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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>
>7910 Westglen, Suite 105 Work: (713) 783-9540
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Charles Kaucher
Use can lead a human to Linux but you can't make him think.
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