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Hello Michael,
a couple of things to consider--
JMA at short lengths (e.g., 4-10) is essentially a smoothed proxy for
price itself. for that reason I use JMA, len = 6-8 as price and watch
carefully how it behaves around the 20 EMA.
consider that a 20 simple MA if plotted over the center of prices that
comprse it would be the price 10 bars ago--this is called a centering
the MA.
so when you use the 3SMA crossing the 20 SMA you are approximating the
price proxy going above the price 10 bars ago--effectively a 10 bar
breakout strategy.
I point this out not to suggest a different system but so you
understand what you are implicitly doing.
Before going too far with coding per se I'd suggest studying a lot of
charts with various MA's plotted on them. One exercise I do
occasionally is to plot a 20 ema, a 8 JMA on a 5 to 30 min chart and
format the price to hidden.
Best regards,
Jim Johnson mailto:jejohn@xxxxxxxxxxx
--
Monday, July 22, 2002, 12:28:47 PM, you wrote:
MH> Thanks for input from Ernie, Jim, Michael and Ron. I am still working
MH> through your various suggestions.
MH> Below is the quick solution that I have achieved so far - which mimicks the
MH> approach some of you suggested.
MH> I am not an experienced easy language user.
MH> Basically I took the existing Moving Average crossover STRATEGY that comes
MH> with Trade Station and replaced the Bullish Moving average SIGNAL with a JRC
MH> version SIGNAL. To do this I first has had to open the existing Bullish
MH> Moving Average crossover SIGNAL and substitute the correct values/ inputs to
MH> make it a KMA version .
MH> Directly below is
MH> 1) the original M.A. Signal code
MH> 2) the modified to JMA MA signal code
MH> 3) Steps I took to insert these into the generic M.A. crossover strategy
MH> and then optimize the result JMA crossover Strategy.
MH> 1)
MH> {*******************************************************************
MH> Description : Moving Average Crossover (2 Line) Long Entry
MH> Provided By : Omega Research, Inc. (c) Copyright 1999
MH> ********************************************************************}
MH> Inputs: Price(Close), FastLen(9), SlowLen(18);
If CurrentBar >> 1 AND AverageFC(Price, FastLen) Crosses Above
MH> AverageFC(Price, SlowLen) Then
MH> Buy ("MAC") This Bar on Close;
MH> ----------------------------------------------------------------------------
MH> ----------------
MH> 2)
MH> Description: JMA Moving Average Crossover 2 Line Long Entry
MH> (MH Note: I then substituted the JRC.JMA.2k as follows and added the
MH> required input of phase ( left to zero - does this make sense?: )
MH> ****************************************************************************
MH> *******
MH> Inputs: Price(Close), FastLen(9), SlowLen(18), Phase(0);
If CurrentBar >> 1 AND JRC.JMA.2k(Price, FastLen, Phase) Crosses Above
MH> JRC.JMA.2k(Price, SlowLen, Phase) Then
MH> Buy ("MAC") This Bar on Close
MH> ----------------------------------------------------------------------------
MH> --------------------
MH> 3)
MH> MH Note: I then went into TS under Go/Strategy Builder / "Save as" and saved
MH> the existing Moving Average Crossover under a new name "JMA Moving Average
MH> Crossover" . From there I selected Edit and added the JMA version Signal
MH> (above) under the Signal tab in the editor and also removed the default
MH> moving average crossover signal from the editor. I moved up the JMA MA cross
MH> signal to the top of the editor window for Signals.
MH> From there I ran the new JMA Moving Average Signal on S&P 500 daily data
MH> with max bars reference setting of 182. Under format analysis I checked
MH> "optimize" for both the slow and long JMA input and optimized .
MH> I got a great initial result using the default 5 day trailing stop feature
MH> of this strategy - and that's' where I am so far.
MH> Performance summery on this first attempt gave me 7 trades/ 5 winning trades
MH> and a 266% return on the account - but no commission/money management or any
MH> other inputs were used. This is just a first try and there is more work to
MH> do.
MH> I am not sure about phase input in the KMA as I am new with the JMA and not
MH> an easy language system builder - so any additional feedback is welcome.
MH> Hope this is of some use.
MH> Mike Holder
MH> Toronto
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