AW: Dynamic Breakout System

["VK" <volker@xxxxxxxxxxxxxx>]

And if you want to run it on a portfolio of symbols with portfolio level
money management you can take a look at the script here:

http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/editsystem?id=28885

As a member of the web site you can test it on a portfolio of stocks for
free. The real power of the various money management methods is not
available on the web site. You would need the desktop version for it but it
give you an idea. 
 
Regards,
 
Volker Knapp
(www.wealth-lab.com)
 
-----Ursprüngliche Nachricht-----
Von: Mark Johnson [mailto:janitor@xxxxxxxxxxxx] 
Gesendet: Samstag, 5. Juni 2004 19:49
An: omega-list@xxxxxxxxxx
Betreff: Re: Dynamic Breakout System

It looks like you're working on the original
DBS code written by George Pruitt and published
in Futures magazine.  Take a quick glance at
Stridsman p. 98 and it's easily confirmed.

Your code is missing one statement, and another
statement is wrong.  The missing statement is

     OldVarA = VarA;

and the wrong statement is

     VarA = VarA * (1 + ZDelta);

Trace through Stridsman's book and you'll find
the problems.  You'll find that the two pieces
of code employ different variable names but identical
statements and order:

Pruitt         Stridsman
===========================
VarA           EntryLB
OldVarA       YestEntryLB


"Trey Johnson" <dickjohnson3@xxxxxxxxxxxxxx> writes
>Hello List,
>         As I was re-working through the DBS system by Thomas Stridsman,
>I noticed what seems to be an error or I guess I should say it doesn't
>seem to work as he intended. The error seems to be in the line: VarA =
>VarA * (1 + ZDelta);
>If you bracket out the rest of the code and plot VarA, it seems to
>converge towards zero over time. This in turn seems to cause VarA to
>become a fixed look-back period at some point in time as opposed to a
>variable look-back. Has anyone else noticed this? Does anyone have any
>suggestions for a fix? It seems that it may need a beg/end condition or
>something along those lines.
>Thanks,
>Trey
>
>
>Inputs: Ceil(60), Flr(20);
>
>Vars: X(0), ZDelta(0), OldVarA(0), VarA(0), VarB(0), Y(0),
>EntryL(0), EntryS(0), ExitL(0), ExitS(0);
>
>Y = X;
>X = Stddev(Close, 30);
>ZDelta = (X - Y) / X;
>
>If CurrentBar = 1 then
>         VarA = 20;
>
>VarA = VarA * (1 + ZDelta);
>VarA = MaxList(VarA, Flr);
>VarA = MinList(VarA, Ceil);
>VarB = VarA * 0.5;
>
>
>EntryL = Highest(High, VarA);
>EntryS = Lowest(Low, VarA);
>ExitL = Lowest(Low, VarB);
>ExitS = Highest(High, VarB);
>
>Plot1(EntryL, "EntryL");
>Plot2(EntryS, "EntryS");
>Plot3(ExitL, "ExitL");
>Plot4(ExitS, "ExitS");