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Thanks for sharing your work which I am sure you have put a lot of time
into.
I have enclosed Mr Quinn's xbar study with a few additional options plus
some paint bar studies that make it easy to see what happens after the
cross of the bands.
Note that the moving average can be displaced forward. The bands can
also be displaced forward. For example, we can try displacing the MA but
leaving the bands in the usual position.
Joe Di Napoli swears that displaced MA's work better. I was already
using 25/5 as the primary "balance of power" line. I thought it
interesting that Mr Quinn's default MA was 25.
Blue bars = first cross of a band (the value to use is an input eg.
high,close etc)
Coloured bars = subsequent bars beyond the band (the value to use is an
input eg. high,close etc)
The original idea was to look for a certain number of closes beyond the
band.
Here is another possible way of using this approach. I would be
inclinded to look for counter trend pivots that get very
near/touch/cross the MA. If these pivots are broken then we assume the
trend has changed. Might be worth comparing the approaches over a range
of markets.
Enclosed is a chart of S&P Cash data with these indicators applied and a
few comments.
Mr Quinn did not give his exit rules but I assume he would not have been
long back in Oct 97. The rules he gave were for detecting a change in
trend but again I assume he would not use as a reversal system and that
he would have been flat by the time of the crash (if using the method as
originally posted).
Once again thanks for your contribution.
Attachment Converted: "c:\eudora\attach\S&PXBar.gif"
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