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"This is the biggest problem TS 4.0 has, which everyone has been ignoring."
No. No You heard it here first!!! Roughly June of '98. Entering the next
bar's open is problematic too.
-----Original Message-----
From: Dale Legan [mailto:dlegan@xxxxxxxxx]
Sent: Wednesday, November 04, 1998 6:54 PM
To: 'Orphelin@xxxxxxx'; Omega-list
Subject: RE: Construction of trading signals (not indicators)
This is the biggest problem TS 4.0 has, which everyone has been ignoring.
The inaccurate results of comparisons in the system area. I've worked out
some of my systems by hand and my research shows that a indicator may have a
totally different value when referenced in a system - not even similar to
what is plotted on the screen.
It has made TS totally useless as far as system testing is concerned.
Everything must be backtested by hand. A recent example of this was a
system I wrote using the volatility indicator that Cindy Leee shared with
the group a few weeks ago,.
Here were the parameters.
if price > Indicator and Low<low[2] then buy at high + 1 point stop;
if Price < Indicator and H>H[2] then sell at l - 1 point stop;
Even with this simple system about half of the system entries as shown by
the price plot did not show on the system when programmed. After verifying
a few times I got the correct signals to appear only to disappear again
after I verified again. Never to be seen again. All this without changing
the Code !!!!
I have the TS 5.0 Preview I hope to get the password soon so I can test to
see if it has this same problem.
I've been dealing with this certain problem for 4 + years ! In two weeks
AIQ pro with system and indicator writing abilities will be on the market.
The language is similar to visual basic.
Between TS 5.0 or AIQ we should be able to work around this finally.
-----Original Message-----
From: Orphelin@xxxxxxx [SMTP:Orphelin@xxxxxxx]
Sent: Wednesday, November 04, 1998 6:48 PM
To: Omega-list
Subject: Re: Construction of trading signals (not indicators)
Dans un courrier daté du 04/11/98 19:12:18 Heure d7iver Pari18 Madrid,
jrt@xxxxxxxxxx a écrit :
> have come across some very common problem which appears when one
> constructs trading signals.
>
> What has been bothering me is the following:
>
> Lets say I have got a two indicators which work well across a number
> of markets and which are meant to have a predictive meaning. They
> are implemented in the following way:
>
> IF (Indicator1 > threshold1) and (Indicator2 > threshold2) then buy
> IF (Indicator1 < - threshold1) and (Indicator2 < - threshold2) then
> sell
>
> Basically two conditions must be satisfied before a long position is
> established or reversed.
>
> This system works well however it is wrongly constructed in my
> opinion because if I assume that these indicators have got
> a predictive meaning then one should not be in a position when one of
> the conditions is NOT satsified. So from a logical point of view the
> system should be rather:
>
> IF (Indicator1 > threshold1) and (Indicator2 > threshold2) then buy;
> IF (Indicator1 <= threshold1) or (Indicator2 <= threshold2) then
> exit long;
> IF(Indicator1 < - threshold1) and (Indicator2 < - threshold2) then
> sell;
> IF(Indicator1 >= - threshold1) or (Indicator2 >= - threshold2) then
> exit short;
>
> Basically the system is only in the market when both conditions
> are satisfied and not as in the first case until a new position is
> established.
>
> However this system does not perform at all profits. So what is
> the conclusion from this exercise ?
>
> 1. The indicators are not valid at all.
> 2. The indicators are only wrong for the exit signal.
>
> Has anyone got any suggestion how to test either of these theories ?
>
> Gerrit Jacobsen
>
>
1 and 2 are possible, but there is another one
Your example is a typical one that use crisp values where you limit your
choice to 2*2 boolean conditions, what restricts the power of your
indicators.
The complete solution could be given using fuzzy logic for example.
No proof that the exit levels are given by the same values for long and
short entries/ exits.
You can try with our free neurofuzzy thing version 2 and your two
indicators.
I bet that it will find a better solution than any crisp coding.
Within minutes.
Sincerely,
Pierre Orphelin
www.sirtrade.com
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