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Message text written by INTERNET:omega-list@xxxxxxxxxx
>Mark Jurik posted a simplified version of this code earlier.
I have made the parameters inputs in the version below. With the
defaults shown, this code does exactly the same thing as the original
code. (Make sure the MaxBarsBack setting is 92 for both systems.)
The simpler code makes it easy to see what is actually happening.
Since the term:
Average(Close, Length1)
lags the Close by ((Length1 - 1) / 2) bars, this term is positive
when the trend is up. This is basically the usual moving average
crossover system with three important differences:
> The short average of the moving average crossover system is
replaced by the unaveraged Close
> There is a dead band in the middle to help eliminate the usual
whipsaws of a moving average crossover system
> The dead band is adaptively adjusted by the volatility of the market
To understand this we need to rearrange the terms a little.
Restating the equation for the buy point in a little simpler notation:
Close - (AverageClose) / (XAverageTrueRange) > 3
Rearranging:
Close - (AverageClose) > 3 * (XAverageTrueRange)
so the size of the dead band is directly proportional to the volatility.
By comparison, the usual moving average crossover system buy point
can be written as:
ShortAverageClose - (LongAverageClose) > 0
So the dead band makes it harder to enter by a self-adjusting amount,
eliminating a lot of the whipsaws.
Interesting system.
Bob Fulks
===========================================
Input: EntLevel(3), ExLevel(0), Length1(89), Length2(89.9090);
Vars: MP(0), Osc(0);
MP = MarketPosition;
Osc = (Close - Average(Close, Length1)) / XAverage (TrueRange, Length2);
if MP < 1 and Osc > +EntLevel then Buy at market ;
if MP = 1 and Osc < +ExLevel then ExitLong at market ;
if MP >-1 and Osc < -EntLevel then Sell at market ;
if MP =-1 and Osc > -ExLevel then ExitShort at market ;
============================================
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