[RT] Re: Vendor Systems

[Clyde Lee <clydelee@xxxxxxx>]

Robert setup a pair of rules which seemed to have promise.

I added a couple of things for safety and performance.

The results (optimized) on the US are shown in the  .gif.
In this case lengths of 4 worked better than the 2 which
he published.

The  .ela  is for non TS4-TS2000 users.


System code Below - - - - - - - - - - - - - - - - - - - - - - - - - - -



{
From:  Robert Hodge on Realtraders

Yesterday I spent some time with the demo download program of a well
known
vendor trading system which retails for a few thousand dollars. With a
little prompting from the documentation and some trial and error I
managed
to work out the rules. I tried out my idea on several of the trades in
the
demo and got the entries to be identical. BY inspection I can see that
the
others were also identical (or very very close).

C. Lee -- added Chandelier type stop and trend direction MA.

System Rules
============
}

Inputs: LLen(4),
        SLen(4),
        LVol(0.75),
        SVol(0.75),
        LengAvg(35),
        DolStop(2);

Vars:  StopPts(DolStop/BigPointValue),HH(h),LL(l),MP(0);

{Junk added by  C. Lee}

MP = MarketPosition;

If MP<>MP[1] then begin
  HH=H;LL=L;
End;

If DolStop>0 then begin
  If DolStop<50 then StopPts = DolStop*AvgTrueRange(21);
  If MP>0 then ExitLong  at HH-StopPts stop;
  If MP<0 then ExitShort at LL+StopPts stop;
End;


{parameter values: no idea what parameters are intended to be
 used or tracked by Futures Truth}

Value1=Average(c,3)-Average(c,LengAvg);

If LengAvg=0 then Value1=+1;

if MP <=0 and Value1>0 then
  buy open tomorrow + LVol *
     MaxList(Highest(High,Llen)-Lowest(Close,Llen),
                     Highest(Close,Llen)-Lowest(Low,Llen)) stop;

If LengAvg=0 then Value1=-1;

if MP >=0 and Value1<0 then
  sell open tomorrow - SVol *
     MaxList(Highest(High,Slen)-Lowest(Close,Slen),
             Highest(Close,Slen)-Lowest(Low,Slen)) stop;


End of System code - - - - - - - - - - - - - - - - - - - - - - - - - - -


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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 Hodge" <r-hodge@xxxxxxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Tuesday, January 11, 2000 04:09
Subject: [RT] Vendor Systems


>
> Yesterday I spent some time with the demo download program of a well
known
> vendor trading system which retails for a few thousand dollars. With a



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