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Dale,
> This Function exhibits the characteristics (at least on my computer)
> that you say you have never experienced.
What the f... are you talking about ? Characteristics ? Did you read
what I wrote ?
What characteristics is this system suppose to have ?
Gerrit Jacobsen
>
> -----Original Message-----
> From: Gerrit Jacobsen [SMTP:jrt@xxxxxxxxxxxxxxxx]
> Sent: Tuesday, November 10, 1998 6:52 AM
> To: Dale Legan; omega-list@xxxxxxxxxx
> Subject: RE: Construction of trading signals
>
> Dale,
>
> can you explain the relevance of this posting - I cannot see ANY
> relevance regarding the subject which I originally mentioned.
>
> Gerrit Jacobsen
>
> > This is a Indicator Called confluence, It Ranges from +9 to -9 .
> > It exhibits descrepancies between what is plotted IE when as an
> > indicator and as used in a system. I may want to move a stop or
> > enter a position on a stop above high or below low on a bar when a
> > +9 or -9 is registered.
> >
> > It uses a function called Derivativema which is below as well.
> >
> > ****Confluence****
> > vars:STL(0),ITL(0),LTL(0),HOFF(0),SOFF(0),IOFF(0),LTOFF(0),Phase(1),
> > mtl(0),momsig(0),mom(0),HT(0),HTA(0),
> > ST(0),STA(0),IT(0),ITA(0),SUM(0),ERR(0),ERRSUM(0),ERRSIG(0),TC(0),TC
> > SIG(0), ERRNUM(0),MOMNUM(0),TCNUM(0);
> >
> >
> > Input: price(numeric),Harmonic(numeric);
> >
> > if security then begin
> >
> > {Calculate Lengths}
> > MTL=harmonic/2;
> > STL= IntPortion((harmonic*2)-1); {11}
> > ITL= IntPortion((STL*2)-1); {21}
> > LTL= IntPortion((ITL*2)-1); {41}
> >
> > HOFF=intportion(harmonic/2); {3}
> > SOFF=intportion(STL/2); {5}
> > IOFF=intportion(ITL/2); {10}
> > LTOFF=intportion(LTL/2); {20}
> >
> > {Cycle Momentum}
> >
> > value2 = average(price,STL) - average(price,Harmonic)[HOFF];
> > value3 = average(price,ITL) - average(price,STL)[SOFF];
> > value12 = average(price,LTL)-average(price,ITL)[IOFF];
> >
> > momsig = value2 + value3 + value12; {Signal Line}
> >
> > value5= ((summation(price,harmonic-1) +
> > derivativema(price,harmonic))/harmonic); value6=
> > ((summation(price,STL-1) + derivativema(price,STL))/STL); value7=
> > ((summation(price,ITL-1) + derivativema(price,ITL))/ITL);
> > value13=((summation(avgprice,LTL-1) + derivativema(price,LTL))/LTL);
> >
> > value9 = value6 - value5[HOFF];
> > value10=value7 - value6[SOFF];
> > value14=value13 - value7[IOFF];
> > mom = value9 + value10 + value14;
> >
> > { harmonic =6 was 5 may use harmonic -1 }
> >
> > HT=
> > sine((summation(price,(harmonic-1))+derivativema(price,harmonic))/ha
> > rmonic) +
> > cosine((summation(price,(harmonic-1))+derivativema(price,harmonic))/
> > harmonic); HTA= sine(average(price,harmonic))
> > +cosine(average(price,harmonic));
> >
> > ST= sine((summation(price,(STL-1))+derivativema(price,STL))/ STL) +
> > cosine((summation(Price,(STL-1))+derivativema(Price,STL))/STL); STA
> > = sine(average(price,STL)) + cosine(average(price,STL));
> >
> > IT= sine((summation(price,(ITL-1))+derivativema(c,ITL))/ITL) +
> > cosine((summation(price,(ITL-1))+derivativema(Price,ITL))/ITL);
> > ITA=sine(average(price,ITL))+ cosine(average(price,ITL));
> >
> > Sum= HT+ST+IT; {Est in Cyc Estimator/ Cycle Est Err = Sum - Err }
> > Err =HTA + STA +ITA;
> >
> > {phase detect}
> >
> > Condition2=(Sum > Sum[SOFF] and average(price,harmonic) <
> > average(price,harmonic)[SOFF]) OR (Sum < Sum[SOFF] and
> > average(price,harmonic) > average(price,harmonic)[SOFF]) ; Phase=1;
> > if Condition2 then Phase=-1;
> >
> > ErrSum = (Sum - Err)*phase; { ERROR OF THE CYCLE}
> > ErrSig=average(ErrSum,SOFF); { ERROR SIGNAL LINE}
> >
> > {Trend Catcher}
> >
> > value68=( (summation(price,(harmonic-1)) +
> > derivativema(price,harmonic)) / harmonic ); value69=(
> > (summation(avgprice,(LTL-1)) + derivativema(price,LTL)) / LTL );
> >
> > value70 = value68-value69; { EST W Der}
> > value71 = average(value70,Harmonic);
> >
> > TC =value70;
> > TCSig=value71;
> >
> > {Begin Counting Bars}
> >
> > If ErrSum > 0 then begin
> > if Errsum < ErrSum[1] and ErrSum < ErrSig then ErrNum=1;
> > If ErrSum <ErrSum[1] and ErrSum >ErrSig then ErrNum=2;
> > If ErrSum>ErrSum[1] and ErrSum<ErrSig then ErrNum=2;
> > If ErrSum > ErrSum[1] and ErrSum> ErrSig then ErrNum=3;
> > End;
> > If ErrSum < 0 then begin
> > if Errsum > ErrSum[1] and ErrSum > ErrSig then ErrNum=-1;
> > If ErrSum <ErrSum[1] and ErrSum >ErrSig then ErrNum=-2;
> > If ErrSum>ErrSum[1] and ErrSum<ErrSig then ErrNum=-2;
> > If ErrSum < ErrSum[1] and ErrSum< ErrSig then ErrNum=-3;
> > End;
> >
> > If Mom > 0 THEN begin
> > if mom < mom[1] and mom < momsig then momNum=1;
> > If mom <mom[1] and mom >momsig then momNum=2;
> > If mom>mom[1] and mom<momsig then momNum=2;
> > If mom > mom[1] and mom> momSig then momNum=3;
> > End;
> > If mom < 0 then begin
> > if mom > mom[1] and mom > momSig then momNum=-1;
> > If mom <mom[1] and mom >momSig then momNum=-2;
> > If mom>mom[1] and mom<momSig then momNum=-2;
> > If mom < mom[1] and mom< momSig then momNum=-3;
> > End;
> >
> > If TC > 0 THEN begin
> > if TC < TC[1] and TC < TCsig then TCNum=1;
> > If TC <TC[1] and TC >TCsig then TCNum=2;
> > If TC>TC[1] and TC<TCsig then TCNum=2;
> > If TC > TC[1] and TC> TCSig then TCNum=3;
> > End;
> > If TC < 0 then begin
> > if TC > TC[1] and TC > TCSig then TCNum=-1;
> > If TC <TC[1] and TC >TCSig then TCNum=-2;
> > If TC>TC[1] and TC<TCSig then TCNum=-2;
> > If TC < TC[1] and TC< TCSig then TCNum=-3;
> > End;
> >
> >
> > value42= ErrNum + MomNum+TCNum;
> > confluence=value42;
> >
> > end;
> >
> > **Function DErivativema ****
> > Inputs: Price(Numeric), Length(Numeric);
> >
> > if security then begin
> > VARS: DERIV(0),SUMD(0),LENG2(0),N1(0),DR(0);
> >
> >
> > DERIV= ((AVERAGE(Price,Length))*2) - AVERAGE(Price,Length)[1];
> >
> > SUMD=Length*DERIV;
> >
> > LENG2=length - 1 ;
> >
> > N1= (AVERAGE(Price,LENG2))*LENG2;
> >
> > DR=SUMD-N1;
> >
> > DerivativeMA = DR;
> > end;
> >
> >
> > -----Original Message-----
> > From: SKane777@xxxxxxx [SMTP:SKane777@xxxxxxx]
> > Sent: Thursday, November 05, 1998 10:44 AM
> > To: Orphelin@xxxxxxx; Omega-list@xxxxxxxxxx
> > Subject: Re: Construction of trading signals
> >
> > We use an intraday system (2 min bars) on TS, developed 4 years ago
> > and traded realtime for the past two years. A friend of mine who is
> > the one of the head programmers for one of the large computer firms
> > here in Austin programmed the system for me. He did not like the TS
> > 13,000 bar limit, so he exported all the data (3 data inputs) for 2
> > years into an ascii file and re- programmed the TS system
> > (functions, indicators and system) into C language. It runs on DOS.
> > In 2 years, out of about 400 trades, there have only been 4
> > discrepancies due to rounding problems between C and TS. Everything
> > matches up fine when I backtest over 6 years of data.
> >
> > We have never "lost" a trade nor "gained" a trade.
> >
> > One note - if your time feeds are not in gear, you may have
> > realtime and backtest variance. We experienced this with
> > FutureSource last Monday when we did not adjust the time offset for
> > daylight savings (our fault).
> >
> >
> > Steve
> >
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