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Portfolio123 » List all forums » Forum: Simulations and Portfolios » Thread: Entry/Exit Technical Indicators |
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orvosp
Advanced Member UNITED STATES Joined: Apr 8, 2005 Posts: 23 Status: Offline |
As many of you have done in the spirit of sharing ideas in this forum, I want to contribute some formulas I've recently cobbled which emulate Aroon and Williams %R technical indicators using new P123 factors. My intent is to use both indicators in combination as buy and sell rules to signal entry and exit points for a trade. I've run a few sims with different ranking systems using Aroon only as a buy rule and Williams as my only sell rule just to test the formulas, and the formulas do seem to signal an entry or exit at the appropriate time. I've also applied an EMA crossover as a buy rule in combination with Aroon in order to buy earlier into an uptrend, and that seems to work too. These sims are public and the formulas are usable by all who can decipher the logic. I hope a few members might experiment with these indicators and further share their sims for public view. Regardless of which trading model or strategy anyone follows, we could all benefit from these technical indicators. Click on the following or search my sims with the word "Aroon" in the simulation name. Regards, Paul. http://portfolio123.com/port_summary.jsp?portid=191628 http://portfolio123.com/port_summary.jsp?portid=191841 ---------------------------------------- 
StockCharts.bmp
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Jaybee
Advanced Member
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This looks very interesting, Paul. Seems as if you have done some very good work here. I certainly intend to study it further, when I can get the time to do so. Thanks very much for sharing your efforts with us. I, for one, certainly appreciate it.  JayBee  |
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jerrodmason
Advanced Member UNITED STATES Joined: Jan 14, 2005 Posts: 600 Status: Offline |
Paul: I'm impressed! It's going to take me a while to understand those rules enough to make sensible experiments. Meanwhile, I have to ask you why you specified "Previous Close" for the transaction price. Ordinarily, I've found that PC artificially inflates the return, but not this time (Port #191628): Previous Close Annualized Return 58.81% Modified: Next Open Annualized Return 68.87% Sharpe went from 1.73 to 2.00 with this change, and %winners went from 52% to 57%. Do you suppose that this means the rules are jumping the gun a bit? If so, they could be modified to respond less quickly. Verrrry interesting! J ---------------------------------------- The smart money was on Goliath. "He's not the Messiah. He's a very naughty boy." |
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orvosp
Advanced Member UNITED STATES Joined: Apr 8, 2005 Posts: 23 Status: Offline |
Jerrod, I really wasn't paying much attention to the trading systems settings when I ran these sims. I also wasn't trying to optimize the sims to gain better returns. I only wanted to test the Aroon and Williams %R formulas to see whether and when they would trigger entry/exit signals. I then randomly chose a few of the realized trades and looked at their charts for validation. I'll do more testing as I can make time. For example, I really need to test Aroon and Williams %R in combination for both buy and sell rules, which I didn't test in the first set of sims. In their current state, these sims offer potential, not perfection. Please reference the files below to see how I built the formulas. It may be a starting point for your further experimentation. CapnPaul has also offered an alternative to my Aroon formulas. You may want to experiment with his versions which follow: Aroon(Up) Eval(HighestBar(#High,25,0)<13,1,0) Aroon(Down) Eval(LowestBar(#Low,25,0)>12,1,0) ----------------------------------------
Aroon(Up) Aroon(Down) Formulas.xls
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Williams %R Formulas.xls
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z8735
Advanced Member
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Paul, Very impression implementation, stretching out the boundaries beyond what I though possible, thanks for sharing it. I tried implementing other technical indicators but always run into obstacles, perhaps you'll have an idea how to overcome them. Have you tried looking into Bollinger Bands and Bollinger Squeeze? Specifically, the Bollinger Band on a given day can be calculated using the PctDev function: upperBand=SMA(N)+Z*PctDev(N,1); and lowerBand=SMA(N)-Z*PctDev(N,1). But for the Squeeze you need to compare the Band to the Avg Band size from the past N days, which seem to require a PctDev calculation for each of these past N days. Yet we don’t have PctDev function with a backwards offset. Any ideas how to overcome that? Cheers, Z. ---------------------------------------- [Edit 1 times, last edit by ZviEintracht at Oct 22, 2006 9:53:14 PM] |
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jeffteza
Member
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Great stuff. I have perhaps a simpler question: can anyone think of how to test the slope of a moving average i.e. if sma(20) is sloping up or down over the last N bars? I'm not interested in a crossover per-se but maybe there is a way to infer it? |
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z8735
Advanced Member
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jeffteza: you can calculate SMA(20) of yesterday, lets call it ySMA(20), and subtract the current value from it, then divide by the SMA for the slope: slope = (SMA(20) - ySMA(20))/SMA(20) where: ySMA(20) = (21*SMA(21) - Close(0))/20 Z. |
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