Re: ELA Question: Entry as soon as MA xover vs at the close

["jonmac" <jonmac@xxxxxxxxxxx>]

Hi Gary

Thankyou for your continual efforts in sorting me out. I appreciate it. And,
incidentally, my thank you is extended to this list in general which
supplies so much support for novices as myself, where, otherwise,
development of system trading in general maynot happen.

Being 3.20 A.M. here in Aus; I'll put your math into action latter today.
Thanks again
Jon

----- Original Message -----
From: "Gary Fritz" <fritz@xxxxxxxx>
To: "jonmac" <jonmac@xxxxxxxxxxx>
Cc: "omega" <omega-list@xxxxxxxxxx>
Sent: Wednesday, 26 September, 2001 1:37 AM
Subject: Re: ELA Question: Entry as soon as MA xover vs at the close


> > What I was trying to do was to have the equation calculate a value
> > for the macd to cross the macd signal line (smoothed macd). So,
> > where your equation had zero on one side (at one of its earlier
> > stages) I simply replaced it with yesterday's macd signal line
> > value.
>
> Ohhh.  I never use MACD and I never even thought about that.  :-)
>
> > Then, as you had done, I tried to get 'C' only onto one side
> > of the equation. What i'd sent previously seemed to work in excel,
> > but no doubt isn't perfectly accurate. worth a try!?
>
> OK, then you probably had it right to start with.  If I modify my
> equations for that, I'd get:
>
> > > 0 = FZ*C*(FX-FY) + FZ*(1-FX)*xavgX - FZ*(1-FY)*xavgY + (1-FZ)*macdZ
>
> Instead of 0=, it should be C*(FX-FY) + (1-FX)*avgX - (1-FY)*avgY =.
>
> Then
>
> C*(FX-FY) - FZ*C*(FX-FY)
>   = FZ*(1-FX)*avgX - (1-FX)*avgX - FZ*(1-FY)*avgY + (1-FY)*avgY
>        + (1-FZ)*macdZ
>
> (1-FZ)*C*(FX-FY)
>    = -(1-FZ)*(1-FX)*avgX + (1-FZ)*(1-FY)*avgY + (1-FZ)*macdZ
>
> So the value of C that causes the fast MACD to cross the smoothed
> MACD is:
>
> C = -(1-FX)*avgX + (1-FY)*avgY + macdZ
>     ----------------------------------
>                 FX-FY
>
> ...which, interestingly enough, is **identical** to the previous
> equation I derived (for the value of C that causes the smoothed MACD
> to cross zero), except for a (1-FZ)/FZ factor on the macdZ term:
>
> > > C = -(1-FX)*avgX + (1-FY)*avgY - (1-FZ)*macdZ/FZ
> > >     --------------------------------------------
> > >                        FX-FY
>
> As always, this is untested, your mileage may vary, etc etc.
> Gary
>
>