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TRIX System S&C

System for: TradeStation

Views: 1653

Added: August 23, 2008

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The June 1997 issue of STOCKS & COMMODITIES discussed a tried-and-true technique known as TRIX in the article "Playing TRIX: The triple exponential smoothing oscillator." The TRIX indicator and system code below for TradeStation includes alerts and signals based on both the crossing of the zero line and the crossing of the linear regression average. The inputs, aside from the basic parameter adjustments, will also allow you to specify whether you want to generate alerts and signals on the crossing of the zero line, the linear regression average or both.
Before creating the indicator and system, a new TRIX function must be developed. The function, which we'll call NewTRIX, is thus:

Type: Function, Name: NewTRIX
Inputs: Price(NumericSeries), Length(NumericSimple);
Vars: LogP(0), alpha(0), sm1(0), sm2(0), sm3(0);

LogP = Log(Price);

IF CurrentBar = 1 Then Begin
sm1 = LogP;
sm2 = LogP;
sm3 = LogP;
alpha = 2 / (Length + 1);
End Else Begin
sm1 = (LogP - sm1) * alpha + sm1;
sm2 = (sm1 - sm2) * alpha + sm2;
sm3 = (sm2 - sm3) * alpha + sm3;
NewTrix = (sm3 - sm3[1]) * 100;
End;

Continuing on, the entries for the TRIX system code are based on the same premise as the alerts for the indicator code given above. The ZeroCrss and AvgCross inputs are used to determine the basis for the entry signals. If both inputs are set to Y, a zero cross or a linear regression average cross will trigger a long/short entry. If one of the two inputs is set to N, then only the other criteria will be used to generate entry signals.

Type: System, Name: TRIX System S&C

Inputs: Price(Close), TrixLen(3), TSLen(8), ZeroCrss("Y"), AvgCrss("Y");
Vars: TRXval(0), AvgTRX(0), Zero(0);

TRXval = NewTRIX(Price, TRIXLen);
AvgTRX = LinearRegValue(TRXval, TSLen, 0);

IF UpperStr(ZeroCrss) = "Y" Then Begin
IF TRXval Crosses Above Zero Then
Buy ("B_ZCrss") This Bar on Close;
IF TRXval Crosses Below Zero Then
Sell ("S_ZCrss") This Bar on Close;
End;

IF UpperStr(AvgCrss) = "Y" Then Begin
IF TRXval Crosses Above AvgTRX Then
Buy ("B_AvgCrss") This Bar on Close;
IF TRXval Crosses Below AvgTRX Then
Sell ("S_AvgCrssS") This Bar on Close;
End;

Code:

Type: Function, Name: NewTRIX
Inputs: Price(NumericSeries), Length(NumericSimple);
Vars: LogP(0), alpha(0), sm1(0), sm2(0), sm3(0);

LogP = Log(Price);

IF CurrentBar = 1 Then Begin
sm1 = LogP;
sm2 = LogP;
sm3 = LogP;
alpha = 2 / (Length + 1);
End Else Begin
sm1 = (LogP - sm1) * alpha + sm1;
sm2 = (sm1 - sm2) * alpha + sm2;
sm3 = (sm2 - sm3) * alpha + sm3;
NewTrix = (sm3 - sm3[1]) * 100;
End;

Type: System, Name: TRIX System S&C

Inputs: Price(Close), TrixLen(3), TSLen(8), ZeroCrss("Y"), AvgCrss("Y");
Vars: TRXval(0), AvgTRX(0), Zero(0);

TRXval = NewTRIX(Price, TRIXLen);
AvgTRX = LinearRegValue(TRXval, TSLen, 0);

IF UpperStr(ZeroCrss) = "Y" Then Begin
IF TRXval Crosses Above Zero Then
Buy ("B_ZCrss") This Bar on Close;
IF TRXval Crosses Below Zero Then
Sell ("S_ZCrss") This Bar on Close;
End;

IF UpperStr(AvgCrss) = "Y" Then Begin
IF TRXval Crosses Above AvgTRX Then
Buy ("B_AvgCrss") This Bar on Close;
IF TRXval Crosses Below AvgTRX Then
Sell ("S_AvgCrssS") This Bar on Close;
End;

Source: http://www.traders.com

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