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Re: [RT] Re: [MedianLine] BobR's 1% Moves

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In case you have not realized it yet, there is a 
bust in the system code.
 
If MarketPosition>0 then begin
 
should be:If MarketPosition<>0 
then begin
Need to do it up and down.
 
Clyde
- - - - - - - - - - - - - - - - - - - - -  - - - - - - -Clyde 
Lee   
Chairman/CEO          (Home of 
SwingMachine)SYTECH 
Corporation          email: <A 
href="mailto:clydelee@xxxxxxxxxxxx";>clydelee@xxxxxxxxxxxx  7910 
Westglen, Suite 105       
Office:    (713) 783-9540Houston,  TX  
77063               
Fax:    (713) 783-1092Details 
at:                      
www.theswingmachine.com- - - - 
- - - - - - - - - - - - - - - -  - - - - - - - -
<BLOCKQUOTE 
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
  ----- Original Message ----- 
  <DIV 
  style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From: 
  Clyde 
  Lee(SBCY) 
  To: <A title=MedianLine@xxxxxxxxxxxxxxx 
  href="mailto:MedianLine@xxxxxxxxxxxxxxx";>MedianLine@xxxxxxxxxxxxxxx 
  Sent: Wednesday, January 08, 2003 9:26 
  AM
  Subject: [RT] Re: [MedianLine] BobR's 1% 
  Moves
  
  For those of you who might have played around 
  with the 1% system
  that I posted, get ready to be 
  amazed.
   
  I did an optimization on the DAILY S&P 
  futures.
   
  Leaving the parameters the same I loaded 30 
  minute bars ES data
  into the same workspace to replace the S&P 
  and the attached is
  what I got.
   
  Using the system on daily was just so-so.  
  Using the system on 30
  minute bars seems exceptionally 
good.
   
  Bob, you are awake! ! ! !
   
  Clyde
  - - - - - - - - - - - - - - - - - - - - -  - - - - - - -Clyde 
  Lee   
  Chairman/CEO          (Home of 
  SwingMachine)SYTECH 
  Corporation          email: <A 
  href="mailto:clydelee@xxxxxxxxxxxx";>clydelee@xxxxxxxxxxxx  7910 
  Westglen, Suite 105       
  Office:    (713) 783-9540Houston,  TX  
  77063               
  Fax:    (713) 783-1092Details 
  at:                      
  www.theswingmachine.com- - - 
  - - - - - - - - - - - - - - - - -  - - - - - - - -
  <BLOCKQUOTE 
  style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
    ----- Original Message ----- 
    <DIV 
    style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From: 
    <A title=bobrabcd@xxxxxxxxxxxxx 
    href="mailto:bobrabcd@xxxxxxxxxxxxx";>BobR 
    To: <A title=MedianLine@xxxxxxxxxxxxxxx 
    href="mailto:MedianLine@xxxxxxxxxxxxxxx";>MedianLine@xxxxxxxxxxxxxxx ; <A 
    title=swingmachine@xxxxxxxxxxxxxxx 
    href="mailto:swingmachine@xxxxxxxxxxxxxxx";>swingmachine-list ; <A 
    title=realtraders@xxxxxxxxxxxxxxx 
    href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx 
    
    Sent: Tuesday, January 07, 2003 12:53 
    PM
    Subject: Re: [MedianLine] BobR's 1% 
    Moves
    
    Looking at the %adv decl and %VIX suggests a 
    rally this afternoon.
     
    bobr
    <BLOCKQUOTE 
    style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
      ----- Original Message ----- 
      <DIV 
      style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From: 
      Clyde 
      Lee 
      To: <A 
      title=swingmachine@xxxxxxxxxxxxxxx 
      href="mailto:swingmachine@xxxxxxxxxxxxxxx";>swingmachine-list 
      Sent: Tuesday, January 07, 2003 9:45 
      AM
      Subject: [MedianLine] BobR's 1% 
      Moves
      
      I got interested in what Bob was showing and 
      wrote the little system
      which is included below ( .ela file 
      attached).
       
      Basically you can specify a percent change 
      over n bars as a trigger to
      trade in the direction of the change.  
      Because of the high risk I have
      included a stoploss facility and a take 
      profit ability.
       
      The attached picture clearly shows that  
      1%  is the magic figure.
       
      Have fun and let us know the results from 
      something other than SP.
       
      I did test the idea in the inverse direction 
      and that was horrible.
       
      Clyde
       
       { System:  Percent_Change   Author:  Clyde Lee, Copyright 2003, SYTECH Corporation           Permission to distribute is granted so long as           entire code and comments are distributed.  Purpose:  Test concept that an entry after an N% move           (close to close) over M bars will yield a profit.} Input: NBars(1),     {Number of bars over which to measure % change}       PercChng(1),  {Percent change minimum for entry             }       LossMult(0),  {MM stop loss from entry price -- multiplier  }                     {of ATR if length for ATR is specified.       }                     {Percent of price if ATR length is zero.      }       TakPMult(0),  {Take profit multiplier -- see above          }       LengATR(21);  {Length for ATR computation -- see above      } Vars:   ATRValu(0); {ATR value or close/100 for computation of stop/take profit}If LengATR>0   then ATRValu=AvgTrueRange(LengATR)  else ATRValu=C*.01; {Calculate % change over NBars bars}Value1=(c-C[NBars])/C*100;Value2=(c-C[NBars])/C*100;{Long trade maybe???}If Value1>=PercChng and Value1[1]<PercChng then begin&nb!
sp;!
; If MarketPosition<=0 then Buy  Next Bar at Open;End;{Short trade maybe???}If Value2<-PercChng and Value2[1]>-PercChng then begin  If MarketPosition>=0 then Sell Next Bar at Open;End;{Only worry about stop loss and take profit if in trade}If MarketPosition>0 then begin {Do stoploss if requested} If LossMult>0 then begin  Value5=ATRValu*LossMult;  If MarketPosition>0 then ExitLong  Next Bar at EntryPrice-Value5 Stop;  If MarketPosition<0 then ExitShort Next Bar at EntryPrice+Value5 Stop;  End; {Do takeprofit if requested} If TakPMult>0 then begin  Value5=ATRValu*TakPMult;  If MarketPosition>0 then ExitLong  Next Bar at EntryPrice+Value5 Limit;  If MarketPosition<0 then ExitShort Next Bar at EntryPrice-Value5 Limit;  End;End; 
       
      - - - - - - - - - - - - - - - - - - - - 
      -  - - - - - - -Clyde Lee   
      Chairman/CEO          (Home 
      of SwingMachine)SYTECH 
      Corporation          email: 
      <FONT face=Arial 
      size=2>clydelee@xxxxxxxxxxxx  
      7910 Westglen, Suite 105       
      Office:    (713) 783-9540Houston,  TX  
      77063               
      Fax:    (713) 783-1092Details 
      at:                      
      <FONT face=Arial 
      size=2>www.theswingmachine.com- - - 
      - - - - - - - - - - - - - - - - -  - - - - - - - 
      -To 
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