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The problem with all arbitrary lookback periods (and indicator lengths) is that
the market does not respect them, so they end up being a compromise with the
real action. If you really want to get a handle on retracements you'll need to
get a handle on the real market pivot points. Pivots become more important as
the strength (#bars on both sides which are below/above PHigh/PLow) increases
and/or the compression frequency decreases. You'll need a program which can
build an array of pivots and then scan the array for related pivots as
higher/lower pivots arrive to do calcs and remove violated pivots. Every time
I've tried to build such programs in EL, I've hit the 64k limit. VB will do the
job, perhaps also TS5 which removes the 64k barrier.
Earl
-----Original Message-----
From: Peter Iovanella <ivo1@xxxxxxxxx>
To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
Date: Thursday, June 25, 1998 10:04 AM
Subject: Using Fib level/retracement stops
>I'm trying to figure out how best to code the following idea into a system
>I'm writing, which waits for trend confirmation based on a moving average
>filter, and enters in the direction of the trend based on breaks above/below
>key resistance/support points. What I'd like to do is measure the size of
>the current trend, and tell the system (by way of an exit strategy) to
>ExitShort if the market retraces 13% from its lowest point and ExitLong if
>the market comes off 11% from it's highest point. What I came up with was
>this:
>
>Input: Length(55)
>
>IF MP > 0 then begin
> ExitLong at ((Highest(High,Length) - Lowest(Low,Length))*.89 +
>Lowest(Low,Length)) stop;
>
>IF MP < 0 then begin
> ExitShort at ((Highest(High,Length) - Lowest(Low,Length))*.13 +
>Lowest(Low,Length)) stop;
>
>It seems to me there's got to be a better way than just arbitrarily
>assigning some Length input number, and than using the Highest and Lowest
>functions, which change on a daily basis.
>
>Ideally, I'd like to figure out some way to anchor the high of the move
>(once a downtrend has been confirmed) or the low of the move (once an
>uptrend is confirmed) and then Exit should the market price make high/low
>and then come back off of that high/low by 11%/13%. I guess it's just a
>rather complicated way of placing a trailing stop, since as the market makes
>new highs/lows, the stop level will move up/down.
>
>So if anyone has any ideas on this, please contribute them to the list. And
>to me. Thanks!
>
>BJ
>
>
>
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