through it just to see
> how
> > > it
> > > > > > works.
> > > > > > > > > > > Optimization is not widely favored, so just
> realize
> > > that
> > > > > > > there
> > > > > > > > > are a
> > > > > > > > > > > lot of critics out there. There are no hardened
> > > rules to
> > > > > > > > > optimizing as
> > > > > > > > > > > any value is fair game but just realize that it
> is
> > > far
> > > > > > better
> > > > > > > to
> > > > > > > > > run
> > > > > > > > > > > your test on a smaller number of values and if
> you
> > > have
> > > > > to
> > > > > > > run
> > > > > > > > > your
> > > > > > > > > > > test several times thats quite alright.
> > > > > > > > > > >
> > > > > > > > > > > You have chosen the ZeroLag EMA and a moving
> average
> > > > > > > crossover.
> > > > > > > > > Easy
> > > > > > > > > > > enough. First go into the system tester and
> first
> > > thing
> > > > > you
> > > > > > > > > notice is
> > > > > > > > > > > that there already are some test included. Let's
> > > take a
> > > > > > look
> > > > > > > at
> > > > > > > > > the
> > > > > > > > > > > Equis-moving average crossover...open it. Open
> the
> > > Buy
> > > > > > Order
> > > > > > > > > tag. What
> > > > > > > > > > > you will see is:
> > > > > > > > > > >
> > > > > > > > > > > Mov(C,opt1,E) > Mov(C,opt2,E)
> > > > > > > > > > >
> > > > > > > > > > > Next click on the Optimizations tag and look at
> the
> > > > > values
> > > > > > > > > assigned
> > > > > > > > > > > for opt1 and opt2.
> > > > > > > > > > >
> > > > > > > > > > > In order to use the Zero Lag EMA all you will
> need
> > > to do
> > > > > is
> > > > > > > > > replace
> > > > > > > > > > > the Close or C with an assigned variable for the
> fml
> > > > > ("Zero
> > > > > > > Lag
> > > > > > > > > EMA").
> > > > > > > > > > > Like this:
> > > > > > > > > > >
> > > > > > > > > > > A:= fml("Zero Lag EMA");
> > > > > > > > > > >
> > > > > > > > > > > Now just reference it in your system test. Like
> this:
> > > > > > > > > > >
> > > > > > > > > > > A:= fml("Zero Lag EMA");
> > > > > > > > > > > A > Mov(A,opt1,E)
> > > > > > > > > > >
> > > > > > > > > > > This will leave the original formula intact and
> you
> > > will
> > > > > be
> > > > > > > > > optimizing
> > > > > > > > > > > on the moving average of it. If you want to
> optimize
> > > the
> > > > > > > > > original
> > > > > > > > > > > formula you must include it in your test formula
> > > instead
> > > > > of
> > > > > > > just
> > > > > > > > > the
> > > > > > > > > > > fml call variable. Notice in the example above
> that
> > > all
> > > > > we
> > > > > > > did
> > > > > > > > > was
> > > > > > > > > > > place an opt# where a numeric value would
> normally
> > > go.
> > > > > > > > > > >
> > > > > > > > > > > I would be careful about over-optimizing though.
> The
> > > > > > results
> > > > > > > are
> > > > > > > > > > > really going to be the result of how well the
> > > formula
> > > > > > > performs
> > > > > > > > > on a
> > > > > > > > > > > particular stock or group of stocks during a
> > > particular
> > > > > > > period
> > > > > > > > > of time
> > > > > > > > > > > and may not be an indication of how well future
> > > > > performance
> > > > > > > can
> > > > > > > > > be
> > > > > > > > > > > determined. Best to try the test on stocks of
> > > varying
> > > > > > > > > performance and
> > > > > > > > > > > use those as a benchmark. This is really where
> most
> > > > > > criticism
> > > > > > > > > comes
> > > > > > > > > > > from.
> > > > > > > > > > >
> > > > > > > > > > > That should get you going, Let us know how it
> goes.
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > > Preston
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > > > --- In equismetastock@xxxxxxxxxxxxxxx, "Paul
> Harris"
> > > > > > > > > <paul_vicmar@>
> > > > > > > > > > > wrote:
> > > > > > > > > > > >
> > > > > > > > > > > > Some weeks ago Preston and I worked on an
> > > exploration
> > > > > and
> > > > > > > > > expert
> > > > > > > > > > > > advisor for a Zero Lag MACD.
> > > > > > > > > > > > So I was looking at using a Zero Lag EMA in a
> > > system
> > > > > > test,
> > > > > > > > > similar to
> > > > > > > > > > > > a MA crossover. My only problem is that I want
> to
> > > use
> > > > > the
> > > > > > > > > optimiser
> > > > > > > > > > > to
> > > > > > > > > > > > find the best time periods for Zero Lag EMA
> and I
> > > don´t
> > > > > > > know
> > > > > > > > > how to
> > > > > > > > > > > do it.
> > > > > > > > > > > > I know I have to indentify the Zero Lag EMA as
> fml
> > > > > ("Zero
> > > > > > > Lag
> > > > > > > > > EMA")but
> > > > > > > > > > > > then how can I introduce the opt1 function?
> > > > > > > > > > > > Some help would be greatly appreciated.
> > > > > > > > > > > > Thanxs
> > > > > > > > > > > > PAUL
> > > > > > > > > > > >
> > > > > > > > > > >
> > > > > > > > > >
> > > > > > > > >
> > > > > > > >
> > > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/equismetastock/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:equismetastock-digest@xxxxxxxxxxxxxxx
mailto:equismetastock-fullfeatured@xxxxxxxxxxxxxxx
<*> 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/
|