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Right, the close to close was just a starting suggestion. I was kind of
tired after a long week and just wanted to get the thing to plot without
giving too much thought about the reference. Now that you have put a scale
factor in there something could be done in the way of a ratio of say closed
equity to "perfect" equity. Then with an adaptive type system you could
see if the adaptive technique is infact improving the trade results in
different mkt conditions. Thanks for the input Brent.
BobR
At 02:17 PM 7/17/1999 -0600, BrentinUtahsDixie wrote:
>>"Have fun making modifications."
>
>I had a little fun and I made 2 quick changes. (code below) I put in a
>divide input so that I can divide the Perfect trades Plot by whatever number
>I want to input that way I can make the plot more relevant to my
>embarrassingly low profits. Simply input 2 to divide it into half, 4 for
>quarters etc. Secondly, I added an Invert Input for the buy and hold,
>because I might want to sell and hold. Buy changing the input to -1 it
>inverts the buy and hold to a sell and hold plot. Bob's original indicator
>had extra zero brackets that I had to remove to get verification. So beware
>of this if you cut and paste the code.
>
>I was thinking lately just what a true Holy Grail system would do. Defining
>it is an interesting problem in itself. If a perfect system would buy and
>sell the close to close values then ok. But what about the daily range?
>Wouldn't a perfect system want to buy/sell the highs/lows every day? Of
>course any thinking individual would be quick to point out that doing such a
>thing is impossible, even if you had perfect foreknowledge you certainly
>wouldn't be filled at the high and low every day. So I'm just saying that
>the perfect system has to be a very carefully balanced thing in order to
>work perfectly in real time, and being balanced it is not likely to capture
>perfect profits no matter what it does. In fact striving for a perfect
>system is mostly a counter productive thing to do as I think about it.
>
>
>Brent
>
>
>Inputs: BigPoint(100),nDate(990101),PL(1),Divide(1),Invert(1);
>Vars: BuyNhold(0),CDD(0),CDDI(0);
>If Date <= nDate then BuyNhold = close;
>If Date <= nDate then
>CDDI = Cum(BigPoint*(AbsValue(C-C[1])));
>
>If Date > nDate then begin
>CDD= Cum(BigPoint*(AbsValue(C-C[1]))) - CDDI; {this makes the plot zero
>prior to the system start date}
>If PL=1 then {this enables the cumulative close to close daily
>difference plot}
>Plot3(CDD/Divide,"CDD");
>If PL=0 then {this disables the cumulative close to close daily
>difference plot}
>Plot3(0,"CDD");
>end;
>
>Plot1(I_OpenEquity,"OpenEquity");
>Plot2(I_ClosedEquity,"ClosedEquity");
>Plot4(BigPoint*(Close-BuyNhold)*Invert,"BuyNhold");
>
>
>
>
>
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