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Indeed. Can you tell I don't use tradesim too often?I ran the simulation again just after and it returned a loss (I correctly included the commission the second time) hence why I posted something was amiss.
It's not a complete fowl up though. It does show the entry isn't entirely bad. The question now is whether there is anything practical we can change to make it profitable (position sizing, the exit, the universe of stocks)? Tweaking the entry to exclude stocks without an upward bias by including a long term MA would be my starting point. We need to establish whether or not the system has an edge we can exploit.
Or, alternatively, we decide the system is nice in theory, but isn't tradeable. Plenty of ideas like that around.
Happytrader - I don't have intraday data and I'm not sure how your post follows through on the work we've done to date.Hi Doctorj
May I suggest you test say 10 bluechips across the sectors with entry time at say 2.45pm and exit at 10.45am?
Cheers
Happytrader
tech/A,Bingk6
That Pattern is called a Shark Bar Pattern.
Google "Shark-32 "
At the top of the page you will find the code for Metastock and Tradestation.
The Guy Walter Downs talks about a break above the High of the pattern, not a break above the high of the last inside bar.
I dont Know if this will help or not.
Cheers....Onemore
"For those looking to set a time-related stop in Metastock that have Tradesim, the following code will do it for you:
ExtFml( "TradeSim.SetTimeStop",X );
Where X is an positive whole number. If it's a daily system, it will exit after x days."
Just a minor correction... The above counts bars, not days, so:
ExtFml( "TradeSim.SetTimeStop",X );
...means exit on the Xth bar.
To use days you need a dash in front of the number:
ExtFml( "TradeSim.SetTimeStop",-X );
...which means exit on the Xth day.
Doing a bit of work on this.
This is my code.
I believe we want 2 inside days then the trigger bar.
Hence my code is a little different.
However it only gives me 26 trades in 8 yrs!
Ref(H,-1)<=Ref(HIGH,-2) AND Ref(LOW,-1)>=Ref(LOW,-2)AND Ref(HIGH,-2)<= Ref(HIGH,-3) AND Ref(LOW,-2)>= Ref(LOW,-3)AND L>=Ref(L,-1) AND L<=Ref(H,-1) AND H>Ref(H,-1) AND V>=2*Ref(Mov(V,5,E),-1) AND ((C-L)/(H-L))*.7;
Anyone see anything obvious?
I found these in my explorer files. I used to search NASDAQ stocks years ago for that Shark Bar Pattern.
Symmetry:=.28;
Apex:=(H+L)/2;
WB:=Ref(H,-2)-Ref(L,-2);
If((H<Ref(H,-1) AND L>Ref(L,-1) AND Ref(H,-1)<Ref(H,-2) AND
Ref(L,-1)>Ref(L,-2)),
If(apex <= (Ref(H,-2)-(WB*Symmetry)) AND Apex >=
(Ref(L,-2)+(WB*Symmetry)) ,1,0),0);
Symmetry:=.10;
Apex:=(H+L)/2;
WB:=Ref(H,-2)-Ref(L,-2);
If((H<Ref(H,-1) AND L>Ref(L,-1) AND Ref(H,-1)<Ref(H,-2) AND
Ref(L,-1)>Ref(L,-2)),
If(apex <= (Ref(H,-2)-(WB*Symmetry)) AND Apex >=
(Ref(L,-2)+(WB*Symmetry)) ,1,0),0);
Are They any help?
Onemore.
Sorry I don't have any way of posting a chart at this stage
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