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Jim Dean

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Posts: 3022

Joined: 9/21/2006
Location: L'ville, GA

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/12/2010 9:10 AM
Post #21088 - In reply to #21086

A page or two ago, we investigated a "Confirm" block alternative that we discovered had a good match to the DoubleDualEMA system. We did not spend much time on it.

Reminder: the Confirm strategy put ONE Of the MV2-C systems in the System Block, and added a Confirm block after the Vote block. The Vote and Orders block were unchanged. The ConB had Confirmation Tolerance settings of 5 bars "before signal" and 0 bars "after signal", with Any number of signals acceptable.

We never discussed why it was 5/0 vs 0/5 vs 5/5 vs 0/0 or something else. The Help manual seems a bit ambiguous here:
Confirmation Tolerance—Specifies the number of bars that OmniTrader will look back in order to accept a signal to be used for confirmation purposes. This refers to the signals generated by the Confirmation block as well as any signals passed to the block from a Secondary Signal Line (see Primary and Secondary Signal Lines).

The question is, when the input form says "Before|After Signal", is it referring to the CONFIRMATION-system signal (before or after it), or to the VOTED signal that "feeds" the ConfB? An experiment will answer that question.

Create three strats - identical except for these two CB inputs. One has 5/5 input, another has 5/0 input, and the third has 0/5 input. None has Reversal ... all use N=20, like the original strat did.

Now, find a case where the 5-0 and the 0-5 versions give DIFFERENT results ... the 5-5 should agree with one and not the other ... and our original DoubleDualEMA strat should (ideally) agree with one of them as well.

CAREFULLY examine the votelines of the four cases, and see if you can figure out whether the "Signal" that the Before/After is refering to is the VOTED signal, or the Confirm-Block signal.

Hint#1: not a trick - you can know for sure
Hint#2: check out XOM on 3/18/10 (too easy, drill sergeant!)
Hint#3: check out IBM on 5/21/10 (for the flip side of the coin)
Hint#4: check out KO on 3/26/10 (for a "two-fer")

To make sure we're on the same sheet of music, here are the four strategies that I'm speaking of ...

[Edited by Jim Dean on 7/12/2010 9:49 AM]

Attached file : aJDgyDoubleDualEMA.ots (744KB - 509 downloads)
Attached file : aJDgyDualEMAconf-0-5.ots (772KB - 502 downloads)
Attached file : aJDgyDualEMAconf-5-0.ots (772KB - 492 downloads)
Attached file : aJDgyDualEMAconf-5-5.ots (772KB - 525 downloads)

Deleting message 21088 : RE: Two "Exponential" Moving Average Crossover


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