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This Function exhibits the characteristics (at least on my computer) that you say you have never experienced.
-----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
>
Jacobsen Research & Trade Lda.
Rua da Cooperativa Agricola do Funchal
Edifico CAF Bloco B 5C
9050 Funchal / Madeira Portugal
Telephone (351) 91 233 251 Fax (351) 91 233 248
JRT@xxxxxxxxxx
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