Re: [EquisMetaStock Group] Dynamic Breakout system - How to speed it up?

["Roy Larsen" <rlarsen@xxxxxxxxxx>]

Hi Paul


I think the second formula can be rebuilt without any PREVs. The LastValue(X+PREV-PREV) is one way that variable length functions can be implemented in MetaStock. The Forum DLL provides another way to implement variable length functions. The only possible fly-in-the-ointment that I can see id that The Forum DLL is restricted to using integers for variable length functions, while the PREV method can is some cases allow fractions. That's probably not relevant for HHV() and LLV() anyway so a non-PREV version should produce identical results and be faster.

At first glance I don't think that PREV can be removed from the first formula. However I won't know until I take a closer look.


Regards

Roy


  ----- Original Message ----- 
  From: ppappppapp 
  To: equismetastock@xxxxxxxxxxxxxxx 
  Sent: Wednesday, November 07, 2007 10:43 AM
  Subject: [EquisMetaStock Group] Dynamic Breakout system - How to speed it up?


  Greetings all,

  A 'little bird' suggested that I should post my querry here and 
  hopefully someone might offer some advice.

  O.k. here goes;

  The following indicators are based on the Dynamic Breakout system 
  (DBS) as found in Thomas Stridsman's book "Trading systems that work"

  It's simply a variation on the Turtle channel breakout method where 
  you buy a breakout above the highest high of `x' number of days ago. 
  (i.e. a HHV channel)
  This DBS system varies the channel width dynamically according to 
  price volatility (as measured by standard deviation)

  The following indicator finds the VALUE of the varying channel width 
  (in this case the HHV channel will vary between 20 and 100 bars ago) 
  and is then referenced into the second indicator

  ******************************

  {DBS-Lookback}

  {-----User Inputs-----}

  VolPer:=Input("Enter StdDev periods",1,100,30);
  LBmin:=Input("Enter Min. lookback periods for entry",5,100,20);
  LBmax:=Input("Enter Max. lookback periods for entry",20,200,100);

  HV:= Stdev(C, VolPer);
  YestHV := Ref(HV, -1);
  DeltaHV := 1+((HV-YestHV)/HV);
  If(Cum(1)=1,LBmin,Min(Max(PREV*DeltaHV,LBmin),LBmax));

  ********************************

  This following second indicator then references the above first 
  indicator to plot entry and exit signals
  (i.e. not `clean' signals but ALL valid signals where they occur)

  ********************************

  {DBS-Lsigs}

  {Dynamic Breakout system - Long signals}

  { User inputs }
  Mess1:=Input("Change defaults in DBS-Lookback Indicator",0,0,0);

  {Long entry & Long exit Channel}
  Lnc:=Ref(HHV(H,LastValue(Fml("DBS-LookBack")+PREV-PREV)),-1);

  Lxc:=Ref(LLV(L,LastValue(Fml("DBS-LookBack")+PREV-PREV)),-1);

  { Entry/Exit Long breakouts }
  entry:=H>Lnc; 
  exit:= L<Lxc; 

  entry;
  -exit

  *******************************

  o.k., now for the question;

  You will note from the above, the use of one(1) PREV command in the 
  first indicator and four(4) PREV commands in the second indicator (as 
  well as the PREV command associated with the referenced formula 
  within this indicator)

  Although the indicators work fine and dandy, they take a long, Long, 
  L---O---N---G time to plot on screen. Obviously due to the large 
  amount of computer resource demanded by the PREV command.
  If I attempt to run an exploration on numerous stocks/futures using 
  these indicators, I generally have to do it at night just before bed. 
  The results are available for me in the morning. (lucky I sleep for 
  8+ hours)

  Is there anything I can do to the indicator code to speed up the 
  execution?
  Or is this simply a Metastock limitation that I will have to live 
  with?
  In short how can i replace the PREV commands?

  Any tips would be much appreciated.

  Thanks kindly,

  Paul



   

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