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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
Attachment:
Description: "OddBall.BobR.2.gif"
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