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Take a look at this system I think its basically the concept. I use an
adaptation of this basic system. I use it on 5 Min Bars, with a set of Min Max
trade exits. I also use a filter with it to keep it trading in one direction and
take some of the chop out of it.
Input: SellAvg(3), BuyAvg(3), ShortLim(.025),LongLim(.025), StopLoss(.0625);
Var: Pos(1), TSUP(0), TSDN(0),KSell(False),KBuy(False);
TSUP = Average (High,SellAvg)[1];
TSDN = Average (Low,BuyAvg)[1];
KBuy = Close >= TSDN;
KSell = Close <= TSUP;
If Pos = 1 and Close <= TSDN then Begin
Pos = -1;
end;
If Pos = -1 and Close >= TSUP then begin
Pos = 1;
end;
If Pos = -1 and KSell then Sell ( "KSell") Low - ShortLim stop;
If Pos = 1 and KBuy then Buy ( "KBuy") High + LongLim stop;
ExitShort ("StopLossShort") from entry ("KSell") At$ High + stoploss stop;
ExitLong ("StopLossLong") from entry ("KBuy") At$ Low - stoploss stop;
The first dawn of smartness is to stop trying things you don't
know anything about----especially if they run to anything
over a dollar.
Sentinel Trading
rjbiii@xxxxxxxxx
____________________Reply Separator____________________
Subject: Re: A novel moving average
Author: Clint Chastain
Date: 5/28/99 2:40 PM
Hi Glen:
I agree. Sounds interesting. Where can we find out more about this new
system? I glanced at the System Traders pages and didn't see anything there
that sounds like what you describe.
Clint
----- Original Message -----
From: Glen Wallace <gcwallace@xxxxxxxx>
To: Omega Listserver <omega-list@xxxxxxxxxx>
Sent: Thursday, May 27, 1999 8:41 PM
Subject: A novel moving average
> Chuck LeBeau has a new system that uses a novel approach to identify a
trend
> using moving averages of lows (to identify the higher lows of an uptrend)
> and highs (to identify the lower highs of a downtrend).
>
> Interesting. Has anyone done any research to compare this to, say, a
moving
> average of the ATR or close?
>
>
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