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Thanks for the comment, Martin. I am aware of the security function
and use it frequently in my programs, but to do this backtest in MS
is a complex problem that goes beyond a straight forward application
of the security function. You have to use the VLE index with the
indicators and rules, then when the VLE generates a signal from the
index you execute the trade on the SPY.
Roy and I are working on the problem and maybe they'll be a solution
in the next few days, at least for one version or another of MS
explorer. This is one of the limitations of formula language as
opposed to a general purpose programming language. That's why the
original tester of the system used TradeStation for the backtests. MS
likes it's systems tests simple.
I also need to correct something else. Zweig got the 4% indicator
from Ned Davis. Davis actually developed it in the 60's, so there's
40 plus years of data on how it works as opposed to the the 30 years
I mentioned.
Thanks again, Martin.
JO
--- In equismetastock@xxxxxxxxxxxxxxx, "praktikus_ms"
<praktikus@xxxx> wrote:
> Hi JO,
>
> >The 4% VLE system can't be curve fitted--at least by any
> >conventional
> >means that I am aware of. I programmed it uniquely using a
highlight
> >code which can't be used direclty in the systems tester. I am
> >thinking about writing an expert for it and if I do, I will try to
> >put it in a form that can be tested in MS. The way I want to do it
> >is
> >a little tricky because I am not coding for the SPY, I will be
> >coding
> >for the VLE and then transfering the entry and exit points to the
> >SPY. How much fun can one guy have!
>
> If you're using MS 8.xx PRO, there is a nice function(from the
online
> manual):
>
> The Security Data function allows a formula to access price data
for
> any online or local security. This function can be used in any of
> MetaStock's formula tools.
> Online securities are referenced by including "ONLINE:" before the
> symbol. Local securities are referenced by including the full path
> to the security file. If the security exists in the same folder as
> the base security, the path does not need to be included. The
> symbol, including the path or online reference, is enclosed in
> quotation marks.
>
> To reference Microsoft's close as an online security:
> Security("ONLINE:MSFT",C)
> To reference Microsoft's close as a local security using the full
> path:
> Security("C:\Metastock Data\Sample\MSFT",C)
> To reference Microsoft's close as a local security in the same
folder
> as the base security:
> Security("MSFT",C)
> The last type of reference is particularly useful if you use local
> data exclusively, and store all of your securities in the same
local
> data folder.
>
> For example, the following indicator displays a 30-day moving
average
> of Microsoft's close on any chart, if your online data vendor is
> active.
> Mov(Security("ONLINE:MSFT",C),30,S)
> The same formula could be written as:
> Security("ONLINE:MSFT",Mov(C,30,S))
>
> I'm not sure wether the security function is also integrated in EOD
> or not and I'm also not sure wether this is possible or not. But
I'll
> give it a try and when I find some time maybe I'll try the coding
> (althoug I'm not looking at me as a pro).
>
> Martin
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