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That is the basic filtering idea, but its going to take some time to figure
out using some kind of bar pattern with few bars, perhaps something from a
Drummond technique or Candlestick technique, or polarized fractal efficiency
technique, or as another oddballer is using, a trend confirmation with a
volume advance decline line. The cost in code efficiency goes up like the
cost of buying a better high fidelity system in order to get a little better
improvement.
bobr
----- Original Message -----
From: "Bob Fulks" <bfulks@xxxxxxxxxxxx>
To: "BobR" <bobrabcd@xxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Friday, March 22, 2002 11:36 AM
Subject: Re: Oddball modification
> At 9:56 AM -0800 3/22/02, BobR wrote:
>
> >OK, now then one more test if you don't mind. There are times when it is
> >advantageous to enter on the close of the bar such as when the price
trend
> >is in synchronism with the roc adv signal. Other times as was proved by
> >your earlier tests its best to wait until price trend agrees with the
> >signal. So what we need is a creative trend check to determine if we
should
> >take the trade on the bar's close or use the H[Len]+Offset and
> >L[Len]-Offset. I don't have the syntax worked out yet, but it would be
> >something that makes a bar to bar comparison of some type.
>
>
> I think I get it. I tried the following:
>
>
> Input: BZ(3), SZ(1), Len(1), Offset(0), Period(3);
>
> Vars: Avg(Close);
>
> Avg = T3Average(Close, Period);
>
> if Time > 0930 and Time <=1600 then begin
> if RateOfChange(Close of data2, 7) > BZ then begin
> if Avg > Avg[1]
> then Buy at Close
> else Buy at High[Len] + Offset stop;
> end;
> if RateOfChange(Close of data2, 7) < SZ then begin
> if Avg < Avg[1]
> then Sell at Close
> else Sell at Low[Len] - Offset stop;
> end;
> end;
>
>
> No real improvement. And it optimized to a Period = 14 on the
> T3Average which is much slower than I would have guessed. Results in
> first column below with other columns from last test.
>
> BobR.2 BobR.1 BobR.1
> Inputs Inputs Inputs
> 3,1,0,1,14 3,1,1,0 3,1,0,0
>
> Net profit 2175 2360 2966 Points
> Trades 1253 1401 1340
> % Prof 55% 50% 53%
> Ave Trade 1.74 1.68 2.21 Points
> PF 1.55 1.49 1.73
> DD 150 197 140 Points
> ROA 1448% 1206% 2103%
> Sharpe 2.51 2.54 3.30
>
> Doesn't seem to be as I would have expected.
>
> Bob Fulks
>
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