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See attached system. I have written the number of bars that the gap is
required to be in place as an input to allow optomization. With GapLen set
to 3 the system works as follows. In the case of the buy signal the system
checks first to see if the low 3 bars ago is greater than the high 4 bars
ago. If this is the case a gap has occured and the OKtoBuy variable is set
to true. The program then checks the lows on each of the subsequent bars.
If the low on any of the subsequent bars is less than the high on bar 4 then
OKtoBuy is set to false. If after all checks are completed OKtoBuy is still
true then the system buys at the close.
Inputs: GapLen(3);
Vars: OktoBuy(False),OktoSell(False);
OktoBuy=False;
OktoSell=False;
If Low[GapLen-1]>High[GapLen] then begin
OktoBuy=True;
For Value1 =0 to GapLen-1 begin
If Low[Value1]<=High[GapLen] then OktoBuy=False;
end;
if OktoBuy then Buy at close;
end;
If High[GapLen-1]<Low[GapLen] then begin
OktoSell=True;
For Value1 =0 to GapLen-1 begin
If High[Value1]>=Low[GapLen] then OktoSell=False;
end;
if OktoSell then Sell at close;
end;
-----Original Message-----
From: Tim and Lynn Lee <Timothy.H.Lee-1@xxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Date: April 14, 1998 8:51 PM
Subject: Gaps: A Trading Tip? A TS programming challenge?
>RTs
>
>In his book "Pit Bull" Marty Schwartz (market wizard sp trader ) mentions
that he follows gaps. He watches unfilled gaps as an indicator of trend and
market direction.
>
>I got to thinking and pulled out some charts.
>
>The SP performed wonderfully using this idea. If you take an unfilled gap -
a close to subsequent opening- if after say 2 or three days it is unfilled
it predicts direction quite well.
>Notice the many unfilled gaps we have had here on the trend up for the last
few months.
>
> Look at the recent collapse in Chi wheat many unfilled gap downs that
remained unfilled after a few days called the direction well.
>
>Idea: how could one program a system based on gaps using TS ( Mr. Gibson
can it be done?) It seems the number of days following the gap is critical,
it is hard to tell when the optimum time to trade after the gap is unclear.
>
>
>Timothy Lee
>
>
>
>
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