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- 23 Eki 2020
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| TEST OF INDICATORS BASED ON OTHER INDICATORS Now, you can create an Exploration with INDICATOR4 as one of the columnsand quickly see the equity performance across your portfolio of stocks. Then, you can change "Length:=17;" to 18 or 20 in INDICATOR1, and run the exploration again to get the results for that value. You can repeat thisfor as many values as you like. (I copy the exploration results into Excelto do my summary statistics). The first indicator is |
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| _Triple MA ShortTime := 25; MediumTime := 75; LongTime := 200; ShortMA := Mov(CLOSE, ShortTime, S); MediumMA := Mov(CLOSE, MediumTime, S); LongMA := Mov(CLOSE, LongTime, S); ShortMA; MediumMA; LongMA; |
| Next is : |
_Triple MA Crossovers Sma := FmlVar("_Triple MA","ShortMA"); Mma := FmlVar("_Triple MA","MediumMA"); Lma := FmlVar("_Triple MA","LongMA"); LongSignal := Cross(Sma, Mma) AND Lma > Mma; ShortSignal := Cross(Mma, Sma) AND Lma < Mma; |
| Then comes : |
_Triple MA Positions BuyLong := FmlVar("_Triple MA Crossovers", "LongSignal"); SellShort := FmlVar("_Triple MA Crossovers", "ShortSignal"); If( BarsSince(Ref(BuyLong,-1)) <= BarsSince(Ref(SellShort,-1)), +1, If( BarsSince(Ref(SellShort,-1)) <= BarsSince(Ref(BuyLong,-1)), -1,0) ); |
| And lastly, |
_Triple MA Equity Cum( Cum( If( FmlVar("_Triple MA Crossovers","LongSignal")= 1, OPEN-Ref(OPEN,-1), If(FmlVar("_Triple MA Crossovers","ShortSignal")=-1, -1 * OPEN-Ref(OPEN,-1),0 ) ) ) ) |
| I've plotted the _Triple MA and set the 3 colours and saved that as a template. Plotting the Positions indicator produces a horizontal line at 1 when I'm long, -1 when short and zero when out. That's as I think it should be. The Equity indicator, when applied to the price bars, produces a stepping pattern that's horizontal until it steps vertically up or down to another location, then horizontal again. This doesn't seem right to me. The Exploration: | |
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| _Triple MA I Exploration ColA: FmlVar("_Triple MA","ShortMA") ColB: FmlVar("_Triple MA","MediumMA") ColC: FmlVar("_Triple MA","LongMA") ColD: ((HHV(C,250)-LLV(C,250))/LLV(C,250))*100 ColE: Fml("_Triple MA Equity") Filter: colD > 100 AND colD < 300 AND CLOSE > 5.00 | |
Running this Exploration on the TSE produces a report where ColE ranges from -1331.80 to 17.95. Does this mean that, using this Triple MA indicator, and buying/selling when the crossovers hit, the best stock earned $17.95 over the history (5 years) and the worst stock lost $1,331.80? from Bill Irwin | |
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