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I also just finished reading the Van Tharp book and recommend it. Good
info on money management, what he refers to as position sizing.
On the 10 day exponential of the ATR, he talks about using it as a
trailing stop where the stop could only move in his favor, i.e. when the
price rose if long or fell if short. Otherwise it would remain at the level
of yesterday. Could anybody take a shot at coding this as part of a system
or maybe a function? On a random-entry system, he claims this exit made
money 80% of the time trading 1 contract and 100% of the time trading a 1%
risk level. Interesting eh?
Dave Demetre
laertes@xxxxxxxxx
-----Original Message-----
From: Sentinel Trading <rjbiii@xxxxxxxxx>
To: angus@xxxxxxxxxxxx <angus@xxxxxxxxxxxx>; Omega Newsgroup
<omega-list@xxxxxxxxxx>
Date: Thursday, December 10, 1998 5:32 PM
Subject: Re:Van Tharp and system developements
>This should take care of 10 day Exponential Average of the 3 day ATR.
>
>First create the XAverageV function from Bob Fulks without it you can't
use
>anything other than price in an XAverage function. Then create the
indicator
>XAverageTrueRange. Code Below.
>
>{ *******************************************************************
>
> Study : XAverage.V
>
> Last Edit : 11/2/96
>
> Provided By : Bob Fulks
>
> Description : This is a recoding of the XAverage function as a
> "simple function" rather than as a "series function". For
> correct results it must be evaluated on every bar, as is
> normal for Omega simple functions.
>
>********************************************************************}
>inputs : Price(NumericSeries), Length(NumericSimple);
>vars : Factor(0), XLast(0);
>
>if Length + 1 <> 0
>then begin
> if CurrentBar <= 1
> then begin
> Factor = 2 / (Length + 1);
> XAverage.V = Price;
> XLast = Price;
> end
> else begin
> Value1 = Factor * Price + (1 - Factor) * XLast;
> XAverage.V = Value1;
> XLast = Value1;
> end;
>end;
>
>
>
>
>
>{******************************************************************}
> {XAvgTrueRange}
>
>Inputs:XAvgLen(10), ATRLen(3);
>
> Plot1(XAverage.V(AvgTrueRange(XAvgLen),ATRLen),"XAvgTR");
>
>
>
>"The darkest hour in any man's life is when he sits down to plan
> how to get money without earning it"
>
>Sentinel Trading
>rjbiii@xxxxxxxxx
>____________________Reply Separator____________________
>Subject: Van Tharp and system developements
>Author: angus@xxxxxxxxxxxx
>Date: 12/10/98 2:30 PM
>
>I just finished reading Van Tharps new book .Trading into financial
>freedom.. I recommend it to all.. it is a classic. [ I have no affilation
>with him] He had 2 concepts that I was hoping someone could code..
>
>Profit stops & protective stops
>10 day exponential of the 3 day average true range [ if someone can make
>it an indicator]
>
>and a stop
>if you get twice the daily volatilility from yesterdays close exit [if
>someone can make it a show me or indicator]
>
>thansk
>
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