[RT] BobR's 1% Moves

[Guy Hacha <guy.hacha@xxxxxxxxx>]

Just a suggestion, replace the 1% move by x*ATR, this to make the system
more adaptive.
The x value should be tested.

Guy 

At 16:26 8/01/2003, you wrote:
For those of you who
might have played around with the 1% system
that I posted, get ready to be
amazed.
 
I did an optimization on the DAILY S&P
futures.
 
Leaving the parameters the same I loaded 30
minute bars ES data
into the same workspace to replace the S&P
and the attached is
what I got.
 
Using the system on daily was just so-so. 
Using the system on 30
minute bars seems exceptionally
good.
 
Bob, you are awake! ! ! !
 
Clyde
- - - - - - - - - - - - - - - - - - - - -  - - - - - - -
Clyde Lee  
Chairman/CEO          (Home
of SwingMachine)
SYTECH Corporation         
email:
clydelee@xxxxxxxxxxxx 

7910 Westglen, Suite 105      
Office:    (713) 783-9540
Houston,  TX 
77063              
Fax:    (713) 783-1092
Details
at:                     
www.theswingmachine.com
- - - - - - - - - - - - - - - - - - - -  - - - - - - - -

----- Original Message ----- 
From: BobR 
To:
MedianLine@xxxxxxxxxxxxxxx ; swingmachine-list ; realtraders@xxxxxxxxxxxxxxx 
Sent: Tuesday, January 07, 2003 12:53 PM
Subject: Re: [MedianLine] BobR's 1% Moves


Looking at the %adv decl and %VIX suggests a rally this afternoon.
 
bobr
----- Original Message ----- 
From: Clyde Lee 
To: swingmachine-list 
Sent: Tuesday, January 07, 2003 9:45 AM
Subject: [MedianLine] BobR's 1% Moves


I got interested in what Bob was showing and wrote the little system
which is included below ( .ela file attached).
 
Basically you can specify a percent change over n bars as a trigger to
trade in the direction of the change.  Because of the high risk I have
included a stoploss facility and a take profit ability.
 
The attached picture clearly shows that  1%  is the magic figure.
 
Have fun and let us know the results from something other than SP.
 
I did test the idea in the inverse direction and that was horrible.
 
Clyde
 
 


{ System:  Percent_Change
 
  Author:  Clyde Lee, Copyright 2003, SYTECH Corporation

           Permission to distribute is granted so long as

           entire code and comments are distributed.
 
 Purpose:  Test concept that an entry after an N% move

           (close to close) over M bars will yield a profit.

}
 
Input: NBars(1),     {Number of bars over which to measure % change}

       PercChng(1),  {Percent change minimum for entry             }

       LossMult(0),  {MM stop loss from entry price -- multiplier  }

                     {of ATR if length for ATR is specified.       }

                     {Percent of price if ATR length is zero.      }

       TakPMult(0),  {Take profit multiplier -- see above          }

       LengATR(21);  {Length for ATR computation -- see above      }
 
Vars:   ATRValu(0);

 

{ATR value or close/100 for computation of stop/take profit}

If LengATR>0 

  then ATRValu=AvgTrueRange(LengATR)

  else ATRValu=C*.01;
 
{Calculate % change over NBars bars}

Value1=(c-C[NBars])/C*100;

Value2=(c-C[NBars])/C*100;
{Long trade maybe???}

If Value1>=PercChng and Value1[1]<PercChng then begin

&nb!

sp;!

; If MarketPosition<=0 then Buy  Next Bar at Open;

End;

{Short trade maybe???}

If Value2<-PercChng and Value2[1]>-PercChng then begin

  If MarketPosition>=0 then Sell Next Bar at Open;

End;
{Only worry about stop loss and take profit if in trade}

If MarketPosition>0 then begin

 {Do stoploss if requested}

 If LossMult>0 then begin

  Value5=ATRValu*LossMult;

  If MarketPosition>0 then ExitLong  Next Bar at EntryPrice-Value5 Stop;

  If MarketPosition<0 then ExitShort Next Bar at EntryPrice+Value5 Stop;

  End;

 {Do takeprofit if requested}

 If TakPMult>0 then begin

  Value5=ATRValu*TakPMult;

  If MarketPosition>0 then ExitLong  Next Bar at EntryPrice+Value5 Limit;

  If MarketPosition<0 then ExitShort Next Bar at EntryPrice-Value5 Limit;

  End;

End;
 
 
- - - - - - - - - - - - - - - - - - - - -  - - - - - - -
Clyde Lee   Chairman/CEO          (Home of SwingMachine)
SYTECH Corporation          email: clydelee@xxxxxxxxxxxx  
7910 Westglen, Suite 105       Office:    (713) 783-9540
Houston,  TX  77063               Fax:    (713) 783-1092
Details at:                      www.theswingmachine.com
- - - - - - - - - - - - - - - - - - - -  - - - - - - - -

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Guy Hacha
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