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[RT] Re: CL_SYST - Use of simple system SHORT TERM



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Clyde,  I would be interested in how it test on datatfrom 1967 -77.  Not
exactly sure How to do this  since the SP future wasn't around then.  This
would be a telling sign on how it works in a sidways market.


At 09:47 AM 1/9/00 -0600, Clyde Lee wrote:
>This thing is getting interesting enough to have some variables
>and some explanation.  See below.
>
>Using SP futures continuous data from 1983 to now I ran with
>the parameters shown below and got the results shown in the
>(hopefully) attached  .gif  .
>
>Granted this simple approach ain't no barn burner but it 
>certainly sets up the fact that this ratio of ATR has a place
>in our design of systems.
>
>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=AvgTrueRange(ShortL)/AvgTrueRange(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> 
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Charles Kaucher

Use can lead a human to Linux but you can't make him think.