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But the brokerage companies get a lot of commissions and there is
also a lot of money to be made via slippages because intraday trading
involves lots of orders every day which translates into lots of
commissions and slippages as opposed to position trading :)
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, Anthony Abry <abry@xxxx> wrote:
> I totally agree - discretionary intraday trading is just not for me.
>
> Anthony Abry
>
> -----Original Message-----
> From: quanttrader714 [mailto:quanttrader714@x...]
> Sent: Monday, December 06, 2004 11:53 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: CCI ZLR
>
>
> On the one hand, if you read the manual you mention (which at one
> point had been approved by Woodie), it says *repeatedly* to follow
the
> patterns as described *exactly*, which implies they can be
backtested.
> But when confronted with the fact that the patterns don't test out,
> the official story becomes oh, too many nuances, you need to put in
> your time and then you'll be able to trade them, they can't be
> backtested, there are additional filters, some of which are
> proprietary, etc. My advice is to do your own testing and believe
> only that. And if it's really true that the patterns are too
complex
> to be backtested and there really are too many nuances, then that
> means the patterns form the base of some form of discretionary
> trading, in which case why not use simple patterns that *do* test
out
> instead of complex ones that don't?
>
> --- In amibroker@xxxxxxxxxxxxxxx, Anthony Abry <abry@xxxx> wrote:
> > Thank you everyone for your help.
> >
> > Mark, I think your code looks good and is an excellent starting
> point.
> > The entry looks great, and the exit is one of many. Thank you.
> >
> > There are many nuances to Woodie's CCI which makes it hard to
trade
> for
> > some, easy for others. Myself, I have had good and bad days
> papertrading
> > but have not committed real money yet.
> >
> > These days, Woodie uses a LSMA 25 as a filter as well as a
> "Sidewinder"
> > which is, as far as I can tell, a filter incorporation the angle
of
> the
> > 34 EMA (to get a good trend slope) as well as some sort of
> volatility
> > measure.
> >
> > Exits are tricky as well and are implemented differently if traded
> with
> > one or more contracts. Woodie encourages to start learning his
> method
> > with one contract but to be really profitable one needs to trade
> > multicontract as the runners will eventually make the system
> profitable.
> >
> >
> > There is a good intro manual by a guy named Jeff on the website
> > woodiescciclub.com. If nothing else, Woodie is an excellent
teacher
> of
> > trading discipline.
> >
> >
> >
> > Anthony C. Abry
> >
> > -----Original Message-----
> > From: quanttrader714 [mailto:quanttrader714@x...]
> > Sent: Monday, December 06, 2004 6:36 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: CCI ZLR
> >
> >
> > Hi Anthony,
> >
> > A while ago, I took a look at the manual that explains Woodie's
> > patterns and attempted to code ZLR for long trades (below). This
> and
> > every other variation I tried performed poorly. I think this code
> > pretty much captures the essence of the pattern but if I'm
> mistaken, I
> > welcome constructive feedback. Watch out for wrapped code. Good
> luck.
> >
> > Mark
> >
> > SetTradeDelays(0,0,0,0);// no trade delays
> > BuyPrice=C;
> > SellPrice=C;
> > wcci=CCI(14);
> > tcci=CCI(6);
> > Ct=IIf(wcci>0,1,0);
> > sct1=Sum(Ct,8);// # of times in last 8 bars CCI was >0
> > sct2=Sum(Ct,2);// # of times in last 2 bars CCI was >0
> >
> > Buy= sct1>=7 AND sct2==2// 7 or more of last 8 CCI bars must be >0
> AND
> > last 2 must be >0
> > AND wcci>Ref(wcci,-1) AND Ref(wcci,-1)<=Ref(wcci,-2) AND
> > Ref(wcci,-2)<=Ref(wcci,-3)// CCI bounce
> > AND LLV(wcci,3)>=-100 AND HHV(wcci,3)<=100;// CCI bounce occurs
> > between +/- 100
> >
> > Sell=wcci<=Ref(wcci,-1)// declining or flat CCI
> > OR Cross(0,wcci)// CCI crosses below zero line
> > OR tcci<=Ref(tcci,-1)// declining or flat TCCI
> > OR Cross(wcci,tcci);// TCCI crosses below CCI
> >
> > SetOption("MaxOpenPositions", 20 );
> > PositionSize = -5;
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, Anthony Abry <abry@xxxx> wrote:
> > > I was wondering if any of you have ever coded Woodie's CCI zero
> line
> > > reject into AB.
> > >
> > > As a first step to learn some coding I am currently trying to
do,
> > >
> > > If CCI(14) has been positive for 6 bars then buy. Sell when CCI
> > > declines.
> > >
> > > The next step would be, if CCI(14) has been positive for 6 bars,
> and
> > has
> > > been above 100 and has retraced back below 100 and then turns up
> > again,
> > > then buy.
> > >
> > > I have tried many variations - all of which show me I am not fit
> for
> > > programming.
> > >
> > > Any help appreciated ......
> > >
> > > Anthony Abry
> >
> >
> >
> >
> >
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> >
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