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Stan,
I use RSquared and LinRegSlope in several of my system tests. I'll copy
a previous post on them below. Give them a try and let me know what you
think.
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All,
Ive been playing with my MetaStock System tests again. As you know,
when I plot a new stock I compare all my tests and go with the one that does
best for that stock. You will need two custom formulas for the tests. The
formulas and tests follow:
-------------------------------------------------------------------------
MetaStock for Windows Indicator Builder
Momentum Time
(H-Mov(C,55,T)+(L-Mov(C,55,T)))/(H-Mov(C,55,T)-(L-Mov(C,55,T)))
S/C (LinRegSlope/Close)
10000*LinRegSlope(C,34)/C
MetaStock for Windows System Tester
============================================================================
01_R2, S/C, MFI, TSF - (Vol Rqd)
SIGNAL FORMULAS
---------------
Enter Long:
Alert(RSquared(C,21) < 0.15,13) AND
Fml("S/C") > opt1 AND
HHV(Fml("S/C"),5) = HHV(Fml("S/C"),13) AND
HHV(MFI(55),5) = HHV(MFI(55),13) AND
HHV(Mov(C,55,E),5) = HHV(Mov(C,55,E),13)
Close Long:
Alert(Cross(TSF(C,233),C),13) AND
LLV(Mov(C,55,E),5) = LLV(Mov(C,55,E),13) AND
Fml("S/C") < opt1
Enter Short:
Alert(RSquared(C,21) < 0.15,13) AND
Fml("S/C") < opt2 AND
LLV(Fml("S/C"),5) = LLV(Fml("S/C"),13) AND
LLV(MFI(55),5) = LLV(MFI(55),13) AND
LLV(Mov(C,144,E),5) = LLV(Mov(C,144,E),13)
Close Short:
HHV(Mov(C,144,E),5) = HHV(Mov(C,144,E),13)
OPTIMIZATION VARIABLES
----------------------
OPT1: Min = -89.00 Max = -21.00 Step = 34.00
OPT2: Min = -89.00 Max = -21.00 Step = 34.00
STOPS ALL OFF
============================================================================
02_R2, S/C, CMO - All
SIGNAL FORMULAS
---------------
Enter Long:
Alert(RSquared(C,21) < 0.15,13) AND
Fml("S/C") > opt1 AND
HHV(Fml("S/C"),5) = HHV(Fml("S/C"),13) AND
CMO(C,55) > 0
Close Long:
Fml("S/C") < opt1 AND
LLV(CMO(C,55),5) = LLV(CMO(C,55),13)
Enter Short:
Alert(RSquared(C,21) < 0.15,13) AND
Fml("S/C") < opt2 AND
LLV(Fml("S/C"),5) = LLV(Fml("S/C"),13) AND
CMO(C,55) < 0 AND
LLV(Mov(C,144,E),5) = LLV(Mov(C,144,E),13) AND
TRIX(55) < 0
Close Short:
HHV(Mov(C,144,E),5) = HHV(Mov(C,144,E),13)
OPTIMIZATION VARIABLES
----------------------
OPT1: Min = -89.00 Max = -21.00 Step = 34.00
OPT2: Min = -89.00 Max = -21.00 Step = 34.00
STOPS ALL OFF
============================================================================
03_R2, S/C, Qstick - (OHLC Rqd)
SIGNAL FORMULAS
---------------
Enter Long:
Alert(RSquared(C,21) < 0.15,13) AND
Fml("S/C") > opt1 AND
HHV(Fml("S/C"),5) = HHV(Fml("S/C"),13) AND
Qstick(21) > 0 AND
HHV(Qstick(21),5) = HHV(Qstick(21),13) AND
HHV(Mov(C,55,E),5) = HHV(Mov(C,55,E),13)
Close Long:
Fml("S/C") < opt1 AND
LLV(Qstick(21),5) = LLV(Qstick(21),13)
Enter Short:
Alert(RSquared(C,21) < 0.15,13) AND
Fml("S/C") < opt2 AND
LLV(Fml("S/C"),5) = LLV(Fml("S/C"),13) AND
Qstick(21) < 0 AND
LLV(Qstick(21),5) = LLV(Qstick(21),13) AND
LLV(Mov(C,144,E),5) = LLV(Mov(C,144,E),13) AND
C = LLV(C,5)
Close Short:
HHV(Mov(C,144,E),5) = HHV(Mov(C,144,E),13)
OPTIMIZATION VARIABLES
----------------------
OPT1: Min = -89.00 Max = -24.00 Step = 34.00
OPT2: Min = -89.00 Max = -21.00 Step = 34.00
STOPS ALL OFF
============================================================================
04_R2, S/C, CCI, TSF - All
SIGNAL FORMULAS
---------------
Enter Long:
Alert(RSquared(C,21) < 0.15,13) AND
Fml("S/C") > opt1 AND
HHV(Fml("S/C"),5) = HHV(Fml("S/C"),13) AND
HHV(CCI(55),5) = HHV(CCI(55),13) AND
CCI(55) > 0 AND
HHV(Mov(C,55,E),5) = HHV(Mov(C,55,E),13)
Close Long:
LLV(TSF(C,55),5) = LLV(TSF(C,55),13) AND
Fml("S/C") < opt1 AND
LLV(CCI(55),5) = LLV(CCI(55),13)
Enter Short:
Alert(RSquared(C,21) < 0.15,13) AND
Fml("S/C") < opt2 AND
LLV(Fml("S/C"),5) = LLV(Fml("S/C"),13) AND
LLV(CCI(55),5) = LLV(CCI(55),13) AND
LLV(Mov(C,144,E),5) = LLV(Mov(C,144,E),13)
Close Short:
HHV(Mov(C,144,E),5) = HHV(Mov(C,144,E),13)
OPTIMIZATION VARIABLES
----------------------
OPT1: Min = -89.00 Max = -21.00 Step = 34.00
OPT2: Min = -89.00 Max = -21.00 Step = 34.00
STOPS ALL OFF
============================================================================
05_R2, S/C, TRIX - All
SIGNAL FORMULAS
---------------
Enter Long:
Alert(RSquared(C,21) < 0.15,13) AND
Fml("S/C") > opt1 AND
HHV(Fml("S/C"),5) = HHV(Fml("S/C"),13) AND
TRIX(21) > Mov(TRIX(21),55,T) AND
HHV(TRIX(21),5) = HHV(TRIX(21),13)
Close Long:
Fml("S/C") < opt1 AND
TRIX(21) < Mov(TRIX(21),55,T)
Enter Short:
Alert(RSquared(C,21) < 0.15,13) AND
Fml("S/C") < opt2 AND
LLV(Fml("S/C"),5) = LLV(Fml("S/C"),13) AND
TRIX(21) < Mov(TRIX(21),55,T) AND
LLV(Mov(C,144,E),5) = LLV(Mov(C,144,E),13)
Close Short:
HHV(Mov(C,144,E),5) = HHV(Mov(C,144,E),13) AND
TRIX(21) > Mov(TRIX(21),55,T)
OPTIMIZATION VARIABLES
----------------------
OPT1: Min = -89.00 Max = -21.00 Step = 34.00
OPT2: Min = -89.00 Max = -21.00 Step = 34.00
STOPS ALL OFF
============================================================================
06_ROC, TSF, ADXR, S/C - All
SIGNAL FORMULAS
---------------
Enter Long:
Alert(Cross(ROC(C,21,%),-5),21) AND
HHV(Mov(C,21,E),5) = HHV(Mov(C,21,E),13) AND
ADXR(13) > opt1 AND
Fml("S/C") > -5
Close Long:
C < TSF(C,233) AND
ROC(C,21,%) < 0 AND
LLV(Mov(C,21,E),5) = LLV(Mov(C,21,E),13) AND
ADXR(13) < opt1
Enter Short:
Alert(Cross(-10,ROC(C,21,%)),13) AND
LLV(Mov(C,144,E),5) = LLV(Mov(C,144,E),13) AND
ADXR(13) > opt2 AND
C < Mov(C,55,E) AND
Fml("S/C") < -8
Close Short:
HHV(Mov(C,144,E),5) = HHV(Mov(C,144,E),13) AND
Fml("S/C") > -8
OPTIMIZATION VARIABLES
----------------------
OPT1: Min = 21.00 Max = 27.00 Step = 3.00
OPT2: Min = 25.00 Max = 35.00 Step = 5.00
STOPS ALL OFF
============================================================================
07_Three Moving Average System
SIGNAL FORMULAS
---------------
Enter Long:
HHV(Mov(C,opt1,E),5) = HHV(Mov(C,opt1,E),13) AND
HHV(Mov(C,opt2,E),5) = HHV(Mov(C,opt2,E),13) AND
HHV(Mov(C,opt3,E),5) = HHV(Mov(C,opt3,E),13)
Close Long:
LLV(Mov(C,opt1,E),5) = LLV(Mov(C,opt1,E),13) AND
LLV(Mov(C,opt2,E),5) = LLV(Mov(C,opt2,E),13)
Enter Short:
LLV(Mov(C,opt1,E),5) = LLV(Mov(C,opt1,E),13) AND
LLV(Mov(C,opt2,E),5) = LLV(Mov(C,opt2,E),13) AND
LLV(Mov(C,opt3,E),5) = LLV(Mov(C,opt3,E),13)
Close Short:
HHV(Mov(C,opt1,E),5) = HHV(Mov(C,opt1,E),13) AND
HHV(Mov(C,opt2,E),5) = HHV(Mov(C,opt2,E),13)
OPTIMIZATION VARIABLES
----------------------
OPT1: Min = 13.00 Max = 21.00 Step = 8.00
OPT2: Min = 55.00 Max = 89.00 Step = 34.00
OPT3: Min = 144.00 Max = 233.00 Step = 89.00
STOPS ALL OFF
============================================================================
08_Momentum Time & S/C
SIGNAL FORMULAS
---------------
Enter Long:
Alert(Cross(Fml("Momentum Time"),0),13) AND
C > Mov(C,21,T) AND
Fml("S/C") > 0 AND
HHV(Fml("S/C"),5) = HHV(Fml("S/C"),13)
Close Long:
Fml("S/C") < opt1
Enter Short:
Alert(Cross(0,Fml("Momentum Time")),13) AND
C < Mov(C,21,T) AND
Fml("S/C") < opt1 AND
LLV(Fml("S/C"),5) = LLV(Fml("S/C"),13)
Close Short:
Fml("S/C") > 0
OPTIMIZATION VARIABLES
OPT1: Min = -89.00 Max = -21.00 Step = 34.00
STOPS ALL OFF
-------------------------------------------------------------------------
Jim
-----Original Message-----
From: S Childs
Sent: Tuesday, June 10, 1997 8:36 PM
To: metastock-list@xxxxxxxxxxxxx
Subject: Unidentified subject!
I was experimenting with shifted MA's awhile back and found through
optimization one the seemed pretty good on the Yen. (I was using the
spot at the time) anyway the system gave a long signal six days late(the
forward shift was six) and I established a long in the Yen May 6th. Now
on to the next part. Has anyone experimented with Rsquared and Linear
Regression Slope to establish an exit point either in combination with MA's
or not? I plan to try an optimization routine but I know many in this forum
are way ahead of me here and can add some very useful input. Thanks!
Stan Childs
Tradewinds North, Inc
Stanley W. Childs-CEO
HC 83 Box 466
Pequot Lakes, MN 56472
Telephone 218-543-4445
Fax 218-543-6835
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