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Re: S&P system

  • To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
  • Subject: Re: S&P system
  • From: Clyde Lee <clydelee@xxxxxxx>
  • Date: Sat, 29 Nov 1997 12:06:23 -0800 (PST)
  • In-reply-to: <971126004950_-463228388@xxxxxx>

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<TT>Folks,</TT><TT></TT>

<P><TT>I have been asked how I evaluated the SimpleS&amp;P behavior using</TT>
<BR><TT>5 minute charts.</TT><TT></TT>

<P><TT>The following code (also in attached&nbsp; .ela&nbsp; file) is what
was used.</TT><TT></TT>

<P><TT>This is not a perfect system at all and was just a quick attempt
to</TT>
<BR><TT>evaluate an idea.&nbsp; It does solve some problems about a single</TT>
<BR><TT>entry per day and exiting on last bar and initialization on first
bar</TT>
<BR><TT>of day.</TT><TT></TT>

<P><TT>Hope you can use it!</TT>
<BR><TT></TT>&nbsp;<TT></TT>

<P><TT>{</TT>
<BR><TT>=======================</TT>
<BR><TT>ATR system for S&amp;P500</TT><TT></TT>

<P><TT>BUY at&nbsp; close + ((Average(Truerange[1],10))/2)</TT><TT></TT>

<P><TT>We don't know whether he intended ATR of whatever</TT>
<BR><TT>bars you are trading or of daily bars.&nbsp; It really</TT>
<BR><TT>makes good sense to use DAILY bars.</TT><TT></TT>

<P><TT>Sell at close - ((Average(Truerange[1],10))/2)</TT><TT></TT>

<P><TT>$1000 money management stop</TT>
<BR><TT>$1000 Trailing stop</TT>
<BR><TT>Exit all trades on close</TT><TT></TT>

<P><TT>To exit trades on close we must specify the closing</TT>
<BR><TT>time for the market.</TT>
<BR><TT>}</TT><TT></TT>

<P><TT>Inputs: RangMul(.5),</TT>
<BR><TT>&nbsp;&nbsp; DaysRng(14),</TT>
<BR><TT>&nbsp;&nbsp; DolDown(1000),</TT>
<BR><TT>&nbsp;&nbsp; DolBack(2000),</TT>
<BR><TT>&nbsp;&nbsp; UseCond(True);</TT><TT></TT>

<P><TT>Vars:&nbsp; MaxDown(DolDown/BigPointValue),</TT>
<BR><TT>&nbsp;&nbsp; RangAvg(HighD(1)-LowD(1)),</TT>
<BR><TT>&nbsp;&nbsp; RAlpha(2/(1+DaysRng)),RBeta(1-RAlpha),</TT>
<BR><TT>&nbsp;&nbsp; MaxPulb(DolBack/BigPointValue),</TT>
<BR><TT>&nbsp;&nbsp; HHigh(H),</TT>
<BR><TT>&nbsp;&nbsp; LLow(L);</TT><TT></TT>

<P><TT>{Initialization at beginning of day}</TT>
<BR><TT>If date>date[1] then begin</TT>
<BR><TT>&nbsp;Value1=0;&nbsp;&nbsp;&nbsp; {Must be zero to trade -- allow
only 1 trade}</TT>
<BR><TT>&nbsp;RangAvg=RangAvg*RBeta+(HighD(1)-LowD(1))*RAlpha;&nbsp; {XSmo
of Range}</TT>
<BR><TT>&nbsp;HHigh=H;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LLow=L;</TT>
<BR><TT>End;</TT>
<BR><TT>If H>HHigh then HHigh=H;</TT>
<BR><TT>If L&lt;LLow&nbsp; then LLow =L;</TT><TT></TT>

<P><TT>&nbsp;{Set whatever conditions desired as setup for trade which</TT>
<BR><TT>&nbsp; must exit at opening of day}</TT><TT></TT>

<P><TT>If UseCond then begin</TT>
<BR><TT>&nbsp;Condition1=O&lt;C[1];&nbsp; {Go long&nbsp; if Open below
prior day Close}</TT>
<BR><TT>&nbsp;Condition2=O>C[1];&nbsp; {Go short if Open abpve prior day
Close}</TT>
<BR><TT>End</TT>
<BR><TT>Else begin</TT>
<BR><TT>&nbsp;Condition1=True;</TT>
<BR><TT>&nbsp;Condition2=True;</TT>
<BR><TT>End;</TT><TT></TT>

<P><TT>{Money management stop &amp; Trailing Stop on bars after first!}</TT>
<BR><TT>{Setup current highest high and lowest lows for trail stop}</TT>
<BR><TT>If EntryPrice>0 then begin</TT>
<BR><TT>&nbsp;If MaxDown>0 then begin</TT>
<BR><TT>&nbsp; ExitShort ("mmss") at EntryPrice+MaxDown stop;</TT>
<BR><TT>&nbsp; ExitLong&nbsp; ("mmsl") at EntryPrice-MaxDown stop;</TT>
<BR><TT>&nbsp;End;</TT>
<BR><TT>&nbsp;If MaxPulB>0 then begin</TT>
<BR><TT>&nbsp; ExitShort ("trss") at LLow&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
+MaxPulB stop;</TT>
<BR><TT>&nbsp; ExitLong&nbsp; ("trsl") at HHigh&nbsp;&nbsp;&nbsp;&nbsp;
-MaxPulB stop;</TT>
<BR><TT>&nbsp;End;</TT>
<BR><TT>End;</TT><TT></TT>

<P><TT>{For first &amp; only trade buy/sell at selected point re close}</TT>
<BR><TT>If Value1=0 then begin</TT>
<BR><TT>&nbsp;If Condition1 then Buy&nbsp; ("opnl") at CloseD(1)+(RangAvg*RangMul)
stop;</TT>
<BR><TT>&nbsp;If Condition2 then Sell ("opns") at CloseD(1)-(RangAvg*RangMul)
stop;</TT>
<BR><TT>End;</TT><TT></TT>

<P><TT>{Exit at end of first session}</TT>
<BR><TT>If time>=Sess1EndTime then begin</TT>
<BR><TT>&nbsp;ExitShort ("clos");</TT>
<BR><TT>&nbsp;ExitLong&nbsp; ("clol");</TT>
<BR><TT>End;</TT><TT></TT>

<P><TT>{Set flag for single trade}</TT>
<BR><TT>If EntryPrice>0 then Value1=Time;</TT>
<BR><TT></TT>&nbsp;
<BR><TT></TT>&nbsp;<TT></TT>

<P><TT>MRLYNNG@xxxxxxx wrote:</TT>
<BLOCKQUOTE TYPE=CITE><TT>In a message dated 97-11-25 19:00:01 EST, you
write:</TT>
<BR><TT></TT>&nbsp;</BLOCKQUOTE>
<TT>--</TT>
<BR><TT>Clyde Lee&nbsp;&nbsp; Chairman/CEO&nbsp; email:&nbsp;&nbsp; &lt;clydelee@xxxxxxx></TT>
<BR><TT>SYTECH Corporation&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
Work: (713) 783-9540</TT>
<BR><TT>&nbsp; 7910 Westglen, Suite 105&nbsp; Fax:&nbsp; (713) 783-1092</TT>
<BR><TT>&nbsp; Houston,&nbsp; TX&nbsp; 77063</TT>
<BR><TT>&nbsp;</TT></HTML>
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Attachment Converted: "c:\eudora\attach\Simplesp.ela"