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One method of getting around some of the problems of the
Parabolic and yet retaining much of what is good about
the Parabolic was suggested by Andrew Abraham in a recent
issue of TAS&C.
If as termed, "Trend Finder" , is true then this certainly
should provide a very good STOP point in a trade.
A 21 day period for ATR and a multiplier of 3 works out well
on almost ALL time periods of data. (I use it on 30 minute
bars and daily bars). What this does with OEX 30 minute data
is unbelievable.
I have called this LeeX4 in my scheme of things just to note
that it is a bit different than originally proposed.
Clyde Lee
{ *******************************************************************
Study : Trend Finder (LeeX4)
Last Edit : 8/7/98
Provided By : Andrew Abraham (c) Copyright 1998
Modified By : Clyde Lee (SYTECH/FuturesMagic) (c) Copyright 1998
********************************************************************
}
Inputs: ATRMult(NumericSimple),
ATRLeng(NumericSimple);
Vars: ATRVal(0),HHigh(H),LLow(L),Position(1),SAR(c);
If ATRLeng<>0 then begin
if High > HHigh then HHigh = High;
if Low < LLow then LLow = Low;
ATRVal = WAverage(TrueRange,ATRLeng);
if Position = 1 then begin
if Low <= SAR and Low[1] <SAR then Position = -1; {Reverse}
end
else begin
if High >= SAR and High[1]>SAR then Position = +1; {Reverse}
end;
if Position = 1 then begin
if Position[1] <> 1 then begin
LLow = Low;
HHigh = High;
SAR = HHigh-ATRVal*ATRMult;
end
else begin
SAR = HHigh[1]-ATRVal*ATRMult;
If SAR[1]>SAR THEN SAR=SAR[1]*.9+SAR*.1;
end;
end
else If Position < 0 then begin
if Position[1] <> -1 then begin
LLow = Low;
HHigh = High;
SAR = LLow+ATRVal*ATRMult;
end
else begin
SAR = LLow[1]+ATRVal*ATRMult;
If SAR[1]<SAR THEN SAR=SAR[1]*.9+SAR*.1;
end;
end;
LeeX4 = SAR*Sign(Position);
End
Else LeeX4=C;
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Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: <clydelee@xxxxxxx>
7910 Westglen, Suite 105 Work: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
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