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Gary Funck and Bob Fulks showed us that John Cappello's system can be
written different ways. As the code gets more complicated, that is
usually even more true. As Bob has pointed out in previous posts, the
important thing is to try to understand what characteristic of the
market the system is trying to capture. I always try to get a mental
image of what a system doing. Once I can picture it in my mind and
sketch it on a piece of paper, understanding sets in. The formulas stop
being a black-box mystery and start being a tool to express an idea.
So, what's the idea here? Most people are familiar with the Donchian
channel breakout system made popular by the Turtles. Simply, it buys a
breakout of a recent high and sells a breakout of a recent low. John has
modified this by adjusting the high and low price on each bar. He buys a
breakout of a recent "adjusted high" and sells a breakout of a recent
"adjusted low." The adjustment makes it easier for the system to go long
and harder for it to go short. As Bob pointed out, the adjustment is
half the difference between the high and the close on each bar. The
ascii art below shows it on two bars.
~~~~~~~~~~~~~~~~~~~~~~~~~
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| ---> adjusted high
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---> adjusted low
~~~~~~~~~~~~~~~~~~~~~~~~~~
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| ---> adjusted high
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---> adjusted low
~~~~~~~~~~~~~~~~~~~~~~~~~~
As an aside, I would encourage everyone to post systems as plain text
rather than (or as well as) .ela files. That will make it much easier
for everyone to view the code and discuss it. Many people don't have
Tradestation and others are unwilling to paste unknown code into their
systems. If we can all see the code, we can more easily get to the
trading idea inside it and we can all learn something.
--
Dennis
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