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Sideways

System for: TradeStation


 

 

Views:  1666

Added: August 13, 2008
 
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Tags: TradeStation, system
 
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2 Systems
. To: Omega-List@xxxxxxxxxx
. Subject: 2 Systems
. From: "MEM CM"
. Date: Fri, 18 Sep 1998 02:20:36 PDT
. Resent-Date: Fri, 18 Sep 1998 02:19:58 -0700
. Resent-From: omega-list@xxxxxxxxxx
. Resent-Message-ID: <"Pa6jg1.0.IU2.zMY0s"@mx1>
. Resent-Sender: omega-list-request@xxxxxxxxxx

Notice these systems, one works on major trends, the other on sideways movement. The one that works on the sideways has most of its losing trades on the major trends. It goes short on an up trend, and long on a downtrend. Any suggestions on how to link the two together or enhance their individual performance??

Notice their optimization curve.

Notice the sideways system, and how it holds across most markets.

According to the criteria of successful systems published on this list, how would you rate these two systems?

 

 



Code:

Type : Signal, Name : Sideways

inputs:NoDay(3), MULT11(2), MULT22(2), AVE(4);
vars:valuea(0),valueb(0),LINR(0), VAL1(0), VAL2 (0);

valuea=highest(high,NoDay);
valueb=lowest(low,NoDay);
VAL1 = AVERAGE (VALUEA,NODAY);
VAL2 = AVERAGE (VALUEB, NODAY);
LINR = LinearRegValueFC(C,AVE,0);

IF LINR CROSSES ABOVE VAL2 THEN BUY ON CLOSE;
IF LINR CROSSES ABOVE VAL1 THEN EXITLONG ON CLOSE;

IF LINR CROSSES BELOW VAL1 THEN SELL ON CLOSE;
IF LINR CROSSES BELOW VAL2 THEN EXITSHORT ON CLOSE;


VALUE1 = ((HIGHEST (HIGH, NODAY)) - ((LOWEST (LOW, NODAY))));
VALUE2= VALUE1 * MULT11;
VALUE3= VALUE1 * MULT22;
{VALUE2=TARGET, VALUE3 = STOPLOSS}
IF MARKETPOSITION = 1 THEN BEGIN
EXITLONG TOMORROW AT ENTRYPRICE + VALUE2 LIMIT;
EXITLONG TOMORROW AT ENTRYPRICE - VALUE3 STOP;
END ;
IF MARKETPOSITION = -1 THEN BEGIN
EXITSHORT TOMORROW AT ENTRYPRICE + VALUE3 STOP;
EXITSHORT TOMORROW AT ENTRYPRICE - VALUE2 LIMIT;
END ;

 





Source: http://www.purebytes.com

 

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