Hello

I have found a system in Forum a while back that visually seems to capture some very nice moves in price trends (loosely defined).  The original system (with some of my own tweaks) is as follows:

atrprd:=Input("ATR Period",5,20,20);
numatrs:=Input("Num ATRs",.5,4,2);
prd:=Input("Mov Avg Prd",1,20,3);

perc:=numatrs*ATR(atrprd)/C;

var1:=If(( Mov(C,prd,S) *(1-perc))>PREV, Mov(C,prd,S) *(1-perc),If(( Mov(C,prd,S) *(1+perc))<PREV, Mov(C,prd,S) *(1+perc),PREV));

LE:=ref(cross(L,var1),-1);

LX:=ref(cross(var1,L),-1);

SE:=ref(cross(var1,H),-1);

SX:=ref(cross(H,var1),-1);

When I run it on daily SPY from 1/1/97 to present (trade at Open, no delay, 1 position, 100% equity, no margining, $10 per trade), however, I get a terrible equity curve that doesn't agree with my visual inspection of many of the trade signals.

Has anybody looked into similar systems?  Any suggestions about the system above?

Many thanks.

ZigZag

LE:=Ref(Cross(L,var1),-1);LE;

LX:=Ref(Cross(var1,L),-1);LX;

SE:=Ref(Cross(var1,H),-1);SE;

SX:=Ref(Cross(H,var1),-1);SX;

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elec@otenet.gr

hi elec

thanks for your reply.

i don't quite understand what you are trying to tell me.  you copied the exact same trading rules from my original message.

i am hoping that someone improved that system.  it seems to have potential, perhaps with some tweaks or in conjunction with other indicators.

thanks

ZigZag

Hi again zz,

When doing a system analysis, try this: Explain in words HOW the system works and try to understand WHY the system as designed should work.  As the system is not working for you, write in words why it isn't working.  Compare the first step with the second step and see the problem...

This will give you a greater insight into why this system may or may not work for you, as is or even after some modification.

Ask yourself a few questions like: where is the risk management and money management in this system (entries and exits are not a system IMHO)?  Why is the same indicator used for entries and exits?  Why is only one indicator used? Surely this cannot be the panacea indicator that can be applied to all charts in all time frames to give perfect signals?  What about some support from other indicators/data/patterns?


Hope this helps.

wabbit

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Wabbit

Many thanks for your post - insightful and helpful as usual.

I did test the system and posted the question in Forum in haste.  Upon further thought, some reseach into using this system in conjunction with a trending indicator should yield interesting results.

Rgds

Leonardo