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Thanks - very interested in what other your comments you have - I have
played with it several times and it seems very robust (coefficients range
from 0.5 up to about 10) and profitable across several different markets.
In addition code seems much more robust and crisp than some of the other
similar codes around.
It is just a personal thing at the moment.
"M. Simms"
<prosys@xxxxxxxx To: <mark.keenan@xxxxxxxxxxxxxx>
ntic.net> cc:
Subject: RE: Easylanguage coding Problem - Help really appreciated.
30/07/2002 16:13
Please respond
to prosys
Nice system....is the bank actually using this in it's trading ?
or is this just a personal thing ?
> -----Original Message-----
> From: mark.keenan@xxxxxxxxxxxxxx [mailto:mark.keenan@xxxxxxxxxxxxxx]
> Sent: Tuesday, July 30, 2002 6:50 AM
> To: omega-list@xxxxxxxxxx
> Subject: Easylanguage coding Problem - Help really appreciated.
>
>
> Firstly sorry about Disclaimer at bottom - can't help it.
>
> How can I get a system to add to a position - For example:
>
> Assume the system is as follows:
>
> - sells 1 contract if the market closes below the 100 day moving average
> and buys one contract if the market closes above the 100 day moving
> average.
>
> sells further contracts (adds to position) if the market closes above the
> 10 day moving average whilst in the above trade.
>
> exits all positions if the market closes above the 100 day moving
average.
>
> My actual example is as follows: The code is essentially for Wilders
> Volatility SAR System (length 21, Factor 3)
>
> I want to code the system to add to the position using a more sensitive
> Factor (for example 1.5) - ie be overall short if the market closes
below
> the SAR (length 21, Coefficient 3), yet add further shorts to the trade
if
> the market closes ABOVE the SAR (length 21, Coefficient 1.5)
>
>
>
> Code is detailed below:
>
> inputs: Coefficient (3);
>
> Vars:
> VLineUp(0),
> VLineDn(0),
> Highest(0),
> Lowest(0),
> JustChanged(FALSE),
> VLine(0);
>
> Array:
> Highs[22](0),
> Lows[22](0),
> Range[22](0),
> UpWave[1](FALSE),
> DnWave[1](FALSE);
>
> {MaxBarsBack = 21}
>
> JustChanged = FALSE;
>
> if CurrentBar <= 21 then begin
> Highs[CurrentBar] = Close;
> Lows[CurrentBar] = Close;
> Range[CurrentBar] = (High - Low) /2;
> end;
>
> if CurrentBar = 22 then begin
> if Highs[21] >= Highs[20] then begin
> UpWave[1] = TRUE;
> Highest = Highs[21];
> VLineUp = Highest - (Coefficient * Average((High - Low),21));
> end;
>
> if Highs[21] < Highs[20] then begin
> DnWave[1] = TRUE;
> Lowest = Lows[21];
> VLineDn = Lowest + (Coefficient * Average((High - Low),21));
> end;
> end;
>
> if CurrentBar > 22 then begin
>
> if DnWave[1] and Close > VLineDn then begin {WAVE CHANGE}
> DnWave[1] = FALSE;
> UpWave[1] = TRUE;
> JustChanged = TRUE;
> Highest = Close;
> Lowest = 0;
> end;
>
> if UpWave[1] and Close < VLineUp and JustChanged = FALSE then begin
> {WAVE CHANGE}
> UpWave[1] = FALSE;
> DnWave[1] = TRUE;
> JustChanged = TRUE;
> Lowest = Close;
> Highest = 0;
> end;
>
> if JustChanged = FALSE then begin
> if Close > Highest then Highest = Close
> else if Close < Lowest then Lowest = Close;
> end;
>
> {CALCULATIONS AND PLOT STATMENTS}
> VLineUp = Highest - (Coefficient * Average((High - Low),21));
> VLineDn = Lowest + (Coefficient * Average((High - Low),21));
>
> if UpWave[1] then buy this bar on close
> else if DnWave[1] then sell this bar on close;
> end
> ------------------------------------------------------------------
> ---------
> This message (including any attachments) is confidential and may be
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> ABN AMRO Bank N.V. (including its group companies) shall not be liable
for
> the improper or incomplete transmission of the information contained in
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> ------------------------------------------------------------------
> ---------
>
>
>
>
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This message (including any attachments) is confidential and may be
privileged. If you have received it by mistake please notify the sender by
return e-mail and delete this message from your system. Any unauthorised
use or dissemination of this message in whole or in part is strictly
prohibited. Please note that e-mails are susceptible to change.
ABN AMRO Bank N.V. (including its group companies) shall not be liable for
the improper or incomplete transmission of the information contained in
this communication nor for any delay in its receipt or damage to your
system. ABN AMRO Bank N.V. (or its group companies) does not guarantee that
the integrity of this communication has been maintained nor that this
communication is free of viruses, interceptions or interference.
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