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Dump it Here

Discussion in 'Beginner's Lounge' started by Skate, Dec 17, 2018.

  1. Skate

    Skate

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    The "Dump it here" at its very best, @ducati916 expressed an alternative view & respectfully didn't challenge the point I was expressing - "Diversification" & "Correlation" of strategies. In my previous post I qualified that "Diversification comes in many forms" then I went on to say "but I'm going to concentrate on Diversification of strategies"



    Diversification of strategies

    The strategies I discussed are "buy high & sell higher" & I posted many times "all trading profits comes from trading a trend".

    Mean Reversion Strategy
    Trading a Mean Reversion strategy on the All Ordinaries, equates to a high win rate, with high commission rates & small profits on each win = "Not Worth The Effort" (Been there done that)

    Entry Criteria (drives the strategy)
    Buying Pull Backs as opposed to buying Breakouts I regard as two different strategies. Diversification (there's that word again) of the entry can lessen the risk whilst riding a position at different stages of the trend, whether it's at the start of a trend, a pullback within a trend or a trend continuation, is what I was referring too in my previous post & as a footnote I then went on to tie "Correlation" & "Diversification" together.

    In my next post
    I'll post up some charts to explain why a variety of strategies are a welcome additions to my (Tool Box)

    Skate.
     
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  2. Newt

    Newt

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    This worries me too Skate with the long strategies you've described. Putting myself in your shoes, with a larger capital base to trade, then see pros and cons as:

    Pros:
    * Trading many strategies allows smaller positions, with entries and exits diversified across many more stocks (versus smaller number of very large positions if trading less strategies)
    * If done well, potential for equity curve smoothing, taking many different "bites from the cherry" - demonstrated here previously with the same stock being entered/exited at different time points
    * Less chance of missing a promising trending stock

    Cons:
    * Rapid market downturns will result in large rapid drawdowns. Clenow has written on this aspect of stock trading - high correlation
    * Labour - likely to be taking many positions, keeping many more records (perhaps less concerning if retired and trading weekly)


    Suspect I'll think of others moment I hit post.....
     
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  3. Skate

    Skate

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    I'm unsure how the thread "where-are-you-parking-your-cash" migrated off course - BUT - as I'm a current holder of BFG I'll use that position to clarify the "Correlation" & "Diversification" of my strategies.

    @Newt as traders we are all different, the very reason we have a market. I also acknowledge where your post is coming from & they are all valid points you have highlighted.

    Where-are-you-parking-your-cash
    It won't be surprise for those who read this thread that I "park-my-cash" in the markets. Why? - Because the markets are firing on all cylinders (At The Moment) with the Dow Jones Industrial Average exceeding 29,000 points & the All ordinaries/ASX 200 breaching 7,000 points, something not lost on me.

    At the moment (ATM)
    I'm optimistic for 2020 & I'm comfortable with the direction of the markets (ATM) - meaning I want to "make hay while the sun shines" taking advantage of the prevailing conditions. For those who hold an alternative view, don't worry I'll make the necessary correction as conditions unfold. I made a comment in @peter2 thread along the lines of "if you haven't made bucket loads since 1st January this year - it's time to re-evaluate your trading plan".

    I'm currently trading 4 strategies
    Really it's 3 strategies with a modified version of the CAM Strategy making the 4th Strategy - (the CAM SAM Strategy)

    Disclaimer: I hold BFG

    Charts
    The charts are self explanatory displaying the "Correlation" & "Diversification" of my strategies. Each strategy name is in the title bar.

    PANDA chart comparison Capture.JPG

    Two Strategies in one chart
    I have combined both strategies (CAM & CAM SAM) into the one chart for easier reading of the entry points.

    CAM SAM chart comparison Capture.JPG



    HYBRID chart comparison Capture.JPG



    For @Warr87 - The MAP strategy signal

    MAP chart comparison Capture.JPG

    Clarification of a previous post (Update)
    If any were confused with a previous post I made about "Correlation" & "Diversification" of strategies I trust this extra information alleviates those concerns.

    Skate.
     
  4. Warr87

    Warr87

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    That point from Clenow has stuck with me. I always remember it whenever I think of diversification. His response to this is more of a mixture of futures and equities and goes over the ideal mixture to maximize returns. I believe it was 40% futures, 60% equities. But his point about large downturns resulting in a correlation I don't take as a reason not to have a variety of long only equity systems. Drawdowns do happen and its why we have market filters. It avoids the massive drawdowns and preserves capital for when the market rebounds (2009 was an amazing year if you were trading equities). From what I remember (I can't remember who made the point) but commodity futures were booming in 2008 as well. Clenow is upfront with his dislike for equities. And his point for high correlation in down markets is definitely something to remember!
     
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  5. Skate

    Skate

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    The REFLEX indicator
    Hey @Newt I have a keen interest in reducing the lag of indicators finding they are beneficial to any strategy. The Amibroker forum has now a code of John Elders new REFLEX indicator found here: https://forum.amibroker.com/t/ehlers-reflex-a-new-zero-lag-indicator/16773/7 from a highly respected member & was wondering if you could code the indicator. Why? The Amibroker code on the forum (IMHO) is not 100% true to John Elders supplied EasyLanguage code.

    The original indicator picks up the signal too late
    John Ehlers new (REFLEX indicator) using the original code parameters are very slow to catch the signals, causing the greatest concern of lower performance. The parameter setting (the original) may have been optimized for the S&P500 but I've found the performance using those setting across the ASX (the All Ordinaries in particular) to be a poor selection.

    This is important & it's lost on most
    The amount of lag determines the "timing of the signals" this in turn changes the responsiveness that's best suited for trend-following systems, systems I use.

    Let me post a few backtest reports
    The Amibroker backtest report are laid side to side for comparison & it's obvious what I'm talking about comparing each report.

    Report (a) Original verses optimized for trading on the ASX
    This first backtest report the (report on the left hand site) displays the ORIGINAL code lifted from the Amiboker forum website - whereas the (report on the right hand site) has been optimized for our markets - thus the improvement

    REFLEX Forum Original v Forum parameter adjustments Capture.JPG



    Report (b) Skate's REFLEX code verses the Original optimized REFLEX code from the Amibroker forum
    This second backtest report the (report on the left hand site) displays my interpretation of the ORIGINAL code (That I've optimized) - whereas the (report on the right hand site) is the lifted code from the Amibroker forum website that I optimized for our markets.

    REFLEX Forum v Skate's Weekly Capture.JPG

    My question to anyone
    I was wondering if any forum member has coded John Elders new REFLEX indicator & before anyone points out to me that I said "the REFLEX strategy doesn't deserve another breath" - well I agree it doesn't in its current form - but - the curiosity is killing me thinking there may be improvements in this indicator that I'm missing.

    Skate.
     
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  6. ducati916

    ducati916

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    Entry Criteria (drives the strategy)

    1. Buying Pull Backs as opposed to buying Breakouts I regard as two different strategies.

    2. Diversification of the entry can lessen the risk whilst riding a position at different stages of the trend,

    3. whether it's at the (i) start of a trend, (ii) a pullback within a trend or a (iii) trend continuation,

    1. Fine, this is really only semantics. I would classify it as a tactic within a strategy. I would have accepted it as such, except that your follow on statements [2] and [3] cannot logically follow that position.

    2 & 3. Now these are interesting statements.

    So in [3], (i) is very difficult to identify ex ante. (ii) will be also, is it a pullback, or is it the end? (iii) is probably the most robust as far a recognition goes, but again, there is no guarantee that it will continue.

    An entry at (i) can only be an entry into an existing downtrend or into an existing sideways trend. Both can give rise to a new uptrend. So entries into these two types of trends have what probability?

    Entries into (ii) and (iii) both suffer from the same issue: robust identification of the stage of the trend which will only be known ex post.

    If the above is true: how then is risk lessened? They all suffer from the same flaw, which is an inability to predict the future going forward and the reliance on one single variable (price) moving in a linear fashion: therefore, is there truly 'diversification' of strategy and more importantly, is there any true reduction in assumed risk? I would argue that there is not because, the strategy is the same. There is no actual diversification of strategy, hence no reduction of risk. Each new entry is an assumption of risk, un-diversified by strategy and therefore increasing total risk.

    A true diversification in strategy would require a strategy that did not depend on higher prices (linear strategy) to profit. That this strategy was totally independent of 'prices' (non-linear). One such strategy is long volatility (dispersion of price). A second could be a move in price after an earnings announcement.

    True diversification of strategies is dividing your trading capital into however many pots (of whatever size) and allocating them to different strategies.

    If conditions change significantly, some will be hurt, some will benefit, that is the purpose of diversification. Of course it is not widely practiced even by those who could or should. All of us should, but small accounts will find it harder to do so in practice.

    A hypothetical to illustrate my point.

    Every stock you hold is involved in a trading halt intra-day. Every stock, when the market re-opens, re-opens 50% lower.

    Has your entry reduced your risk?
    Has your strategy provided loss prevention through diversification?

    The answer is no.

    With true diversification the answer would be yes.

    jog on
    duc
     
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  7. qldfrog

    qldfrog

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    @Skate , your backtest results were for calendar year 2019?.Just for clarity of comparison if i have time to play with reflex
     
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  8. Skate

    Skate

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    @qldfrog the backtest period was from 1st January 2019 till today.

    Thank you, I’d be interested in the comparison (if time permits)

    Skate.
     
  9. Skate

    Skate

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    Lets talk about time
    Our most precious gift, & sharing your time with others is never completely appreciated as it never hits their radar.

    Lets talk about the time it takes for me to trade
    I trade 4 strategies & have many multiple entries each week (I have posted a picture of the paperwork a few posts back - paper work of a 6 month period).

    What's involved
    AmiBroker scans for signals at a push of the button, (this takes no time at all) What consumes my time each week? The 10 minutes is consumed by entering the buy & sell positions into ComSec & Share Trade Tracker. That's it "all over red rover"

    Lets talk about mechanical trading strategies
    One of the bonuses of trading a mechanical strategy is the time (the lack thereof) it takes to scan for signal that completes in a blink of the eye - hats off to AmiBroker. Upon completion I buy outstanding positions to be filled from the top down of the list, couldn't be easier. PositionScore (the buy order ranking) handles the buy order sequence.

    Parameter settings
    I get a limited amount of signals each scan as they have to passed parameter filtering.

    Hmmm...

    I'll post signals from todays scan so you can visualise what I've been discussing. The name of the strategy is listed in the formula bar.

    PANDA SIGNALS Capture.PNG

    CAM Original SIGNALS Capture.PNG

    CAM SIGNALS Capture.PNG


    HYBID SIGNALS Capture.PNG

    Why make this post (for comparing trading styles)
    Mainly for three reasons (1) it's a blatant plug for trading a mechanical strategy & (2) Mechanical strategies do reduce workloads, hands down. (3) Also mechanical strategies can be backtested to give you some idea how they performed on historical data, adding to the confidence in taking the signals. (the future has a habit of repeating the past)

    Reminder
    A mechanical trading strategy is different beast to a trading plan as I described to @qldfrog a few post back.

    Skate.
     
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  10. Skate

    Skate

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    Lets talk about the ZiGZag Indicator
    There has been discussions about how to use a ZigZag indicator correctly. @captain black often spoke of the ZigZag function for use in the development of his systems & went to great lengths to explain the ZigZag function should never used in a trading strategy because the signals keep repainting when more data is received. (Football analogy - the goal posts keep shifting with additional data)

    How to use the ZigZag Indicator
    The ZigZag indicator can be used to reveal the profit potential for different stocks & in different time frames though. Using the ZigZag function gives you a sense of where the profits are & what happens when you reduce trade duration.

    Important drawback of the ZigZag indicator
    The ZigZag function looks into the future & of course, should never be used for trading with real money. It's okay to use the ZigZag function in your strategy development phase - use it as a guide to how accurate your signal are in relationship to the pivot points.

    Here is a novel idea
    What if we "splice & dice" the ZigZag indication & simply cut off the bits we don't need (the Zag) leaving us with only the Zig function to do the heavy lifting. The Zig Strategy hasn't made it to the paper trading phase yet but I do use it as a guide to monitor the accuracy of my strategy signals.

    Pivots repaint
    I don't use pivots for anything other than an indicator, all the Zig function indicates is that the price direction has changed. Waiting for a confirm trend after the pivot is the entry point. If you look at the Zig Strategy chart you can see the Zig pivots are not used as the entry (remembering they shift with additional data) but they do indicate a change in price direction.

    I'll use BFG as the "Example Chart" (as I've used BFG a few posts back)
    Lets see if the PANDA Strategy signals are in the ball park when checked against the Zig indicator (the orange line in the Zig Strategy chart). I have turned the Zig Indicator into a trading strategy with a twist. The initial pivot of the Zig indicator (the orange line) is used as a price directional indicator but a position will only be entered on a confirmed trend of the Zig. Also the Zig indicator plays no part in the exit (the exit is too important to leave up to the Zig indicator) the exit is in the safe hands of (a) A Stale stop or (b) A Trailing Stop.

    The Zig Capture.PNG



    Here's the rub
    I don't need the Zig indicator to give me an entry signal (the orange line can shift shape with additional data) my entry is conditional on on the Zig indicator but the entry is taken on a confirmed up-trend. The Zig strategy - displays the Zig indicator as an "orange" line. The Zig Strategy is a weekly system, meaning the only valid generated signals are the ones generated after Fridays close. (The signal MTO has been generated today as an example)

    Zig MTO Capture.PNG

    Indicators can be used differently than intended
    @qldfrog I hope my post gives you an alternative view of indicators & how they can be used.

    Skate.
     
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  11. Skate

    Skate

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    I've been thinking
    After reading @qldfrog posts about the ZigZag indicator (used in the 20% Flipper Strategy) has caused me to pull out my old ZIG Strategy & dust it off. I was always going to paper trade this unique idea (when I had time). The ZIG function is purely to indicate a price pivot & enters once the trend is confirmed.

    A new Calendar year
    As the new year has just kicked off it might be the ideal time to give the ZIG strategy a whirl & post weekly updates each week. Why? Something to do, it will keep the thread active & relevant, also paper trading the ZIG Strategy will confirm if this strategy is tradable with "out of sample" data (OOS Data) .

    @rnr the strategy I will be paper trading uses the ZIG function of the ZIGZAG indicator - so yes I believe it's a strategy that would be worth trading in its modified form

    Open positions
    Since the 1st January 2020 there has been 9 positions taken so far & 11 to be filled.

    Reporting
    All reports will be from Share Trade Tracker. (samples report format is below)

    The ZIG Weekly Strategy
    Start Date: 1st January 2020
    Portfolio Capital: $300,000
    Positions in the Portfolio: 20
    Position Sizing: $15,000 initial positions, re-balanced weekly

    Weekly Updates
    The weekly updates will be posted in the format below - we are currently in the middle of week two.

    The ZIG Strategy Dashboard Capture.PNG




    Clarification
    The ZIG is a weekly strategy & the reporting date (24th January 2020) is for the end of the week tally (end of trade Friday) - I've entered this weeks trading into the mix (the figure in last Total Results yellow column is as at the end of trade today Tuesday 21st January 2020) & the strategy will be updated after Friday's close.

    Weekly Update Capture.PNG




    Another graphic
    The two charts above should be enough for my weekly updates but for accountability I'll post the current open position.

    Open Positions Capture.PNG


    Minor Hiccup
    I'm eager to start paper trading the ZIG strategy & I didn't want a small hiccup to curb my enthusiasm as my interest has already been sparked. What's the hiccup? I'll be able to post an update at the end of the this week but the next two weeks thereafter I may struggle being out of the country relying on satellite communications.

    Skate.
     
    Last edited: Jan 21, 2020
  12. qldfrog

    qldfrog

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  13. Skate

    Skate

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    @rnr - Thanks for taking the time to bullet point the clarifications, they are now crystal clear.
    @qldfrog if you want to make a comment on the ZigZag function (or any other matter) fire away, a variety of views & ideas always stimulate - adding to a discussion. It's worth remembering that the 'Dump it here' thread is about ideas - not a contest of ideas.

    As I'm posting about the Zig Strategy, (a section of the ZigZag function) I've decided to corral my comments in the 'Dump it here' thread.

    Skate.
     
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  14. Skate

    Skate

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    Lets talk about another indicator for the toolbox
    I would like to qualify recently comments I've made about not trading a strategy that uses the ZigZag function because ZigZag always repaints. In fact, I was alerting others to the fact that the ZigZag recalculates as more data is received.

    The ZigZag function can be misleading
    The ZigZag function is one on those indicators that can be misleading because it accurately pinpoints the "Tops and Bottoms" of a stationary price range. Traders have a habit of falling in love with indicators & the ZigZag indicator is no exception. (we all tend to fall in love with our favourite indicator). Often the technical guys will search for an indicator that will give them an edge & when traders stumble across the ZigZag indicator they believe they have just found it, as it backtests very well. (most times too well).

    Reality is a bit different
    Reality than bites because the ZigZag indicator "repaints" with the arrival of additional data. In other words, the indicator changes the most recent “Top or Bottom” in order to reflect the new price data, the previous signals are now long gone as the market moves on.

    Is the ZigZag indicator worthless?
    No, the ZigZag indicator isn’t worthless, far from it. The ZigZag indicator can be used quite effectively for analysing past data & creating very good setups for many strategies - just not in the way most believe. There are many ways that this indicator can be used effectively & I’m sharing one of my ideas about how to effectively use half of the indicator to formulate my ZIG strategy.

    The Zig Strategy
    Paper trading the ZIG strategy with ongoing weekly updates will be the acid test of its real worthiness. Trading the Zig Strategy on out of sample data (OOS) going forwards will be the decider if my idea develops into a trading strategy - only time will tell.

    Recap
    The orange “Line” on the chart displayed in my previous post shows the “Highest High” and “Lowest Low” for the period, one of parameters of the original indicator. The Zig line on the chart of ASX:BFG (above) displays where the signal bar is in relation to the “Lowest low”. The signal bar only is generated on a confirm trend. Before others point out the obvious - the ZIG Strategy is another trend trading strategy.
    @rnr as you have a solid grounding in this function would you care to make additional comments - I for one would be very interested.

    @qldfrog any piece of relevant information regarding your research & implementation of the ZigZag function would be welcomed with open arms.

    Skate.
     
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  15. Skate

    Skate

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    Lets talk about what's involved to be a systemic trader
    On reflection @Lone Wolf explains what it takes to be a systemic trader much better than I ever could. The post was made back in 2013 but it's still 100% relevant today. I just love when members nail a post succinctly.

    It's worthy of a read
    @Lone Wolf post can be found here: https://www.aussiestockforums.com/posts/761345/

    Summary of what's needed
    - Data feed – (Norgate Data)
    - System code – thoroughly tested (home grown or purchased)
    - Confidence - to actually trade the system (not "if" but "when" the going gets tough)
    - A Broker - to place trades with (CommSec)
    - Trading capital - The size of your starting capital can have a big impact on the profitability of the system.

    With the passing of time I'm adding this to the list
    - Software to track your trades – (Share Trade Tracker)

    Skate.
     
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  16. rnr

    rnr

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    @Skate

    As you are aware in Amibroker the Syntax for the Zig-zag indicator is Zig(ARRAY,change).
    The "change", I believe, is referenced as a % which isn't a problem.
    That leaves us with ARRAY and the standard options of Open, High, Low and Close but lets scrap those as they are single use only.
    ARRAY is where we have the opportunity to get adventurous....e.g. consider a series of rules using IIF statements to determine on a bar by bar basis whether to use the HIGH or LOW value.
    Yes, it can be a bit frustrating although very rewarding when you get it right.

    Cheers,
    Rob
     
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  17. Skate

    Skate

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    @rnr I'm listening...

    Zig(ARRAY,change)
    The (ARRAY) I reference is one of the "price fields" parameters (O,H,L,C, Avg, Vol, OpenInt) - I've settled on the "Close"
    Now the (change) - I've settled on is 20%.

    Meaning
    For those who are following the Zig Code = Zig(Pricefield, change)
    Price field = close
    change = 20%
    Okay, I use an IIF statement as a buy condition but never thought about circulation through a list (O,H,L,C, Avg, Vol, OpenInt) as an option. If I may ask what determines the selection of one over the other?

    Why did I settle on 20% rather than 10% (backtest - 1 year)
    Backtesting revels with my other parameter 20% trumps 10% (20% suits my code & parameters as the signal has be in a confirmed up-trend - Rob you code & parameters most like suits 10% or a personal choice, who knows)

    20% v 10% Capture JOINED.jpg


    @rnr any chance of pointing me to a webpage to have a read, the concept sounds interesting.
    The above quote is from 2014 post - care to elaborate
    Another one of your interesting quotes - would you care to explain what condition locks the Peak & the Trough?
    [QUOTE="rnr, post: 851901, member: 9696"]You will need to use a ZigZag based indicator that works from High to Low and link this with a binary indicator which signals when a 20% low has been "locked in".[/QUOTE]
    Also
    Would you care to elaborate on what the binary indicator is?

    Skate.
     
    Last edited: Jan 22, 2020
  18. Skate

    Skate

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    What a difference a day makes
    Another great day for our markets. If you listen to the doomsayers, you know the guys who predicts disaster with each dip of the markets - "we are just one day closer to a crash". I say let's worry about this when the time comes.

    Pokie players
    Not related to trading but it's worth remembering never-the-less. "People only tell you when they win on the Pokies" & some may think this post has a resemblance.

    Let me selectively from one of @aus_trader quotes (it's been sliced & diced)
    Yep, I like the quote..

    Lets talk about the ZIG Strategy
    Yesterdays (Tuesday) rolling results reflected in the equity curve & total column

    Weekly Update Capture.PNG



    Lets talk about what a difference a day makes
    Today (Wednesday) rolling results reflected in the equity curve & total column

    Wednesday Weekly Update Capture.PNG


    Keep in mind the results are a snapshot in time
    Todays results will bear no reflection to the EOW results - it's a snapshot in time (at the end of trade today) - but it is pleasing to see the strategy starting off on the right foots but "one swallow does not make a summer" - the end of week results will be updated on Friday after the markets close.

    Skate.
     
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  19. rnr

    rnr

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    Also
    Would you care to elaborate on what the binary indicator is?

    Skate.[/QUOTE]

    @Skate
    quote "Okay, I use an IIF statement as a buy condition but never thought about circulation through a list (O,H,L,C, Avg, Vol, OpenInt) as an option. If I may ask what determines the selection of one over the other?"
    So I am totally not interested in a ZZ indicator based on the standard options such as High to High, Low to Low, Close to Close...and I think you are getting the idea now! Correct I want High to Low which is not in the standard options list so it's up to me define a HIGH & LOW going forward.
    The code you use to determine a HIGH or LOW will govern the output of the indicator. For example when a bar is higher than the high of the previous bar and lower than the low of the previous bar is that a new HIGH or a new LOW? I think you are starting to get the idea now and you are setting the rules.

    FYI my code & parameters had zip to do with my choice to use 10% for the Flipper display purposes...it was just different than 20%, nothing more, nothing less.

    A binary indicator returns a 1 for correct and 0 for false. An example being H>=Ref(H,-1) where the result is either 1 or 0.

    Hopefully I have covered all your questions/requests.

    Cheers,
    Rob
     
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  20. Skate

    Skate

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    Brains
    I'll have to reword my post about brains being overrated after listening to Mark trying to win a Harley Davidson.

    Brains (Update)
    You do need a certain level of grey matter to play this game.

    Listen to the youtube
    It will be the funniest 3 minutes you will every hear & I can guarantee - you will never forget Mark from Greenacre - I like pulling for the underdogs but in this case I'm hoping Mark didn't win the Harley.

    Background
    About ten years ago, a radio station in Sydney (Triple M) had a contest in which callers could qualify to win a Harley-Davidson motorcycle. Nice prize. So caller ten rings in, his name is Mark, and he’s from Greenacre, a few miles southwest of Sydney & for being caller #10, Mark can qualify to win the motorcycle. All he has to do … is spell the band’s name.

    Yep. He just has to spell AC/DC.

    Can Mark do it?



    Skate.
     
    Newt and investtrader like this.
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