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**dloomis** · 12-14-2003, 06:35 PM

Re: Reply to post 'Signal clarity'

Well, kind of.

Do you see where we check to see if all three of the signals add up to 3?

You can change the sum (a1+a2+a3+a4) to add up to 2, 4 or even 1, depending
on which signals you want to use to trigger entry and exit signals

>

**FibbGann** · 12-14-2003, 06:39 PM

Cool, can do. Was looking at the macd and maybe we should change it to a bar by bar analysis instead of the 0 marker cross. It is lagging to much. Your refering to line 97 and 100 right?

Fibbgann

**dloomis** · 12-14-2003, 06:44 PM

Re: Reply to post 'Signal clarity'

Yes lines 97 and 100 and the couple of lines above that for the back test.

I can clean this up so it is easier to adjust, let me post a new FGallFalse
in a sec.
>

**dloomis** · 12-14-2003, 06:48 PM

Re: Reply to post 'Signal clarity'

What do you mean, bar by bar analysis?

>

**FibbGann** · 12-14-2003, 06:49 PM

UH OH are we using Fgall for the chart and FGallFalse for the backtest? I think all these efs's are messing em up.

If you don't mind maybe create 2 folders in the file share. One for the most updated files we are testing. Sorry, probably my bad.

Fibbgann

**Doji3333** · 12-14-2003, 06:53 PM

Maybe I can help..

David,

You have to write the strategy code to encompass all potentials...

/*
if(dir==+1)
profit=entry-close();
else
profit=close()-entry;

if(profit<-10)exit now
if(profit>10)take money and run
do we re enter another long if we just went long or do we wait for the next
short, just like the sar method used before?
*/

what do I use? Strategy.doSell for long exit and Strategy.doCover for
short exit

Possible Profit Exit on a long
Strategy.doSell("Close Long", Strategy.MARKET, Strategy.THISBAR,
Strategy.ALL, entry+10);
Possible Profit Exit on a short
Strategy.doCover("Close Short", Strategy.MARKET, Strategy.THISBAR,
Strategy.ALL, entry+10);

In this case, you would want to test for PROFITS on every bar, then execute the exit conditions as follows.. (one other thing, you may want to include a vTICK value to allow for 1 tick above/below your exit price)..

var vTick = 0.25;
var PTAmount = 10.0;

if (Strategy.isLong()) { // We are currently long
if (high() > (entry+PTAmount)) { // high has breached our PT level.
if (low() > (entry+PTAmount)) { // low is higher than our PT - exit at OPEN of this bar.
Strategy.doSell("Close Long", Strategy.LIMIT, trategy.THISBAR,Strategy.ALL, open);
} else { // normal exit
Strategy.doSell("Close Long", Strategy.LIMIT, trategy.THISBAR,
Strategy.ALL, (entry+PTAmount+vTick));
}
}
}
if (Strategy.isShort()) { // We are currently short
if (low() < (entry-PTAmount)) { // low has breached our PT level.
if (high() < (entry-PTAmount)) { // high is lower than our PT - exit at OPEN of this bar.
Strategy.doCover("Close Short", Strategy.LIMIT, trategy.THISBAR,Strategy.ALL, open);
} else { // normal exit
Strategy.doCover("Close Short", Strategy.LIMIT, trategy.THISBAR,
Strategy.ALL, (entry+PTAmount+vTick));
}
}
}

Now, as a suggestion, I might suggest a multi-stage PT system. These work to allow you to enter say 2 or 3 contracts on your entry triggers, then "stage" the exits as well as adjust your stops along the way...

The code would look like this...

var vTick = 0.25;
var DefaultEntryContracts = 3;
var DefaultExit1Contracts = 1;
var DefaultExit2Contracts = 1;
var DefaultExit3Contracts = 1;
var PTAmount1 = 2.0;
var PTAmount2 = 5.0;
var PTAmount3 = 10.0;
var PTStage = 0;

if (whatever_to_go_long) {
Strategy.doLong("Long Entry", Strategy.MARKET, Strategy.THISBAR, DefaultEntryContracts);
PTStage = 1;
entry = close();
}
if (whatever_to_go_short) {
Strategy.doShort("Short Entry", Strategy.MARKET, Strategy.THISBAR, DefaultEntryContracts);
PTStage = 1;
entry = close();
}

// Stage #1 PTs
if ((Strategy.isLong()) && (PTStage == 1)) { // We are currently long
if (high() > (entry+PTAmount1+vTick )) { // high has breached our PT level.
if (low() > (entry+PTAmount1 )) { // low is higher than our PT - exit at OPEN of this bar.
Strategy.doSell("Close Long", Strategy.LIMIT, trategy.THISBAR,DefaultExit1Contracts , open);
} else { // normal exit
Strategy.doSell("Close Long", Strategy.LIMIT, trategy.THISBAR,
DefaultExit1Contracts , (entry+PTAmount1 +vTick));
}
PTStage +=1;
}
}
if ((Strategy.isShort()) && (PTStage == 1)) { // We are currently short
if (low() < (entry-PTAmount1-vTick)) { // low has breached our PT level.
if (high() < (entry-PTAmount1)) { // high is lower than our PT - exit at OPEN of this bar.
Strategy.doCover("Close Short", Strategy.LIMIT, trategy.THISBAR,DefaultExit1Contracts , open);
} else { // normal exit
Strategy.doCover("Close Short", Strategy.LIMIT, trategy.THISBAR,
DefaultExit1Contracts , (entry-PTAmount1-vTick));
}
PTStage +=1;
}
}

// Stage #2 PTs
if ((Strategy.isLong()) && (PTStage == 2)) { // We are currently long
if (high() > (entry+PTAmount2+vTick)) { // high has breached our PT level.
if (low() > (entry+PTAmount2 )) { // low is higher than our PT - exit at OPEN of this bar.
Strategy.doSell("Close Long", Strategy.LIMIT, trategy.THISBAR,DefaultExit2Contracts , open);
} else { // normal exit
Strategy.doSell("Close Long", Strategy.LIMIT, trategy.THISBAR,
DefaultExit2Contracts , (entry+PTAmount2+vTick));
}
PTStage +=1;
}
}
if ((Strategy.isShort()) && (PTStage == 2)) { // We are currently short
if (low() < (entry-PTAmount2-vTick)) { // low has breached our PT level.
if (high() < (entry-PTAmount2)) { // high is lower than our PT - exit at OPEN of this bar.
Strategy.doCover("Close Short", Strategy.LIMIT, trategy.THISBAR,DefaultExit2Contracts , open);
} else { // normal exit
Strategy.doCover("Close Short", Strategy.LIMIT, trategy.THISBAR,
DefaultExit2Contracts , (entry-PTAmount2-vTick));
}
PTStage +=1;
}
}

// Stage #3 PTs
if ((Strategy.isLong()) && (PTStage == 3)) { // We are currently long
if (high() > (entry+PTAmount3+vTick )) { // high has breached our PT level.
if (low() > (entry+PTAmount3 )) { // low is higher than our PT - exit at OPEN of this bar.
Strategy.doSell("Close Long", Strategy.LIMIT, trategy.THISBAR,DefaultExit3Contracts , open);
} else { // normal exit
Strategy.doSell("Close Long", Strategy.LIMIT, trategy.THISBAR,
DefaultExit3Contracts , (entry+PTAmount3 +vTick));
}
PTStage +=1;
}
}
if ((Strategy.isShort()) && (PTStage == 3)) { // We are currently short
if (low() < (entry-PTAmount3-vTick)) { // low has breached our PT level.
if (high() < (entry-PTAmount3)) { // high is lower than our PT - exit at OPEN of this bar.
Strategy.doCover("Close Short", Strategy.LIMIT, trategy.THISBAR,DefaultExit3Contracts , open);
} else { // normal exit
Strategy.doCover("Close Short", Strategy.LIMIT, trategy.THISBAR,
DefaultExit3Contracts , (entry-PTAmount3-vTick));
}
PTStage +=1;
}
}

This will allow the system to exit on the selected PTs. You could also add stop adjustments into this if necessary. Any reversal (entry) signal will completely reverse the trading system and restart the PTstages.

Hope this helps...

**dloomis** · 12-14-2003, 06:54 PM

Re: Reply to post 'Signal clarity'

Most recent files are all posted

>

**FibbGann** · 12-14-2003, 06:58 PM

By the time the MACD crosses the 0 point all the other indicators have already given there sell signals. (vise versa). So I was thinking maybe we should look at it in this sense. If current bar (close) is lower than previous (sell signal. and the opposite for longs. If you look at some charts you will see what I am refering too.

Fibbgann

**dloomis** · 12-14-2003, 07:01 PM

Re: Reply to post 'Signal clarity'

Brad

I think I understand but here is what I had in mind

if(dir==+1)
profit=entry-close();
else
profit=close()-entry;

if(profit<-maxLoss&&Strategy.isLong()==true)
Strategy.doSell("Close Long", Strategy.MARKET,
Strategy.THISBAR,Strategy.ALL, entry-maxLoss);
if(profit>+maxGain&&Strategy.isLong()==true)
Strategy.doSell("Close Long", Strategy.MARKET,
Strategy.THISBAR,Strategy.ALL, entry+maxGain);
if(profit<-maxLoss&&Strategy.isShort()==true)
Strategy.doSell("Close Long", Strategy.MARKET,
Strategy.THISBAR,Strategy.ALL, entry-maxLoss);
if(profit>+maxGain&&Strategy.isShort()==true)
Strategy.doSell("Close Long", Strategy.MARKET,
Strategy.THISBAR,Strategy.ALL, entry+maxGain);

or this too simple?

>

**dloomis** · 12-14-2003, 07:04 PM

Re: Reply to post 'Signal clarity'

Some times I have used the MACD change in direction as a signal, in other
words if the histogram begins moving up, that is the long signal - even if
the histogram hasn't reached zero yet.

Let me know what you think and I add it to the code as best I can.

>

**Gavishti** · 12-14-2003, 07:10 PM

Don't use the cross of the zero line by the Histogram. That is way too slow. Use the MACD crossing the signal. You will get better results.

**FibbGann** · 12-14-2003, 07:11 PM

Thats fine. I see what your refering too. I was just lookiing into the coding. I say leave it. but, will personally drop it from my personal testing. I read candles just as easy as looking at a MACD.

Fibbgann

**dloomis** · 12-14-2003, 07:15 PM

Re: Reply to post 'Signal clarity'

Gavishti

Don't use the cross of the zero line by the Histogram. That is way too slow.
Use the MACD crossing the signal. You will get better results.

Am I mistaken but the histogram of the MACD is just the relationship of the
lines crossing, isn't it?

>

**FibbGann** · 12-14-2003, 07:20 PM

Sorry my bad the coding is refering to as an x-over.
Just a note i don't think tommorow is going to be a good testing day because of the news.

Fibbgann

**ACM** · 12-14-2003, 07:21 PM

David

Am I mistaken but the histogram of the MACD is just the relationship of the lines crossing, isn't it?

That is correct.
Alex

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