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Hello Everyone,
Listening to all the talk about great trading systems, I have searched for
a indicator that was brought to my attention by another poster in the list.
I found this in one of my many books, but I have not found any ELA's as of
yet. WWW search engines revealed nothing.
This is a quote by Mr. Perry Kaufman from "Trading System and Methods"
" The Donchian's idea is to use the volatility-penetration criterion
relative to the 20-day moving average, but with some added complication. The
current penetration must not only cross the 20-day moving average but also
exceed any previous 1-day penetrating of a closing price by at lease on
volatility measure.
The 5-day moving average serves as a liquidation criterion (along with
others) and is modified by the prior penetration and volatility. These
features tend to make Donchian's volatility measurement self adjusting. Even
if selected poorly, the new determination must exceed prior breakouts;
without through testing, it maybe difficult to determine which rule has more
significance. To maintain a human element , Donchain requires execution of
certain orders to be delayed a day if the signals occurred on specific
weekdays or before a holiday."
This is all that I have with the Donchian's ideas, which I know is pretty
pathetic. Does anybody have any other Donchian's ELA's?
{******************************************************
Donchain Channel Breakout System
From: TS Express (Sept/Oct 1999)
*******************************************************}
Inputs: Len(40);
Buy Highest(High, Len) Stop;
Sell Lowest(Low, Len) Stop;
I had my H.D.D. crash on me resulting in two years of info gone. I backed
up some data, but the result was still catastrophic. To get to the point,
for all my friends that I have met through the Omega-List, sorry that I
haven't contacted you.
Aloha,
Bryan K. Mulholland
Honolulu, Hawaii
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