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I put PutVolume in data 2 and simply took ratio of an average
(long and short) in a manner similar to the ATR computation
before.
Parameters are a bit different (1.6 to go long and .5 to exit)
but similar types of trades as with ATR.
The attached shows the results and the code is below.
As Bob noted we do not have a long entry using this
method on this last pullback ! ! !
Clyde
Input: BuyLvl(1.6), {Level of ATR ratios at which to buy }
SellLvl(0.5), {Level of ATR ratios at which to exit }
WaitBars(11), {Exit after this number of bars in trade}
LongL(30), {Number bars in long ATR computation }
ShortL(3); {Number bars in short ATR computation }
Vars: ATRratio(1),MP(0),StartBar(CurrentBar);
ATRratio=Average(C of Data2,ShortL)/Average (C of Data2,LongL);
MP =MarketPosition;
If MP<>MP[1] THEN StartBar=CURRENTBAR;
If MP>0 then begin
If CurrentBar-StartBar>WaitBars then ExitLong
Else If ATRratio<SellLvl then ExitLong;
End
Else If ATRratio>BuyLvl then Buy on Close;
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Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: <clydelee@xxxxxxx>
7910 Westglen, Suite 105 Work: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
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----- Original Message -----
From: "ROBERT ROESKE" <bobrabcd@xxxxxxxxxxxxx>
To: "Clyde Lee" <clydelee@xxxxxxx>; <realtraders@xxxxxxxxxxxxxxx>
Cc: "List Code List" <code-list@xxxxxxxxxxxxx>
Sent: Sunday, January 09, 2000 09:54
Subject: Re: [RT] Fw: CL_The argument about top of market
> Using a put volume indicator a similar chart is obtained. Put volume
here
> is the cboe total put volume of equity plus index. Note that we did
not get
> a deep threshold Buy out of this last dip whereas we did have one last
> October.
> Bob Roeske
>
> {When put volume is greater than threshold you have a buy signal. The
> signal is usually two to four days early. The threshold is ten day
> summation of put volume divided by 5 or multiplied by 0.2. N2 is data
> volume of data3 or Total equity plus index put volume}
>
> Inputs: L1(10), K1(.15),N2(3);
> Vars: BPVI(0),PV(0),BPVI2(0);
>
> PV = V OF DATA(N2); {equity plus index}
>
> BPVI=.2*SUMMATION(V OF DATA(N2),L1);
> BPVI2=K1*summation(v of data(N2),L1);
> Plot1(BPVI,"BPVI");
> Plot2(PV,"PV");
> Plot3(BPVI2,"BPVI2");
>
> BR
>
>
Attachment Converted: "f:\eudora\attach\junk41.gif"
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