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> I am a "pasive" omega-list´s reader, I mean, I dont use to send
> too much e-mails. Maybe because I am Spanish and sometimes I cant
> express correctly what I want to say.
Jose, your English is *excellent*. I think you express yourself very
well.
> The question is: how can we determine when we have scenario 1 or
> scenario 2. I mean, if you have backtested you system and know that
> when volatility raises, the optimal parameters of the system are
> (for example) 1 and 2, and in choppy markets the optimal
> parameters are 2 and 1.5, how can we do to estimate the current
> market scenario and so to determine which parameter to choose.
Do you have a good programmed way to detect the difference between
"volatile" and "choppy"? If you do, then you could do something like
this:
Inputs: K1vol(1.0), K2vol(2.0), K1chop(2.0), K2chop(1.5);
Vars: K1(0), K2(0);
{ VolOrChop returns True if volatile conditions, False if choppy }
if VolOrChop(x,y,z,whatever) then begin
K1 = K1vol;
K2 = K2vol;
end
else begin
K1 = K1chop;
K2 = K2chop;
end;
Or, if you have a a continuous-function result that determines the
volatility vs. choppiness of the market, maybe you could get better
results by computing optimal values of K1/K2 for the current market
conditions. For example, if VolChop returns an index from 0 to 1.0,
where 0 = totally volatile and 1.0 = totally choppy, you could use it
in an expression to compute K1/K2. One way would be to predetermine
the vol/chop values of K1/K2 as in the example above, and use those
in the equation:
K1 = (1-VolChop)*K1vol + VolChop*K1chop;
K2 = (1-VolChop)*K2vol + VolChop*K2chop;
...or maybe you could figure out a better way to compute K1 and K2
based on the value of VolChop. You'll need to figure out what works
for your specific situation.
I'm sure there are better ways to do this, but there are a few ideas
for you to think about.
> I am testing the system I enclosed as an ELA file.
This code looks at the highest high, lowest low, etc for the last
Mday or Nday bars. Since you said you traded this intraday, I'm
wondering if you have an error here. You use values of Mday=1 and
Nday=1. That means you're only looking back one BAR. Did you intend
to look back one DAY, or did you perhaps want the highest high &etc
that has appeared so far today?
Gary
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