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Not so fast, I ran this system on the S&P futures going back to 1982, and
the results where dismal (way to many trades, and many whipsaws).
I have attached the equity obliteration chart.
No simple stochastic/detrend oscillator will make money trading the S&P.
The code may help someone to improve on their coding though, but I would
warn them against actually
using it for trading.
Many studies have been performed that show that most stochastics based
systems are money losing propositions.
Good luck and good trading,
JT
-----Original Message-----
From: Andy [mailto:ronin@xxxxxxxxxxx]
Sent: Wednesday, June 28, 2000 8:33 PM
To: Code List; Omega List
Cc: jimo@xxxxxxxxxx
Subject: CL_Once in a while....
...you'd find something interesting in TASC. Most of the time it's fluff.
But I got lucky with the July 2000 issue.
John F. Ehlers wrote an article, "Optimal Detrending", in the July 2000
issue. I took his indicators and used them as a filter in combination with
my version of a smoothed stochastic. I've attached the ELA and a GIF file
showing the equity curve. The equity curve can be smooth out further with
the right set of money management and exit techniques. As it stands now, the
equity curve is jerky but rising steadily at nearly a 45 degree angle.
The 2 filters are 2 functions named Ehlers_MOEF and Ehlers_DT, with the
Ehlers_MOEF calling on the Ehlers_DT to detrend the price series. If the DT
is greater than the MOEF, then it's ok to go long. If the DT is below the
MOEF, it's ok to go short. We then use the smooth stochastic to enter or
exit the trade.
$250 slippage, $20 commision.
--------------------------------------------------------
{Function: Ehlers_DT}
Inputs: Lbck(Numeric);
Vars: Price(0);
Price=(H+L)/2;
Value1=Price + 0.088*Value1[Lbck];
Value2=Value1 - Value1[Lbck] + 1.2*Value2[Lbck] - 0.7*Value2[2*Lbck];
Ehlers_DT=Value2[2*Lbck]-2*Value2[Lbck]+Value2;
---------------------------------------------------------
{Function: Ehlers_MOEF}
Inputs: Lbck(Numeric);
Vars: DT(0);
Dt=Ehlers_DT(Lbck);
Ehlers_MOEF=0.13785*(2*DT-DT[1]) + 0.0007*(2*Dt[1]-Dt[2]) +
0.13785*(2*DT[2]-Dt[3]) + 1.2103*Ehlers_MOEF[1]-0.4867*Ehlers_MOEF[2];
---------------------------------------------------------
{Function: AD_Stoch}
Input: Lbck(NumericSeries),Len(NumericSeries);
Vars: Upper(0),Lower(0),tot(0),Fac(0),Xavg(0);
Upper=c-lowest(low,Lbck);
Lower=Highest(H,Lbck)-Lowest(L,Lbck);
If Lower<>0 then Tot=Upper/Lower;
If Len+1<>0 then begin
if CurrentBar<=1 then begin
Fac=2/(Len+1);
Xavg=Tot;
end
else
Xavg=Fac*Tot+(1-Fac)*Xavg[1];
end;
AD_Stoch=Xavg;
---------------------------------------------------------
{System: AD_Combine SPX}
Inputs: Lbck(41),R(17),S(7),Q(6);
Vars: Dt(0),Smth(0),Mo(0),Avg(0),Mp(0);
Dt=Ehlers_DT(Lbck);
Smth=Ehlers_Moef(Lbck);
Mo=AD_Stoch(R,S);
Avg=Xaverage(AD_Stoch(R,S),Q);
Mp=MarketPosition;
If MP<>1 and DT > Smth and Mo crosses above Avg then buy on close;
If MP=1 and Mo crosses below Avg then exitlong on close;
If MP<>-1 and DT < Smth and Mo crosses below Avg then sell on close;
If MP=-1 and Mo crosses above Avg then exitshort on close;
Attachment Converted: "f:\eudora\attach\beware.gif"
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