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Two "Exponential" Moving Average Crossover

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Subject : Two "Exponential" Moving Average Crossover
Posted : 7/6/2010 4:47 PM
Post #20962

I see that OT has "Two Moving Average Crossover" system. Is it possible to create the "Exponential" version of this system?

Part 2:

I want to create a voting Strategy based on just one or two "Two Exponential Moving Average Crossover" (TEMAC)

In this strategy, if the short term TEMAC is bullish, I would like to have a buy signal... if both short and long term TEMAC is bullish, I want a stronger buy signal.

I would also like to have sell and strong sell signal too.


Could you tell me if this is possible in one or both parts? I really could use your assistance in creating this System and Strategy.

Thanks,
Stan

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/6/2010 5:26 PM
Post #20963 - In reply to #20962

Hi, Stan:

It's easy to do what you are speaking of, and a million other variants, limited pretty much only by your imagination ... but you need to own OT Pro to accomplish it.

Basic OT provides OmniScript-based Filtering, and OmniScript-based Color Charts, and OmniScript-based EZ MTC Setups, and OmniScript-based conditional Trade Plan rules, but you need OT Pro to define custom Systems or robust Stops or complex Indicators, using OmniLanguage.

Upgrading to Pro might be a "pricey" step, but it's the best money you can spend on an upgrade, IMHO.

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bradkent

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/6/2010 7:56 PM
Post #20964 - In reply to #20962

The Help file says that the MV2-C Moving Average Crossover System is derived from two exponential moving averages. So, that part is already done.

As Jim said, OTPro would enable you to do Part 2. It's a great investment if you are looking to really customize.

- Brad


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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/6/2010 8:01 PM
Post #20965 - In reply to #20962

Oh! I didn't realize that... fantastic.

Now as far as buying OT Pro... that's a little out of my budget range. I am trying to keep my money... not spend it.

Any other idea for Part 2? I'd really appreciate any thoughts you may have.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/6/2010 9:06 PM
Post #20966 - In reply to #20965

Sorry I had not realized the canned system was exponential. I usually write my own from scratch.

You can create a strategy that requires two different variants of the same system to fire within a given number of bars of one another.

This is a bit difficult to describe in a post ... especially since I'm not sure how familiar you are with creating Strategies.

So, I'll assume that you have read and understood the relevant portions of the Help manual and in the Systems and Indicators manual ...

1. create a new strategy: Ctrl+S > New > select Default as basis > give it a distinctive name like "aStanDoubleDualEMAcross".

2. delete the filter block (unless you want to use it ... you should see a Systems block, a Vote block, and an Orders block

3. drag in a SECOND systems block so that it is below the first one ... it will automatically connect to the Vote block.

4. uncheck all systems in the first column in both blocks (if working from the default)... fast way is to click on the first in the list to highlight it, then scroll to bottom and shift-click on last, to hilite all of them, then click on Enable at the bottom left until the checkbox is empty... also while hilited, click the optimize to uncheck those boxes. all systems now should be unchecked. REPEAT for BOTH systems blocks

5. in the first system block, check the Enable column for the MV2-C system and set the Default values for the slow and fast MA's in the top right. Uncheck optimize unless you want it from the getgo. Uncheck Use reversing signals. Select Both for signals to generate.

6. repeat #5 for the other systems block, with your other pair of moving averages in the Default cells.

7. now you have to tell OT to require both of these systems to have fired within some reasonable number of bars (days) of one another. open up the Vote block and tell it a reasonable number of days for that overlap, like maybe 5 (depends on what you chose for ema periods).

8. in vote block select All inputs must fire, and change cutoff to Fixed with a threshold of zero (shows everything this way).

9. change Orders block Entries to Market on Close, and Exits to Market on Close, with desired stops ... Fixed Loss and Fixed Profit are reasonable starting points. Leave optimization unchecked.

10. save it, and use ToDo to run it on a simple list like the DJ30 or SP100 ... double click on the Sig column to see things that fired.

****

that is a VERY fast tutorial ... there are MANY other ways to do something similar, including using a filter block or confirming block for the second dual-MA rule, or using EZ Setups for either or both rules.

All can be done without Pro. Sorry for leading you down the wrong path unnecessarily.

Note that you'd also be wise to actually PLOT the EMA's that you are using, so you can check if the signals are doing what you want.

*****

The most important thing as you are learning this stuff is to START SIMPLE, study the simple thing to death without complicating it ... don't add filters or other blocks ... just play with the param's and look at lots of charts till you UNDERSTAND it.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/6/2010 9:21 PM
Post #20967 - In reply to #20966

Here are some pictures to illustrate the prior post, and the result:




Attached file : aStanDoubleDualEMAcross.png (254KB - 1413 downloads)
Attached file : aStanDoubleDualEMAcross - result.png (28KB - 1238 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/7/2010 3:31 PM
Post #20976 - In reply to #20962

That's a great start... I am a beginner when it comes to OT programming, but I am very tech savvy.

I did everything you said but the entry and exit is not consistent. Let's forget about the second TMAC.

Just one system and set it 5 days and 20 days. The vote line does not match what is on the chart at the buy and sell point.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/7/2010 3:37 PM
Post #20977 - In reply to #20976

Please be more specific - not sure what you mean by "consistent". The systems and exits are doing what they have been told to do.

I made zero attempt to tweak this into a viable strategy - my goal was to show you the mechanics.

Please attach some snapshots, ideally with annotations, if you have further questions.


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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/7/2010 3:50 PM
Post #20978 - In reply to #20962

My apology for not being clear. I am still fiddling with the strategy to get it to follow the TMAC system. I attached the picture of the Vote line... I can't get it to 'short' when TMAC said short.

In the order box, there is no stop. Enter for both type of trades.

Your help is very much appreciated.
Attached file : Stan520TMAC.png (10KB - 365 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/7/2010 4:02 PM
Post #20979 - In reply to #20978

It's hard to tell a lot from the vote line.

Could you please take snapshots similar to the ones I posted, showing the strategy as a flowchart, and each box opened up to display its settings?

Also, if you could attach a snap of the focus list and chart WITH the voteline, with Chart Properties > Trades having ALL boxes checked EXCEPT "Show All Reinforced Signals" that would be helpful.

It's clear from the voteline that you have a Confirm block in your strategy ... and that's not part of what I had set up.

It would be helpful if you'd simply DUPLICATE what I posted ... and see if you get the same results for the same symbol.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/7/2010 4:08 PM
Post #20980 - In reply to #20962

Will do... how do you make them appear on the forum? My attachment only shows as attachment.

I just deleted the Confirm box. Makes no difference. IF somehow I can attach the strategy... would be easy for all.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/7/2010 4:29 PM
Post #20981 - In reply to #20980

Attachments are fine.

I did it for you ... all I'm asking is that you repeat what I did. I can download the attachments.

The process of including them in the post has some tricks to it, and has been explained umpty-ump times and I don't have the time to do that right now. I'd prefer to use my time actually helping you with your original problem.

Please, first duplicate the work I posted. If the results do not match, we will figure out why. Once we're on the same sheet of music, we can start talking about other stuff.

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/7/2010 4:49 PM
Post #20982 - In reply to #20962

Here are the screenshots
Attached file : Main.png (193KB - 353 downloads)
Attached file : VoteSystem.PNG (208KB - 352 downloads)
Attached file : Order.PNG (194KB - 300 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/7/2010 4:58 PM
Post #20983 - In reply to #20982

Please add the second systems block and set it up as I did.
Please set up the orders block as I did (two exit methods checked - you have none).
Please plot the four exponential MA's as I did.

Then plot the same symbol on the chart as I did.

The idea is to make the two identi, and work from there.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/7/2010 5:27 PM
Post #20984 - In reply to #20962

Done.
Attached file : Main.PNG (185KB - 286 downloads)
Attached file : 2Systems.PNG (227KB - 293 downloads)
Attached file : Stop.PNG (214KB - 302 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/7/2010 5:51 PM
Post #20985 - In reply to #20984

Thanks. Now we're cookin'

I have to take off now but will jump back in later this eve.

If you'd like to try out a few things:

1. Change to a single Nbar exit, about 5 days long, and that will simplify the examples.

2. Try varying the overlap-bars input in the vote Block - see how that affects things.

3. Try changing one of the two systems to have exactly the same inputs as the other one.

4. With each iteration, study the chart to see if it's clear how that change affected it.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 7:24 AM
Post #20988 - In reply to #20985

OK ... sorry I did not get back to you last night ... too tired ... but I'll try to make it up to you with a bunch of stuff now :~) Hopefully it will be helpful to you.

First, let's make some small tweaks in the setup so that we are using the same charts and strategy ... what you did before is very close, but it will be easier if our colors, etc are the same.

So, first ... change the ORDERS block to use SIMPLER exits ... uncheck the Fixed Profit and Fixed Loss stops, and check N-Bar, and set the default to 5 bars, and uncheck optimize. Finally, change to Market on Close exits, to clean up the voteline.

As shown:

Attached file : DblDualEma Orders.png (22KB - 1222 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 7:29 AM
Post #20989 - In reply to #20988

Now ... let's clean up the Vote block just so it's not confusing ... the default mentioned Conflict Resolution >= 70% ... we don't want that to be a part of the picture (even tho with the All Inputs setting it's not supposed to be).

So, to clean that up, open the Vote block, change the Voting Method to "Majority...", then change the Conflict Resolution to "Generate ...", then change the Voting Method back to "All inputs ..."

As shown:

Attached file : DblDualEma Voting.png (23KB - 307 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 7:39 AM
Post #20991 - In reply to #20989

Now, let's get on the same sheet of music re the Chart.

First, most important, REMOVE the system from the chart ... it produces misleading triangle-signals, and does not do us any other benefit.

Second, please change your chart colorset to "Normal" (rightclick on chart, click Properties > Colors tab > scheme=Normal).

Third, please change your EMA colors to ones that match mine, so we can discuss them more easily. Note that I made the first DualEMA pair (5+20) dotted, and the second DualEMA pair (10+40) dashed, to visually remind me of their interaction. Also note that I made the faster EMA's (5 & 10) a ligher color than the slower EMA's (20 & 40) ... this also can be a useful visual reminder at times. No biggie ... just some tricks that I've found consistently useful over the years.

Finally, please change your settings on teh Chart Options Trades tab to those shown below:



The final result should be, after you've done a ToDo with all the new settings on CAT:


Attached file : DblDualEma ChartTrades.png (14KB - 1225 downloads)
Attached file : DblDualEma Chart-CAT.png (26KB - 1203 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 7:50 AM
Post #20992 - In reply to #20991

And ... here's the "howto" re getting a snapshot to appear in your post.

1. Take a snapshot ... SnagIt is a good tool for this ... annotate it if you'd like with arrows and circles and text ... save it as a PNG file.

2. Create the post, with the body-text in the message area.

3. Check the box "Attach a file to this thread after posting"

4. Click Submit

5. Use Browse to select the PNG file(s) you want to display ... click Submit after each one is found. Click Back when you're done.

6. Now the TRICK comes ... you're looking at the thread in View mode ... RIGHT CLICK on the name of the attached file, and click Properties ... you will see the URL for it ... HIGHLIGHT that URL (completely) and rightclick to Copy it. Exit the properties window.

7. Edit your post, and at the place you want the snapshot to appear, type in the "[ img =" formatting code (NO spaces), then PASTE the url in there, the put a "]" at the end and click Submit.

Voila!

P.S. note that the attachements are (usually) sequentially numbered ... once you've created one IMG= line, you can create others for the same post by copy/paste and incrementing the number by one.

important note PLEASE, PLEASE do not include "WIDE" snapshots in a displayed mode ... if you do it MESSES UP THE ENTIRE THREAD, by forcing the width to be transcontinental ... lots of panning back and forth ... and the text becomes very difficult to read. I strongly advise that the width of your snap should be 800 pixels or less. If necessary, shrink it, or chop it up into two pieces and stack them. Thanks!

Here's a couple of snapshots that illustrate the tricks:




Attached file : Getting the URL.png (18KB - 1209 downloads)
Attached file : Entering the IMG.png (22KB - 1177 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 7:57 AM
Post #20993 - In reply to #20992

OK ... please let me know when you've accomplished all that. I suggest you save the chart template with a memorable name (and the strategy as well). If you've got the interest and patience to walk through this with me for awhile, I'll use this as a strawman to demonstrate a LOT of different things you can do to work with Strategies in OmniTrader.

Please take a snapshot of your completed chart ... set it for 50 bars display ... it should look pretty much EXACTLY like mine. See if you can get it to show up in your post, if you'd like.

Thus this can become a useful "tutorial" for others as well.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 9:26 AM
Post #20994 - In reply to #20962

Done.

I didn't realize that it captured my entire desktop.... 3 monitors worth!

I will download SnagIt to test it out... "Paint" doesn't have auto resizer feature.

BBL... A guy gotta eat! Not too long though...
Attached file : Main.PNG (117KB - 247 downloads)
Attached file : Main.PNG (117KB - 249 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 9:49 AM
Post #20996 - In reply to #20994

SnagIt is the best $40 you'll ever spend for a utility, IMHO.

OT does have a capture tool that you can use with Paint, which works better than Shift-PrntScrn ... there are actually two instances of it ... you can turn on the icons via View > ToolBars > Screenshot.

Those SS icons give you adequate versatility to capture what you want ... Paint gives you unimaginative but adequate ability to annotate it.

BUT I still am a diehard Snagit fan ... SO much more is possible!




Attached file : Screenshot icons.png (24KB - 1193 downloads)
Attached file : omnicapture window.png (58KB - 1172 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 10:20 AM
Post #20998 - In reply to #20962

I was using the Windows PrintScreen function. Ahh... I was clicking on Capture Windows before... I didn't realize the "Capture Region" button for selectible region to capture.

Thanks for your lessons... it is very much appreciated. I want to learn more. It is funny. I have OT for like 10 years now but never really got into strategy section. Better late than never huh?
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 11:02 AM
Post #20999 - In reply to #20962

Snagged! Neat software.

Now looking at the voting... it is not as profitable as it could be. What can we do to improve this?


Attached file : SnaggedMain1.png (138KB - 1174 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 11:21 AM
Post #21000 - In reply to #20999

Weellll ... the first thing is to get all our ducks in a row.

Your voteline does not look like my chart quite yet.

I'm attaching an "OTS" file that should contain a full copy of the strategy ... please save your own as a sep name so they can be compared. This one goes in: C:\Program Files\Nirvana\OT2010\Strategies

Then ... please go thru the two of them, block by block, to see what is different.

Just looking at the voteline ... it's fairly obvious that the Stops are incorrect (vs my request that you change to Nbar), and that there is possibly something different about the Vote block.

I went thru all the details before ... just check the prior posts.
Attached file : aJDgyDoubleDualEMA.ots (744KB - 232 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 11:47 AM
Post #21001 - In reply to #20962

The differences were....

1. In both systems, you have "Number of Bars" at 20 where I had 5 as in your screenshots.

2. In voting, you had "All inputs below Signal Lines" and I had "Majority for Long (or Short)

This is my mistake for not reading the entire sentence.

3. In Orders, you have "Market on close" and I had "Market on open."

#1 and #3 are different from what you post.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 12:24 PM
Post #21002 - In reply to #21001

Good job of sleuthing!

This is a PERFECT example of why I prefer to send snapshots of the settings rather than OTS files, when still in process of fiddling with things.

Actually, the #1 (if you are referring to the System blocks) does not matter ... it only applies if there is optimization going on ... that's a whole 'nuther topic.

#3 is important ... I had changed that to simplify things, when I switched to N-bar exits instead of Fixed Profit and Fixed Loss - thot I had mentioned that, but no matter.

For several reasons, I've changed the N-bar exit in the ORDERS block to 10 instead of 5 (we can discuss later). Here is an updated snapshot of the new Orders Block. I've also attached a new copy of the OTS.


Attached file : DualEMA Orders.png (62KB - 516 downloads)
Attached file : aJDgyDoubleDualEMA.ots (744KB - 207 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 12:33 PM
Post #21003 - In reply to #21002

Here is the Chart for CAT that results from the OTS I just sent, with Nbar set to 10 and Exit at Close:
P.S. if you attach a chart it will be more legible if you don't include the Focus list or the right-side toolbars in the width.


Attached file : DualEMA Chart-CAT.png (28KB - 524 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 12:45 PM
Post #21004 - In reply to #20962

Done! Looks identical... I hope... LOL


Attached file : Snagged2.png (81KB - 512 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 12:59 PM
Post #21006 - In reply to #21004

Alright! Good job. Before going any further, make sure you SAVE AS this Strategy with a name you can find easily later ... I always put an "a" in front of my custom-whatever names so they alphasort to the top, then I follow that with my initials, then I put in a two letter abbreviation to remember what it is - this is not really necessary for strategies but is VERY useful for systems, stops and indicators when using OmniLanguage. I use "gy" for strategies ... then I give it a name that reminds me of what the focus of the strat is ... mixes of upper/lowercase help. I called this strat "aJDgyDoubleDualEMA".

Now, if you don't mind sorta working through this step by step, I'll give you some things to look at and think about before we move on ...

1. What does the "N" mean in the voteline? (hint - click on it)
2. Why are there three triangles in a row on the "Vote" line?
3. Is the bottom MV2-CD voteline the 5/20 system, or the 10/40 system?
4. How can you tell re #3, by ONLY looking at the CHART (not the strat)?
5. Why is the little empty red triangle there on 5/14?
6. When you count the bars between entry and exit, what seems odd to you?

After answering those q's, are there any FURTHER questions that you can think of, AT ALL, that relate (only) to what can be seen on this chart?
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 2:38 PM
Post #21011 - In reply to #21006

Originally written by 210921 on 7/7/2010 1:59 PM

Now, if you don't mind sorta working through this step by step, I'll give you some things to look at and think about before we move on ...

1. What does the "N" mean in the voteline? (hint - click on it)
2. Why are there three triangles in a row on the "Vote" line?
3. Is the bottom MV2-CD voteline the 5/20 system, or the 10/40 system?
4. How can you tell re #3, by ONLY looking at the CHART (not the strat)?
5. Why is the little empty red triangle there on 5/14?
6. When you count the bars between entry and exit, what seems odd to you?



1. The N-stop we specified for 10 means to stop out of a trade at 10 days.

2 Absolutely no idea!

3. The bottom of my chart is 10-40 system. You click on it and it will tell you what it is by a popup box.

4. You can tell by using the crosshairs and see which pair of EMA crosses over each other...

5. I velieve that isgnal means that already in short position. (I can't find the stupid chart that explains the solid up and down arrows... would be greatly appreciated if you could find it for me... I spent hours!)

6. What is odd is the second stop is 11 days after entry.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 3:42 PM
Post #21012 - In reply to #21011

Excellent.

Re #5 ... the chart is actually somewhere in the forum I believe ... might be in help somewhere to ... to discover more about that little triangle, Chart Properties > Trades > check Show All Reinforced Signals, Close, and look at the chart

You'll note that several new hollow triangles have appeared ... just above the last of the solid row of triangles on the -Vote line. So ... the answer is ... the hollow triangle is a "Reinforced Signal".

But, when we turn OFF that feature, why does one still remain? Answer is, I suspect, a very small idiosyncracy in the plot logic. Why? LOOK AT THE EMA's. The 5 JUST BARELY crosses over the 20 on the day before - zoom in and you'll see it. So, on the 14th, we have another crossover that occured in the 20-bar "window" that defines the "performance metric" for that system ... this 20-bar value is in the bottom right of the System block ... and is SUPPOSED to be just related to optimization ... but look what you find out when you start asking questions, eh?



Anyways, this crossover is a totally different thing than the other hollow triangles are indicating. This is a legitimate System SIGNAL, fired by the system block ... the others are coming out of the Vote block. So, they are different KINDS of signals ... one that is "core" to the system, and the other that is "manufactured" by the Vote block.

Which leads us to question #2, about the three triangles. These have to do with the Lookback parameter in the Vote block. Try this ... open up the Vote block and change the lookback to 4 instead of 5 ... close and OK ... double-click on CAT to recalc ... you'll see you now only have TWO triangles.

Now, change it to 2 instead of 4 ... before you click OK and recalc ... try to figure out what is *going to* happen, before you do it. Once you DO it ... there's question #7 for you!
why did changing the lookback to 2 do what it did to the voteline>

Now that you've gone through that exercise ... see if you can answer question #2 ... hint ... count backwards from the rightmost bar that has a solid triangle in the row ... to the 5/20 system's signal.

You got #6 exactly right ... and show one of OT's "idiosyncrasies" - OT has a few odd ways of counting things.

N-bar exit starts counting with zero, not with 1. So ... an input of ten bars actually exits on the eleventh bar since the trade started.

Second ... there is a just-discovered bug in OT (yep, you and I - we found it! - and it has been reported) ... when a Market on Close order is used for Entry. Rather than explaining all that ... let's just change our entry-order to MARKET ON OPEN. I'm plotting the new chart below.

Make that change to your Orders Block. Now, click on the voteline to see the advisor. Tell me what you have learned about Entrys vs Signals, from that recap. Hint: you can doubleclick on the chart to see the databox appear, to help ID prices and dates of bars.

This last little item you are about to discover is an IMPORTANT one, btw ... many longtime OT users don't understand it properly.


P.S. I will be out of pocket till later tonight, or maybe early tomorrow.
Attached file : DualEMA Chart-CAT-phantom cross.png (32KB - 501 downloads)
Attached file : DualEMA Chart-CAT-MOO.png (27KB - 526 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/8/2010 8:01 PM
Post #21014 - In reply to #21012

For #2 and #7 question. By reducing the lookback period, you reduce the chance the voting mechanic can see the two systems agree with each other to fire a buy signal. So reducing it to 2 eliminates any voting in CAT's case but is very narrow field of judgement that leads to no trades at all.

Increasing the lookback period will show much more signals as it shows concurred system signals.

It is strange how the system only works by the buy signal only rather the vote line of each system. Since the vote line of each system overlaps for a good period of time, the voting mechanic cannot 'see' those concurring lines.


Still have no idea about the bug. I can only see the date of entry is the same for either settings. Price is right.

System doesn't need to be 'Perfect'. Even I was trying to search for the holy grail long ago... via multiple indicators for 15 years. What did I learn? I missed a ?!&$*#!* of profits to be had. I wished I met a trader but never met one... only lots of wannabes. But then again, they don't want to share either.

Outstanding lessons here... now I need to learn how to make OT smack me to trades on what they see automatically when I boot it up... A popup of list would be nice!
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 7:10 AM
Post #21015 - In reply to #21014

Hi, Stan:

Gettin' tired of this, or do you want to proceed further? ... "miles to go before I sleep", an' all :~)

Re #2 & #7 & your comment about the vote line of each system ... think of the vote eval process as a flow from bottom to top on the voteline, and from left to right in the strategy diagram. The stuff on the left/bottom is "raw" ... as you move right/up, it gets "refined". What finally hits the Orders block is the "real" signal.

The LOOKBACK input is important ... it creates "persistance" for the initial 5x20 signal, until the 10x40 catches up. If you set it (for this case we are looking at) to 2, then it's inadequate to cover the 3-BAR delay between the June15 5x20 signal and the 10x40 signal, and the Vote block does not consider the two signals to be simultaneous ...

Q#8 can you find two alternatives (not using optimization) you could make to the Vote block settings, so that a lookback input of 2 (or less) would permit a signal to get to the Orders block, in the example we have been looking at?

Notice also for the May14 "Reinforced" 5x20 signal ... the 10x40 is three bars away ... and "barely makes it". If that tiny intermediate crossover had not occured, the trade would not have gotten thru to the vote line.

OK moving back to the Q re the signals and entries from the Advisor popup. In my screenshot below, notice that the ENTRY date is NOT the date of the bar with the little triangles on it. VERY important to understand. The bar with the triangles is called the SETUP bar. It is the bar whose COMPLETED information has told OT that the strategy's requirements for an entry have been met. The "setup" is complete on that bar.

Which raises a conundrum. If you need to have a COMPLETE bar to eval the satisfaction of the setup ... then there's "no time left" for an entry signal to be fired ... at least, in OT-land. Remember - we are dealing with EOD, non-realtime info here. The true CLOSE for the bar (which is what the EMA's are based on) is NOT AVAIL to 20-min-delayed EOD feed until AFTER 4:00 EST ... too late to place an order that day.

So ... the MOO order ENTERS the trade at the start of the NEXT day. In fact, if you'd used the Trade Plan block instead of the Orders block (TP offers a huge amount of refinement re entry and exit rules), then you could have placed a Market or Limit order instead of MOO ... but any of those would not actually be live until the next morning.

That is the point that is ESSENTIAL to understand with OT ... the ENTRY never occurs on the same bar that the Setup Triangle appears. Never. The trade starts on the NEXT bar. OK - that's the rule ... now, if you want, go back and change the entry to MOC ... which SHOULD have entered at the Close of the NEXT day after the setup ... and look at the voteline and the Advisor ... that's the bug that we found and which will be fixed. It identifies the trade entry at the wrong price ... at the closing price of the Setup bar. 20-min delayed EOD data would not permit entry at that price, in reality.




Nuff said about that ... it's important to realize what is going on. Another small nuance ... the horizontal line is DOTTED, in-between the solid triangle on the voteline and the vertical hashmark that indicates "Entry". Sometimes, with some strategy configurations using a Trade Plan (such as a Limit order that is not met yet), this dotted line can be several bars long before entry occurs.

To finish up our "lesson about lines" ... try changing the Orders Block so that the Exit is MOO, not MOC. Look at how that changes the voteline ... you see an "exit signal" on the 6th (where the N is), but the actual exit is not till the OPEN of the next day. Again, a dotted line. And, again, if you use a Stop Market order within a Trade Plan, that dotted line conceivably could be several bars long before the exit order is filled.

OK ... I think that ties up this particular rabbit trail. In the next post, if you're still interested, we can move on to look at some other configurations for the strategy, still working with the same general requirements that you originally specified.


Attached file : Signal vs Entry.png (103KB - 497 downloads)
Attached file : Exit with MOO.png (61KB - 473 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 10:51 AM
Post #21016 - In reply to #21015

I'll assume that you want to proceed with this ... let me know if not ... it takes time to put this stuff together but I'm OK with that if it's actually HELPING someone :~)

Recap - you've asked about using two Exponential crossovers (two different pairs of EMA's) together in a strategy. We've been working with a Strategy flowchart that does exactly that ... two instances of M2V-C-D in separate System Blocks (necessary to have two since the same System is being used twice with two diff param's: 5x20 and 10x40 were the arbitrary selections that I proposed we start with. We've made the Strategy as simple as possible ... only System, Vote and Order blocks were used. We've identified how to turn OFF optimization of the systems and to keep the voting very simple. We've played with some options on the Order block, and are using the simplest possible Exit ... an arbitrary 10-day life for each trade.

Also, a we took a small rabbit-trail to illustrate how to capture snapshots and attach them to Posts so that they show up with the text.

Moving forward:
MY goal is to use this as a strawman to provide some "tutorial" info about how to build and work with strategy components, WITHOUT haring off into strange and wonderful rabbit-trails. YOUR goal, presumably, is to learn stuff like this for future use, but also to get some kind of viable solution to your original DoubleDualEMA crossover idea.

The next steps:
1. There is another way of setting up the Strategy that will accomplish exactly the same thing that we've just worked on, using a different strategy component - the Confirm block. I'll lay that out for you first.
2. If we step back a little bit and look at what you're trying to do, there is another way to approach it without using two Systems ... it will give almost the same signals, but I think you will like it better ... also it will introduce still another component - the Filter block. So, that's where I'm going next.
3. Finally, while we are looking at alternatives that are similar but a tad more versatile, I suggest that we look at substituting the Trade Plan block for the Orders Block and fiddle around with TP's in some rudimentary ways.

That will cover all the core Strategy blocks except for Performance ... which is only used with multi-System strategies, and gets into a whole lot of other areas that would be too far offtrack to try to fold in here.

If you decide to hang in there through all this, then the next natural step would be to work with one of the three Strategy variants (double-sys, sys+confirm, or sys+filter) to IMPROVE ITS PERFORMACE. At that point, we'll probably want to start a new thread :~)

This is the direction I'd like to head - seems to me that it would be beneficial to a wide scope of "lurkers" (present and future). I'll use you as a sounding-board along the way ... asking you to scratch your head and figure out things as we go.

Does that sound like a viable plan to you?



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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 10:59 AM
Post #21017 - In reply to #20962

Augh.... slow down Jim. I am still processing your last post.

Right off the bat, I know if we adjust the moving average crossovers to smaller numbers such as 5/20 and 10/30 should make it possible for more precise timing for lookback period of 2.

My head is spinning 100 MPH trying to process your info.

Yes, I absolutely want to learn more... remember, your knowledge is lightyears ahead of mine.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 11:16 AM
Post #21018 - In reply to #21017

That's the beauty about posting vs verbal ... you can read "at your leisure". Not that this is particularly "leisurely" ;~)

I understand (and "sympathize") why you want to move directly to improving the performance of the strategy ... BUT ... if you don't have a good grasp of the various tools available, then you'll not be able to use them effectively. A pipe wrench CAN be used as a hammer ... but woe to the appearance of the wood, once you get the nail driven in fully!

I really think that a different architecture will be better for this than the one you've specified, but without really changing the "spirit" (or much of the "letter") of what you asked for initially.

Would you mind if we put a temporary lockdown on the specific EMA's for now, and first find our way around the shop, before turning on the lathe?
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 11:30 AM
Post #21019 - In reply to #21015

Two alternatives in VOTE BLOCK are:

Best signal according to rank
Majority of Long or Short


I now see that 5/14 reinforcement sell triggers the sell short on vote line.

Ay! Very perceptive on Market on Close bug for EOD OT.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 11:42 AM
Post #21020 - In reply to #20962

Looking over the last post you posted....

POSITIVELY YES! Teach me!


I think I found another bug... after I change the strategy a bit... and double click on CAT, I don't see those Orders, Vote, MV2-C-D and MV2-C-D. If I double click on other symbols, they showed and back to CAT, nothing. If I change the strategy a bit with CAT loaded, then it will show up.



Looking at the exit point of our examples, it does leave something to desire for better exit for more profit. I suppose if we put a trailing stop loss, it would improve the profit.
Attached file : CATVoteBug.png (74KB - 471 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 11:49 AM
Post #21022 - In reply to #21018

Okay... no fiddling with System set example to 'improve' performance until full lesson is complete.

No problem.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 2:07 PM
Post #21024 - In reply to #21022

Hi, Stan:

Sorry ... got sidetracked a bit.

Sometimes the updates to the voteline occur automatically when you change a strategy, and sometimes (depending on the type of change and on whether it's Tuesday or it's raining) the change does not automatically occur.

To force an update to the FL as a whole, use ToDo and click the Now! button that is next to "Run Analysis". To force an update to the chart you are working on, double-clicking that symbol usually does it, but if that fails, right-click on the symbol and click "Test Symbol". That will do it every time.

This occasional lapse in the automated update thing is more of an "idiosyncracy" imho than a full-blown "bug". Potaytoe, potahtow.

Moving along ...
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 2:27 PM
Post #21025 - In reply to #21024

OK ... looking at nearly-functionally-identical variants of the strategy:

#1. Exactly identical
You can do exactly the same thing as our current strategy does, by using the "Duplicate" function within a given System block ... here's how:

a. CTL-S or ToDo > Strategies to see the list > highlight current strat
b. Click Edit > Save AS > new name: aJDgyDoubleDualEMA-2in1sysB > OK
c. Check the box next to that new Strategy and Edit it
d. Strategy edit > delete the 2nd System block (rightclick or drag away)
e. Open the remaining System block
f. Click the Enable checkbox at top left 2x so that the ONE system we were using is showing (a quick way of finding it in the list - not req'd)
g. Click the "Duplicate" button (bottom center) and give it a new name - call it "SLOW Two Moving Average Crossovers"
h. Edit the default param's to be 10 & 40 instead of 5 & 20
(change all min/max/incr/def if desired: 5,15,5,10 and 30,50,10,40)
i. Click OK > make sure the new strat's box is checked in the ToDo list (leave the orig one checked, too) > Click OK

Your vote area now shows TWO strategies, each with plus signs ... and both should have the same voteline appearance. To examine just the new one, click its plus sign. Or, to remove the other one from view, go to the Strategy dropdown tool box and select just the one you want ... this cleans up the voteline.

This approach will produce idential voteline results to the original.




Attached file : 2in1sysB System.png (22KB - 501 downloads)
Attached file : 2in1sysB Chart-CAT.png (30KB - 452 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 2:41 PM
Post #21026 - In reply to #21025

I made two mistakes in the last post, which I've edited since ...
1. steps a,b,c are different now ... I forgot that "New" only offers a partial list.
2. I did not realize that what I mentioned in the opening paragraph is no longer an issue ... ie the proliferation of dup'd systems ... apparently OT does not add them to the "master list" ... they only are a part of that particular System block. So, that objection is not an issue, and you might consider this variant approach to be more to your taste. This is good news!

THERE IS another good reason for keeping the two blocks separate, IF you are using some of the other features in the System block ... if for example, the second use of the same system was being applied to a market-index symbol such as $DJI, or if the second instance (with diff param settings) was being used for Shorts, and the first instance for Longs, etc etc. I just have been in the habit of separating them, for a variety of reasons ... but it was not really needed in this case.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 3:27 PM
Post #21027 - In reply to #20962

I understand combinng two systems into one box instead of two separate system boxes.

Now I got an ut oh! I don't have the buy/sell reinforcement that you have on your chart. I am trying to figure out what is different...



My bad! I forgot to reduce the size of image...
Attached file : UtohNoReinforcement.png (80KB - 444 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 4:23 PM
Post #21030 - In reply to #21027

I had turned it on by happenstance ... it's off now :~)

BUT, the place that is controlled is on one of those snapshots I sent earlier ... the second checkbox of the Chart Options > Trades tab.

Checked, it shows the extra triangles. Unchecked, they are hidden. I suggest you leave it unchecked for now.

Did you actually go thru the exercise I described re creating the Duplicate? I'd like to know if the steps I wrote out are effective, for future use. Please let me know, but I won't wait on your reply ...
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 4:25 PM
Post #21031 - In reply to #21030

FAVOR.

Please either just delete the attachment you made to your last post (it's too wide for convenience), or replace it with one that's <=800 pixels. This thread will probably be read by hundreds of people and I'd prefer that it not be awkward to do so.

Thanks!
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 4:59 PM
Post #21034 - In reply to #20962

Yep. Done. The instruction is good... no problem.


Attached file : CompletedHomework.png (174KB - 488 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 6:06 PM
Post #21035 - In reply to #21034

Let's move on to another variant that at least "in theory" should produce identical results.

The idea is to use ONE system block with one of the two systems, and add a Confirm block to handle the other one. Sounds simple ... but you'll (probably) find out that there are hidden gotcha's.

FIRST, please download and save the attached strategy to make SURE we are starting from the same point ... AFAIK we are, but this will make sure of it. Then, do the following:

1. Edit that aJDgyDoubleDualEMA strat and SaveAs aJDgyDualEMA-Confirm
2. Click OK, and assure the newbie is checked in the ToDo > Strategy list
3. Edit the new one: remove the System block that had the 10x40 system
4. Drag in a Confirm block and place it between Vote and Orders
5. Edit Confirm: bars before=5, after=0 and set radio button to "Any"
6. Enable only the MV2-C system and set params: 5,15,5,10 and 30,50,10,40
7. Click OK, OK to close ToDo, and set Strat dropdown to All Strat's
8. Select DJ-30. ToDo> Run Analyze to process both strats on all 30 syms
9. Set chart to 12 mo's, and collapse the strat votelines (3 lines vis)
10. Doubleclick on the first symbol (AXP), look for diff's in votelines
11. Repeat #10 for the full symbol list to find diff's in votelines

OK ... presuming that you DO find differences (mwah-ha-haa) ... you should now VERY VERY carefully, ONE thing at a time, try to discover what change(s) need to be made to the NEW strategy, so that the differences in the votelines are minimized or eliminated.

RULE #1: Don't touch the orig strat (attached). Off-limits. Verboten!
RULE #2: Don't change the Periods for the EMA's in System or Confirm.
Hint #1: Don't touch the Orders block on the new system.
Hint #2: Fiddle with the Confirm block first ... don't mess with Vote or System blocks unless/until you feel you absolutely must.

I hope you like to solve puzzles. This is the BEST WAY THAT I KNOW to learn about new stuff ... set up a plausible task and chip away at it, with each step figuring out what you think will happen, then making a change, and seeing what really DID happen, then trying something else, etc.

When you get them as close as you think is humanly possible (ie for the full list of 30, for 12 month window), let me know your results.

Remember - I'm not saying a perfect match IS possible ... but I'm also not saying that it ISN'T. Hang in there!

(mwah-ha-haaa)

Attached file : aJDgyDoubleDualEMA.ots (744KB - 203 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 7:15 PM
Post #21036 - In reply to #20962

Umm... before you start acting like Rico in Hannah Montana's show... I am not sure what happened. In the beginning, the original strategy did not match the new confirm strategy... and then all of the sudden everything is exactly the same. I was changing the middle one which is one system box with two systems inside... in there the Order Exit was not the same as the other two... it was on Market on Open but your other two system was Market on Close. Once I switched that then BOOM! Everything matched without even modifiying the Confirm strategy.

In the confirm strategy, I unchecked the "use reversing signal"

Here is the snapshot and the confirm strategy.


Attached file : Homework2.png (93KB - 457 downloads)
Attached file : aJDgyDoubleDualEMA-Confirm.ots (744KB - 167 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 7:22 PM
Post #21037 - In reply to #21036

Not sure who Rico is … I'm one of those rare folks that does not watch TV - I'm a DVD man. :-). I guess it was easier for you than I thot it might be. I'm not at my pc now so I can't check your strat. Question- did you find perfect matches to all 30 symbols, for all 12 months?
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 7:28 PM
Post #21038 - In reply to #20962

Augh! I spoke too soon.... No, it is not a perfect match!
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 7:50 PM
Post #21039 - In reply to #20962

Aha! In the Confirm box, the 'Number of bars' needs to be set to 20 (from 5). Everything matched!

Now, you told me that is for optimization purposed... and we are not using any optimization whatsoever... so how come it impacts the signal?

No TV?! DVD is higher quality entertainment. I have to cut down on my TV and more into Omnitrader... LOL.

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 8:31 PM
Post #21040 - In reply to #21039

That was the key.

Now, look at the expanded votelines and see if you can figure out why the 20 matters. Look at specifics. How and what changes if you change it to 19 or 15 etc.

It's primary purpose IS optimization - but there's a secondary impact in play, too. Labels rarely tell the full story.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 9:16 PM
Post #21041 - In reply to #21040

Since you figured out the key param so quickly, rule#1 is hereby suspended. Try adjusting the 20's in the orig system blocks as well. Check out a few cases of how the votelines are affected.

Goal: to learn how those inputs impact how these systems actually fire (or don't fire) signals.

After you've figured that out (one thing at a time) -see if that reversing-signals checkbox makes a difference - and if so, how. Then after that, check out the dropdown box that currently is set to NBars.

This is the way that many of us have learned stuff that the manuals are silent about. It's sorta fun - as long as you learn it BEFORE you've got money on it!
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 10:56 PM
Post #21042 - In reply to #21040

That 'number of bars' is practically the same as N-Bar Stop... if we set it to 20... it will continue the confirmation all the way up to 20 bars (er... 21 bars).

If we set to 5. it will stop at the 5th bar (for heaven's sake of simplicity)
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/9/2010 11:17 PM
Post #21043 - In reply to #21041

To figure out this and the other question, one would need to zoom into the chart... like 30 bars. Also, you need to change only one system so you can compare the differences.

With the reversing signal, the system will fire at every crossovers it makes. With this feature checked,the system voting line is different as there may be a short one bar sell crossover and then trigger a buy again.

Still with the reversing signal feature, there is still the 20 N-bar stop that will stop out of the trade when it hits the 20th bar (day).


Wow... all these years, I never bother to zoom in so closely... now I even see another feature but this is another rabbit trail.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 9:09 AM
Post #21047 - In reply to #21043

Yes, you are right ... to figure out some of these things, you need to zoom in to three months and max the screen ... or even tighter. Easy to do with OT, thankfully.

I trust that by now you have a better feel for how the inputs on the bottom right of the System and Confirm blocks work, with Optimization turned OFF. Here are some summary notes that are worth saving ... if any of them are "news" to you at this point, I suggest you take a moment to TEST them ... maybe you will notice something that calls for a revision. This info is NOT, for the most part, found in a manual anywhere:

1. SB & CB: DblClick Enable on top left to see only checked systems

2. SB & CB: To uncheck all, click top sys, shftclk bot sys, and set/clear Enable at bot left

3. SB & CB: Can use Duplicate button to make extra copy of a sys, with diff param's ... that copy ONLY exists in THAT BLOCK ... does not create a new sys file on HD ... and for custom sys, abbrev-name does not change

4. SB & CB (not FB): Performance > Metric=N-Bar + Number of Bars does affect system operation even if no Optimization active ... makes SysVote persist longer ... prevents sys from firing in the other direction during that period (if no Reversing active) ... DOES allow add'l sig's in SAME direction (look like voteline "reinforced", but not affected by Chart Options > Trades)

5. SB & CB (not FB): Performance > Use Reversing Signals does affect sys operation even if no Optimization active ... signals can flip directions during the Number of Bars period - in this case, AND if no optimization is active, NofBars input does not matter

6. SB & CB (not FB): Performance > Metric=NextPivot + S/M/L does affect sys operation even if no Optimization active ... trade persists to next Pivot ... a Pivot cannot be identified at the HRE, so signals might change in "real" life - UNLESS Reversing is also used. In that case, the "late" appearance of the NPP will not prevent any system signals from being fired, so although some nuance-details of the expanded-voteline might change, the final vote will not (in theory, at least :~)

Okaaaay ... that last one is sort of difficult to follow, maybe ... but I suggest that you play with the inputs ... set up NPP (Long), without reversing signals, and compare to NPP (Long) WITH reversing activated. To make these comparisons simple, you might want to SaveAs a new Strategy for that purpose.

Please let me know if you "get it" ... if not, please pose some questions that will help me explain it more effectively.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 10:13 AM
Post #21051 - In reply to #21047

OK ... next task/variant ... using what we've just codified.

Since the "Number of Bars" is apparently having an effect on our strategy's operation, we need to ask ourselves, "is 20 the RIGHT value"? Our thots immediately turn to optimization runs, etc. BUT ... FIRST ... rather than beating it to death, let's use our BRAINS and think about WHY.

In order to answer that Q, we need to ask "how long SHOULD a given signal's DIRECTION persist"?

This latter Q might confuse you at first ... what does N=20 have to do with long vs short direction. Answer ... our experiments make it clear that DURING the N=20 window after a Long system-signal fires, although OT permits "reinforcing" (hollow-triangle) signals to fire in the SAME direction, it does NOT permit that 20-bar window to be "interrupted" by a change in direction ... that is, if the EMA's cross back in the opposite direction during those 20 days, the resulting SHORT signal is not allowed to appear.

So ... do we WANT to allow a short signal to appear within that 20 days or not? And if we do, what's the best way to go about it?

Second question first ... there are TWO WAYS to permit a short signal to appear after a long one, within 20 days after the long one has fired.
Please figure out the two methods and report them back. This only affects the System block, btw.

OK, to decide IF we want this to be the case ... maybe the best way is to set up two Strategies that differ only in that way, and look at some charts and see how things work.

Please modify the "2in1sys" Strategy to implement one of your solutions. Leave the original DoubleDualEMA strat as is. Now work through the DJ30, using 6-mo window, expanding the votelines when you need to so that you understand the differences.

LOOK AT WHAT'S GOING ON WITH THE CHART ... for the first time in our journey, we're going to evaluate which setting gives us "better trades" ... but let's not get excited about what these measely 6-mo's and 30 syms tell us specifically ... let's USE them to THINK about how this strategy will work IN GENERAL.

This will occasion a number of discussions ... but at junctures like this, we should try to pick one of the two paths early on, so that our ongoing work will not develop too many persistent branches.

Have fun!
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 10:57 AM
Post #21052 - In reply to #20962

Okay... this is gonna take a bit of time to figure out and weekend activities will delay my response to 'liesure' rate. I am hooked with all these lessons and I really appreciate everything you are doing. I know your time is also very important too.

Now maybe 'what weekend?' may pop up in some minds... I really admire it... even for me, there is no 'weekend' but weekend is a tad busier of running in and out of the house.

Yes, that crossed my mind all along of what can we do to improve and how to do so to achieve a good performance.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 11:16 AM
Post #21053 - In reply to #21052

No prob - I'll wait to proceed. Btw - if any "lurkers" ho have been actually following this from the beginning and are fully uptospeed with where we are at would like to join in the fun, please feel free. BUT - we *will* stay on topic! :-))
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Steve Luerman

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 3:22 PM
Post #21054 - In reply to #21053

Hi Jim,
I'll step out of the shadows and join the class. Many thanks for the tutorial. It is excellent.

I believe the question you have posed is:
What ".. are TWO WAYS to permit a short signal to appear after a long one, within 20 days after the long one has fired" by modifying the system block (not the confirming block):
1. "Use Reversing Signals"
2. Use two system blocks, and set one to generate Longs only and the other Shorts only (instead of both). And modify the vote block.

It would seem that option 2 (multiple system blocks) would offer more flexibility, so I choose to follow that path for further study at this time.

This snapshot shows the CAT voteline for the past 6 months for the original "DoubleDualEMAcross" and "DoubleDualEMA-Confirm" compared with the modified DoubleDualEMA-2in1sysB strategy with 2 system blocks (one long and one short), and vote block modified to require only 50% of all inputs to pass a signal. This requires that both of the long systems or both of the short systems to be concurrently firing to produce a signal. This preserves all the original signals, but also enables a reversing signal to occur sooner than with the original stategies, because the short system can fire before the slow long system signal has ended.


And the Shorts only system block:


And the Vote block with 50% minimum for "Voting Method" and 50% minimum for "Conflict Resolution".


Steve
Attached file : 2010-07-10 CAT DoubleDualEMA - vote block.PNG (47KB - 506 downloads)
Attached file : 2010-07-10 CAT DoubleDualEMA - voteline.PNG (42KB - 425 downloads)
Attached file : 2010-07-10 CAT DoubleDualEMA - Shorts only.PNG (84KB - 437 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 3:39 PM
Post #21055 - In reply to #21054

Ooops. My first snapshots showed HPQ instead of CAT. I've replaced the HPQ snapshots with CAT for consistency with the previous discussion.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 3:53 PM
Post #21056 - In reply to #21055

Hi, Steve ... and welcome. Thanks for the solutions, and the great graphic composition ... and for keeping them narrow enuf ;~>

Your first solution ... using the Reversing checkbox ... was one of the two methods I was thinking of, in order to assure that no signals were lost due to the N=20 "persistence" effect.

Your second solution ... using two System blocks PLUS changing the Vote block ... is one that I was not thinking about - but you're right ... it offers additional versatility - I discussed this earlier. Hooowwwever ... insofar as the immediate question applies ... it sorta violates the KISS principle ... can you think of another way to accomplish the SAME THING as checking the Reversing box, WITHOUT having to mod the Vote Block or add any more blocks? I'm not pulling your leg here ... there is another "KISS" alternative.

Whether you discover it or not ... let's find out how "equivalent" your two solutions are. Do the DJ-30 + 12-mo chart "thing" that I described earlier, with your two strat's on the voteline ... I suggest you collapse them for easy checking. If ALL of the symbols for ALL of the trades in ALL of those months have EXACTLY the same voteline, then I'd be willing to grant that your second-sysblock + revised-voteblock method is functionally equivalent to the Reversal checkbox approach.

And, of course, if you do figure out the other "KISS" method, add that one to the pile when you do the checks.

I've NOT checked your new suggestion myself ... I have checked the other two ... let us know what you find out!
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 4:03 PM
Post #21057 - In reply to #21056

P.S: if you'd change your indicator colors to match it would be nice - I'd like us all to be playing the same instrument :~)
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 4:17 PM
Post #21058 - In reply to #21056

OK. Hopefully these colors are close to yours.

I don't see the other KISS solution...yet.

I compared the "2in1sysB-Rev" (1 system block with "Use Reversing Signals") with my solution using 2 system blocks and vote block changes on the Dow30 for the past 12 months. There are two differences.





Steve



Attached file : 2010-07-10 WMT DoubleDualEMA strategy comparison.PNG (39KB - 428 downloads)
Attached file : 2010-07-10 GE DoubleDualEMA strategy comparison.PNG (171KB - 472 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 4:34 PM
Post #21059 - In reply to #21058

For anyone who wants the Chart Template we are using, it's attached to this post. Way-Earlier in this thread, snapshots and explanations were provided to show how (and why) this layout was chosen. If you want to "learn how to fish" (rather than being handed a seabass dinner), I suggest that you go back and read the story behind it.

The .OTD file attached should be copied into the C:\Program Files\Nirvana\OT2010\ChartTemplates folder.

Steve - if you would not mind posting your strategy (.OTS) file, I'll take a look at your suggestion.
Attached file : aJDctDoubleDualEMA.otd (108KB - 179 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 4:43 PM
Post #21060 - In reply to #21059

OK. I found the other solution. And it produces the same results on all Dow30 for the past 12 months as "Using Reversing Signals".

The 2nd solution is to set "Number of Bars = 1" in the systems block.

By the way, I updated the previous post. I found that there were two differences, and have posted snaps of both.

And as requested, I've attached my 2 system block with vote block changes solution.

Steve
Attached file : aSJLstrDoubleDualEMA-2in1sysBx2.ots (780KB - 207 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 5:56 PM
Post #21061 - In reply to #21060

That's it! Good job! To summarize:

To allow all possible system-signals to get through to the Vote Block, there are two "KISS" methods - either of these by itself does the trick ... you can use both if you want:

1. Check the "Use Reversing Signals" box in the bottom right of the SB/CB
2. Set Performance Metric to N-bars and Number of Bars = 1 (in SB or CB)

If you are doing parameter-optimization, it's likely that the second solution will be unacceptable (we might discuss this later on, but not now) ... so the first solution (reversals) would be a better bet.

However, if you are doing param-opt, and you want to keep the Short and Long sides separate (usually this is wise for optimization), then Steve's solution proposed in the last few posts is an excellent one.

It's tempting to discuss the Next Pivot Point option here ... but that will definitely open up a huge can of snails, which would slither all over our orderly path here. So, for this thread, NPP discussion is "verboten". Nutshell ... for MOST (but not all) situations, it's best NOT to use NPP for optimization, or for Exits or anything else. There ARE exceptions to this where NPP is the PERFECT tool ... but the snail-goo about that will have to wait :~)

Any further questions about this?

There is still a "task" remaining. Please set up two strat's ... our original DoubleDualEMA without "Reverse" ... and let's modify (permanently) the "2in1" strat to include Reversal ... we previously demonstrated that 2in1 produced identical results to the DDE.

Now, with those two strat's active (only), do the DJ-30 12-mo process again ... SLOWLY ... and identify which of the NEW trades that appear with this revision are "Good" new trades (ie profitable), and which are "Bad" new trades (ie losers). The Advisor will help you ID them.

After doing that (a list with symbol and mo/year would be great), then try to CATEGORIZE those trades ... WHY were the good ones missed by the DDE strat, and WHY were the bad ones borne, using the Rev2in1? Try to determine GENERAL explanations, so that we can evaluate how to make a GENERAL decision about which (DDE or Rev2in1) to use, moving forward ... and also so we might start thinking how to improve things further ... please NO suggestions yet. You're in "detective" mode now :~)

I've attached the Rev2in1 strat so that we're on the same page.
Attached file : aJDgyDualEMArev-2in1.ots (744KB - 184 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 8:25 PM
Post #21063 - In reply to #21061

This reminds of an essay question where there are many answers, but only the teacher's answer is right.

With the reversing signal, there were were 44 additional trades (plus 5 incomplete trades). 14 of them were losers.

The best trades occurred because the stock was not doing much, i.e., EMA(40) was quite flat, prior to the trade. Without the "Use Reversing Signals", the small whipsaws hid the good signals for the next 20 days.

The worst trades occurred because the stock reversed twice within 9 to 15 days (most were about 10 or 11 days between reversals). The second reversal occurred very quickly after the trade was entered.

# STOCK SIGNAL DATE GAIN/LOSS L/S
1 aa 2009-07-24 12.39% LONG
2 aa 2009-11-16 1.41% LONG
3 axp 2009-07-15 3.97% LONG
4 axp 2010-03-09 3.80% LONG
5 ba 2009-11-16 3.00% LONG
6 ba 2010-06-29 ? SHORT
7 bac 2010-01-26 0.27% SHORT
8 cat 2010-02-22 2.11% LONG
9 csco 2009-07-15 11.14% LONG
10 csco 2010-02-17 3.83% LONG
11 dd 2009-12-30 0.41% LONG
12 dd 2010-02-22 4.02% LONG
13 dd 2010-07-06 ? SHORT
14 dis 2009-07-16 2.86% LONG
15 dis 2010-02-19 5.26% LONG
16 ge 2009-11-12 3.24% LONG
17 ge 2010-01-11 -3.21% LONG
18 hd 2009-10-13 -8.14% LONG
19 hd 2010-02-11 9.18% LONG
20 hpq 2010-02-24 3.73% LONG
21 ibm 2009-07-16 4.82% LONG
22 ibm 2010-03-09 -2.68% SHORT
23 ibm 2010-07-02 ? SHORT
24 intc 2009-11-17 -0.25% LONG
25 intc 2010-02-17 0.10% LONG
26 jnj 2009-11-13 3.35% LONG
27 jpm 2009-07-15 8.11% LONG
28 jpm 2010-01-25 0.92% SHORT
29 kft 2009-11-30 -0.63% SHORT
30 kft 2009-12-18 7.31% LONG
31 kft 2010-05-11 -5.85% LONG
32 ko 2010-04-07 -1.26% SHORT
33 ko 2010-04-23 0.70% SHORT
34 mcd 2009-07-27 -0.02% SHORT
35 mcd 2010-06-14 -5.22% LONG
36 mcd 2010-06-30 ? SHORT
37 mrk 2009-11-02 -10.23% SHORT
38 mrk 2010-04-07 8.14% SHORT
39 pg 2009-07-07 5.59% LONG
40 pg 2009-08-31 2.75% LONG
41 pg 2010-01-19 2.02% LONG
42 pg 2010-02-04 3.50% LONG
43 t 2010-06-25 ? SHORT
44 trv 2009-07-23 10.96% LONG
45 trv 2010-04-22 -4.33% LONG
46 utx 2010-07-17 1.78% LONG
47 wmt 2009-11-03 -7.91% SHORT
48 xom 2009-08-11 -4.16% SHORT
49 xom 2009-08-27 -1.43% LONG

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 9:34 PM
Post #21064 - In reply to #21063

Hmm. Well, I'm a teacher but I have no predetermined answer. In fact, having no predetermined answer is part of being a good researcher, or a good TRADER. But we digress :-). I've not had a chance to review these trades, but your summation sounds very sensible and plausible. Do you think further investigation is called for (ie were the indications somewhat unclear), or do you think that's enuf to go on? I'll be interested to hear what Stan thinks about this. If we proceed using the rev path, then I think the next (simple) step would be to check whether the prev-identical Confirm-Block variant still is a match, using the Rev in it's SB & CB. Care to do the honors?
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 9:50 PM
Post #21065 - In reply to #21051

Yike! More participants! Welcome... I didn't peek at their answers before I do my search...

1. Using reversing signal is easy way for the system to fire a short within 20 n-bar set.

2. Another solution is to alter the 5/20 and 10/40 to other shorter time periods to trigger earlier reversing short... I am not sure if this is allowed under your question.

I am also assuming you only allow change in the system block (SB).
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 10:00 PM
Post #21067 - In reply to #21065

Yep you're right Stan on all three points ;-). Changing params (for now) is verboten. Will get to it later. The other KISS solution is avail in the SB/CB. You can scratch your head about it, and when you figure it out, review the prior 3-5 posts or so - it's in there somewhere (I'm on my iPhone now). There are also some additional tasks - and another pair of eyeballs connected to gray matter will be very helpful to reinforce / add to / challenge Steve's conclusions.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 10:16 PM
Post #21068 - In reply to #21064

Over the past 12 months, the two variations with "Use Reversing Signals" both produced the same results. I also ran PortSim for the past 10 years, and there were a 1498 trades with the Confirm Strategy vs 1502 with the 2in1syB-Rev strategy, and a $50 difference. So, there must be some very subtle difference between them.

Here are two of the 4 charts showing the voteline differences:






Attached file : 2010-07-10 XOM 2000-04-18 comparison.png (91KB - 318 downloads)
Attached file : 2010-07-10 CAT 2001-03-29 comparison.png (80KB - 334 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 10:18 PM
Post #21069 - In reply to #21064

Now caught up with the rest of the posts.

With the reversing signal and N-Bar=1, I see extra long trades which are profitable but it missed the extended bull run on those new long trades.

As with N-bar =1 or =20, there is no differences that I can see in 6 months charts on all Dow30. I used the 2in1 system and have two sets... one to 1 and other to 20... no difference at all.


Reviewing what I said above, in the vote line, it made no difference, but in the raw vote lines of the system, there is a difference. Overall, in the end, the strategy vote line did not alter at all. I presume this is an important matter... yes?
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 10:36 PM
Post #21071 - In reply to #21069

Okay guys - decision time. Will we move fwd with rev flag set, or not? Should a detailed comparison be made between the rev2in1 option and Steve's variant using two SB's and a Vote block change? That would be interesting to discover, I'd think. Once we sort that out, and pick a method, there is one final approach to this that is worth looking at - but not tonight. :-). I'll be signing off for now.
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Steve Luerman

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 10:36 PM
Post #21072 - In reply to #21068

I don't know if the subtle difference between the two strategies is a side-track or not. But in case it is of importance, the difference in both charts is that the Confirm block is firing 1 period before the signal. Since the Confirm block is configured with "Confirmation Tolerance BeforeSignal=5 bars and AfterSignal=0 bars", it seems to me that this should have produced the same result as the 2in1sysB-Rev strategy.

Perhaps a minor bug?
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Steve Luerman

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/10/2010 11:29 PM
Post #21074 - In reply to #21071

Stan and Jim,
My opinion is that the a strategy that allows reversing signals is preferrable.

Jim suggested a comparison between the Rev2in1 option vs. the two SB's and a Vote block change (see attachment aSJLstrDoubleDualEMA-2in1sysBx2.ots http://www.omnitrader.com/omnitrader/support/OT2004/forum/get-attachment.asp?attachmentid=2844) in post #21060).

For the past 12 months, there are 2 differences in the Dow30 between these two strategies. In both cases, it happened when the stock was relatively directionless. In both strategies, you will see (below) that both long and short signals are occurring every few days. In the 2 SB version (2in1sysBx2), the signals show as reinforcing signals, whereas in the 1 SB version (2in1sysB-Rev) the signal changes.

I don't recognize any benefit in one vs. the other. As you can see in the charts below, they give opposite signals in these two cases where there are differences. The 2 SB version (2in1sysBx2) turns out to produce a better result in these two cases (over the past 12 months). But in a 10 year PortSim, the 1 SB version (2in1sysB-Rev) produces slightly better results.




Attached file : 2010-07-10 GE 2010-02-26 signal comparison 2in1sysBx2 vs 2in1sysB-Rev.png (38KB - 480 downloads)
Attached file : 2010-07-10 WMT 2010-02-10 signal comparison 2in1sysBx2 vs 2in1sysB-Rev.png (38KB - 476 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/11/2010 11:41 AM
Post #21076 - In reply to #21071

I do see the benefit of the two system setup as it offers you more flexibility. Say one system can have reversing and one system don't. One system can be used for long entry and one for short entry with different system parameters.

"Use reversing signal" is important for a relatively rapidly swinging market and it should be implemented only as a last resort in my opinion. The key is to create a system that is reliable to your spec without having OT do 'optimizing' and 'reversing signal' for you. We don't want variables because then our thinking will be variable... as in we are trying to compensate for that with 'Oh, if OT said this and we thought opposite by looking at the chart, then...." This is where we can get lost because of conflicting signals. This is okay when we manually enter our trades and make final decisions but if we implement OT to use Integrated Brokerage entry... then it may not be our liking.

In all these years I have been doing technical analysis, the structure for system must be simple and close enough to what you need. I just never forage into strategy programming. When we see our chart, we know what to do instinctively, yet sometime we betray our knowledge and at time it is exhausting to screen all potential stocks. That is why I have decided... uh... 15 years later... that I must implement strategy programming to make my workload easier.
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Steve Luerman

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/11/2010 12:08 PM
Post #21077 - In reply to #21076

Hi Stan,

Both the 2 SystemBlock strategy, and the 1 SystemBlock strategy Using Reversing Signals are very close to the same thing. In both strategies, reversing signals are getting through faster than in the original/starting strategy. In both of these modified strategies, the reversing signal is not inhibited by the earlier signal being active for N-Bar=20 and enables the possibility of recognizing more quickly a change in direction. I wouldn't characterize that choice as an optimization. (I think of optimization as the process of letting OT run through a set of parms looking for that set which produces the best result for the input. That's not what we're doing at the moment, although I did stray into that territory by comparing PortSim results. But in my defense, I did that to see whether the strategies were equivalent over a longer period than 12 months.) The DoubleDualEMA crossover system is still firing the signal. The question is whether OT should or should not allow a reversal in the stock to be recognized ASAP, or hidden for up to 20 days.

In all cases, once a trade is entered, it is not exited until the N-Bar=10 exit triggers. So, all we are currently trying to do is develop a a good entry signal.

But bottom line, if you prefer to stick with the more basic strategy as a starting point, without reversing signals, I'm fine with that as this is a learning exercise, and this started as your thread. :^)

Steve
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/11/2010 1:34 PM
Post #21078 - In reply to #21077

Reality check, guys. Forget about the term "reversing" - think of it as an input field that permits all possible signals to get through. We could just as well have used N=1. I suggested Rev over N=1 so that later if we want to do some param optimization, the NPP would be an avail field.

We are not yet really trying to improve the strategy, but rather are seeking to investigate alternative means of modeling the same thing. It's a discovery process. I think that using the simple model rev2in1 for now is the best for moving ahead. We have very usefully identified several means of using the tools - that's why I'm here. Ready to move on?
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/11/2010 1:37 PM
Post #21079 - In reply to #20962

Yep, let's move on.
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Steve Luerman

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/11/2010 1:41 PM
Post #21080 - In reply to #21079

Ditto
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/11/2010 2:43 PM
Post #21081 - In reply to #21080

OK great. But,sorry, I gotta run. Sundays are busy church days for me. Will try to het back atcha this evening.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/12/2010 7:47 AM
Post #21086 - In reply to #21081

Back in the saddle ...

First, I owe Steve a (belated) response to the strategy he posted a while back, that separated the processing into one System block that created only Long signals, and another SysB that did only Short signals. These are connected to a Vote block that takes simple votes of the results, with the same 5-day lookback that we've been using.

Both of Steve's SysB's are otherwise identical ... they have the "2in1" approach (both slow and fast MV2 active in one block), and both use the Number of Bars = 20 cutoff, and NO reversal checkbox.

There was one small discrepancy between that strat and our others ... it used a Market On Open exit. I've modified it to be MOC, and attached it here.

The DJ-30/12-mo eval showed only ONE discrepancy between this strat and the Rev2in1, in GE at the end of Feb09. This period of time is CLEARLY a tight consolidation, where no one would be likely to enter a "real" trade based on these systems. A filter could be built to reject trades like this ... but that's a jackrabbit that we'll not chase.

As Steve pointed out, using the "Double" approach (two sep sys blocks) offers more versatility for optimization (either automated or via Strat Wiz) ... and it's common "wisdom" that short and long trades act differently, so this is a great technique to remember ... WHEN one gets around to tweaking parameters (and we ain't quite there, yet :~)

So, save this one for later. Thanks, Steve!
Attached file : aJDgyDblDualEMA-SvsL.ots (780KB - 182 downloads)

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Jim Dean

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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 ...
Attached file : aJDgyDoubleDualEMA.ots (744KB - 195 downloads)
Attached file : aJDgyDualEMAconf-0-5.ots (772KB - 180 downloads)
Attached file : aJDgyDualEMAconf-5-0.ots (772KB - 176 downloads)
Attached file : aJDgyDualEMAconf-5-5.ots (772KB - 201 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/12/2010 11:50 AM
Post #21091 - In reply to #21088

Hmm ... no responses yet ... a whole three hours ... you guys must actually have a "life", huh? Seriously, tho ... I need to keep moving forward in the chunks of time that I have avail. So ... I'll add one more "assignment" to the queue for you to chew over - but FIRST please, address the question in the prior post. Thanks.

And ... again ... if any of you "lurkers" out there want to jump in, feel free ... but ONE proviso - please READ THE PRIOR POSTS, all the way from the beginning, and absorb them, FIRST. I want to keep the "flow" going forward if possible. Thanks!

Steve - please check your Private Mail inbox.



Moving further, working on the Confirm Block ... using the "5/0" input per our original case ..

You may have wondered, when I originally set up the Confirm Strategy, what rationale I used to split up the two variations of the MV2-C system. That is, the "fast" 5+20 version ended up in the System Block, and the "slow" 10+40 version ended up in the Confirm Block.

Why not the other way around? Does it matter? Hmm - sounds like another experiment is in order!!

Set up two strat's, both using N=20 (not reversal), and both using 5/0 for the Confirm Block input. One strat has 5+20 in SysB and 10+40 in ConB, and the other has 10+40 in SysB / 5+20 in ConB. I've made it easy for you ... the those strat's are (the first two) attached.

Do the DJ30+12mo walkthru comparison of these, versus the venenerable DoubleDualEMA (avail for download in post below). Do you find any differences? Which of the ConfirmB strategies emulates the DDE strategy the best? Hint: INTC.

Check out the expanded votelines and provide an explanation as to why one approach is better than another.

THEN "for extra credit" ;~> ... do the SAME THING for those two variations of the Confirm strategy, USING REVERSAL logic ... compare these to the Rev2in1 strategy. I've attached those three strat's as well, to speed things up for you ... I presume that by now you know how to make the mod's yourself.
Attached file : aJDgyDualEMA-FSconfirm.ots (772KB - 201 downloads)
Attached file : aJDgyDualEMA-SFconfirm.ots (772KB - 164 downloads)
Attached file : aJDgyDualEMArev-2in1.ots (744KB - 165 downloads)
Attached file : aJDgyDualEMArev-ConfFS.ots (772KB - 199 downloads)
Attached file : aJDgyDualEMArev-ConfSF.ots (772KB - 201 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/12/2010 8:28 PM
Post #21105 - In reply to #21091

I actually did check the post this morning. Some errands had to be done and then a little nap...

The after signal of 5 is similar to setting Vote Box lookback of 10 days for the CB and SB to confirm each other. With the lookback of 5 bars it only allows the twos ystem 5 bars (days) to confirm each other to fire a strategy vote.

With the confirm box, since there is no way to get the confirm system to confirm with the System Box for the Vote Box to fire a strategy vote signal.

Therefore, the confirm box has both the SB and VB functionalties together to allow just as much flexibilities as separate system box and votebox.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/12/2010 8:49 PM
Post #21106 - In reply to #21091

The 5-0 strategy and FS strategy is the same except for reversing signal activated in CB. With the reversing signal, it fired off strategy vote signal in INTC wheresas without reversing signal in other strategies fired absolutely no signals for entire year.

However, on other stocks, it went from some long and short signal into absolutely no signals at all for entire year.

FS and SF strategy makes no difference in the strategy vote line. It doesn't matter if you set the fast system first or the slow. They both fired same signals.

The 5-0 strategy is the same as DDE strategy.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/12/2010 9:03 PM
Post #21107 - In reply to #21091

As for saying no signal for entire year... I didn't realize I was viewing early charts... 2008-9 periods.

Now to current chart. there is a slight difference between the FS and SF voting signal... only on some but not all.

The rev2in1 and FS strategy is same exact voting signals.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/12/2010 9:14 PM
Post #21108 - In reply to #21091

As far as saying one strategy is better than another... I find it difficult to say with is better. It is practically about the same due to the signals that was wrong for the trend and ends up in loss... and other strategy has some good profit but also has losses that brings it to zero.

As for the variation in strategy votes on FS and SF strategies. The SF is somehow a bit better. For medium term trades, having a long term signal in bull run is better before the short term system fires a long position.

I am speculating that for short term traders, this may yield too few trades. Then again, the focus of this lesson is to teach us how to implement a strategy... learning what each function does... This is not the lesson to show all the secret holy grail for everlasting profit.

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Steve Luerman

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/12/2010 10:52 PM
Post #21109 - In reply to #21088

Yes - I do have regular job (and other responsibilities) so I may not be able to respond on a regular basis. But don't wait for me.

I'm not quite sure how to express the result, but I'll give it a try.

ConfirmBlock (5-0, 0-5, 5-5) experiment results demonstrate that the CB "expands" the SystemBlock results forward and backward. That is it opens up the SystemBlock signal window.

Example: In our test, we have a VB 5 bar lookback. So, once the SB fires, the opportunity window is open for 5 bars from the initial signal for the next 5 bars. The CB 5-0 (5 back, 0 forward) adds 5 bars to the front of that window, and 0 to the end of that window. So, with CB 5-0, IF the CB fired 1 to 5 periods before the SB (or anytime during the VB 5 bar lookback), it would pass the voted signal through.

Or alternatively, if we had a CB 0-5, it is similar (but not the same) as setting the VB to 10 bars, extending the SB signal window by an additional 5 bars.
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Steve Luerman

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/12/2010 11:26 PM
Post #21110 - In reply to #21091

I'm actually surprised at how few differences there were between the FS vs SF (both non-reversing and reversing versions).

You asked "Which of the ConfirmB strategies emulates the DDE strategy the best?" The FS strategies emulate the rev-2in1 the best.

Which is better? Hmmm. Let's just say that with my current view of the market, I would expect the FS strategy to be better because it fits my personal view of the world which is to look for a signal, and then wait for it to be confirmed, rather than have a "confirmed signal", waiting for the "signal" to arrive. That is to say, I prefer the horse before the cart, not the other way around. (But I'm willing to change my market-view given sufficient good evidence that the cart before the horse makes more sense.)

So, bottom line, a "fast" signal confirmed by a "slower" confirmation block makes more sense to me than the other way around.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/13/2010 5:06 AM
Post #21112 - In reply to #21110

Thanks for your thoughts on this, S&S. By and large, I agree with your observations and conclusions, however let me toss in some additional specifics ...

First, in my various "hints", I indicated which symbols showed DIFFERENCES between the strat's being compared. I trust that y'all saw those differences, and realize that the FS and SF strats DO produce different vote lines, as do the 5/0 and 0/5. Adding Reversals to the picture - same conclusion. For each of those variants, there ARE differences.

Stan expressed the 5/0 thing in a useful way ... it's sort of like "extending the Vote Block" lookback. However, OT requires a Vote Block, so we cannot remove it :~) ... also, let me add a caution that the two are ONLY equivalent in CERTAIN (very simple) strategies ... you can have much more complex configurations for the VB or for the CB ... multiple "rows" can feed either or both of them, etc yadda yadda. So ... think of those two lookback inputs (VB and CB) separately.

I'm not quite sure if all the goals of this "exercise" were met ... my purpose here, besides just showing some interesting stuff about Confirm Block options, was to try to "train" you to be slow and careful and very deliberate about how you check out stuff like this. I realize this is not "natural" for many/most people, but it's a valuable trait for trading. The better you understand your tools, the fewer mistakes you will make (known or unknown), and the MORE CONFIDENCE you will have in them. Psychology is a key ingredient to successful trading.

So, I'm attaching a snapshot that I put together, to help illustrate what is going on when the CB inputs are changed from 5/0 to 0/5 to 5/5. It shows three symbols that had DIFFERENT responses to the inputs, and expands the votelines to show what's going on.

I had asked: 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?

Maybe the question, much like the Help manual, was unclear :~( However, I believe that it is very helpful to realize the "Signal" being referred to in those labels is the VOTED SIGNAL ... ie, "Bars After Voted Signal" or "Bars Before Voted Signal" would offer clearer understandings. But, maybe that's just me 8~>

*I* think the graphics speak for themselves ... but if this raises some additonal questions, please ask them! That's why we're going through this process. Thanks for hanging in there!


Attached file : Confirm Before vs After Signal.png (192KB - 449 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/13/2010 6:08 AM
Post #21113 - In reply to #21112

OK, regarding the second variant-option I raised yesterday, FS vs SF ... that is, if a SB+CB combo is used, and if one MV2 is assigned to each ... should the "fast" MV2 (ema5 crossing ema20) be first, in the SB, or should the "slow" MV2 (ema10 crossing ema40) take the driver's seat?

There ARE differences. Let me emphasize that ... even though maybe in our limited DJ30/12mo comparison not many showed up, that's a very small sample. And, when the expanded votelines are engaged, we can use them to see what's going on behind the scenes. And that is the point of the exercise. We are NOT trying to figure out which gives "better" signals ... but rather WHY they give DIFFERENT signals. This question of "WHY" is so VERY important to learn to use!! I teach a lot of people about a wide variety of things, and I've noticed HOW HARD it is to get people to ASK questions, these days. Let me encourage you to cultivate the art of asking questions. It requires you to examine things closely, and actually think about them. It encourages intelligent creativity. It helps a trader continually improve their track record. OK ... end of sermon (for a while ;~)

The first snap shows the (single) example from the DJ30/12mo search that showed FS different than SF, for non-reversing systems. Look it over carefully ... make sure you understand WHY, from the detail on the voteline, FS fired but SF did not fire.

The three following snaps show examples that use the Reversing flag ... this produces more signals, so more differences show up. Note the comments in red on the right side of the chart, in each case.


Attached file : Confirm FastSlow vs SlowFast.png (242KB - 428 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/13/2010 6:37 AM
Post #21114 - In reply to #21113

Unless you have some additional questions about the CB, I'd like to suggest that we decide our future direction regarding its use, now.

First, the Reversing option (or presumably the N=1 option we spoke about a long while back) simply provides MORE signals ... and the N=20 "lockout effect" might be useful for keeping our charts & examples "cleaner" (see the first chart vs the other three, in the last post). I suggest we move ahead with the investigations using N=20 at first, but adding Reversing to check for additional patterns and to confirm our initial conclusions. My leaning would be to use the Rev or N=1 approach for our "final" strat template ... since there is no logical rationale (that I can think of) for creating an arbitrary N=20 "signal lockout" zone.

Second, the 5/0 vs 0/5 seems to be obvious. Our tests were run with the FS combination, and as such, the 5/0 clearly was a better "match" to the DoubleDualEMA strat that is our "control" for the testing. Let's not forget that, long ago and far away in the original post that started this thread, the request was for a strategy that used two instances of MV2-C in conjunction with one another. 5/0 (with FS) matches that. If you were curious (I was), you might have tried out 0/5 with SF, to see how it performed vs the DDE. We did not show the charts ... but I skipped over it since it was a poorer fit. Following from that ...

Third, we saw that FS matched DDE, but SF did not. So, FS (5x20 in Sys, 10x40 in Conf) is the way to go. More importantly, it MAKES SENSE! The Fast pair will fire FIRST ... and our Vote Block "extends" that firing impact a ways further ... and our Confirm Block "reaches back" to find it. Again ... on some tests I did separately ... reversing the order, and changing the CB settings to 0/5 (or even 0/10 with VB=0) did not perform acceptably).

So, hopefully these conclusions MAKE SENSE to you now, in relation to HOW the strategy-logic is actually functioning. I hope that these "lessons" will give you a better "gut feel" for the purpose and mechanisms of these blocks we're working with.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/13/2010 7:13 AM
Post #21115 - In reply to #21114

Moving AHEAD (hoorah!) to something NEW ... the Filter Block.

We will construct another variant of the DDE now, using a Filter Block INSTEAD of a Confirm Block. We'll put one of the MV2 pairs into the FB and leave the other in the SB, and see how that works. It WILL be different!

Strictly speaking, by doing this, we are moving outside the bounds of the original post. However, it is useful to check it out ... oft-times our original ideas need to be massaged a bit, even at their foundational levels ... or, at least, we should investigate alternatives to see if the foundation is actually a sound one.

It's worthwhile to read the Help sections about Filter (and Confirm) blocks. The primary distinction between them is that Confirm focuses on a POINT-EVENT in time ... the moment that the confirm-system fires ... but the Filter looks at a STATE/CONDITION that might last for a long time.

Since the original request was for two systems that fire at POINTS in time, I did not discuss the Filter Block. However, it's worth a look ... maybe the CONCEPT that originally was requested could be better handled with a Filter plus one System ... OR, maybe the DoubleDualEMA pair would be improved by a Filter, somehow. We'll wait on that second idea till later, though :~)

The "state" that the Filter will be testing is of course the relationship of the two EMA's to one another. If the faster of the two EMA's is on top, it's bullish ... and bearish if it's on the bottom. This is commonly referred to as "STACKING" ... what order are the EMA's "stacked up" on the chart. The Guppy strategies have this (as well as crossovers and other things) at their core, fwiw.

SO ... you should be able to do this in your sleep now ... let's once again use the DDE as our basis, and create TWO new strat's that use FB's ... the first strat will have the 5 & 20 (fast) EMA's in the Filter, and the second will have the 10 & 40 (slow) EMA's in the Filter.

But, this time, BEFORE we do the experiments, let's stop and THINK about which approach will "likely" work better ... but let's not get "married" to our presumptions (KISS "methods" without experimentation to back them up are often a KISS ... of DEATH ;~)

The filter is checking a "state" based on the stacking of two EMA's. AS LONG AS that state is true, then any signals that hit the filter are allowed to pass through it. Keep in mind that the signals that come INTO the filter are NOT a "state" ... they are points in time. Yes, the Vote Block lookback can be used to "stretch" that point out (our 5-bar setting is reasonable for those param's, IMO) ... but if the filter state is OFTEN DELAYED in its appearance till AFTER the system-signal fires, then the signal gets lost.

Maybe we want that ... maybe not. Let's assume, without being sure, that we DON'T want to "lose" any signals from the System block. That would mean that it would be better for our Filter "state" to "open up" BEFORE the SysB signal occurs. So, that means the "fast" 5+20 EMA pair should be in the Filter, and the "slow" 10+40 EMA pair should be in the System.

Our "prediction" on the basis of this reasoning is that the strat set up with a "fast" filter will be closer to the DDE strat than one which has a filter using the slow 10+40 EMA's. This prediction, btw, is often known as a "straw man". We set it up to scare away the scavengers ... but also to use as target practice. Sometimes, it falls apart upon examination. Other times, we actually decide to dress it up with some coverals and a hat and maybe even a corncob pipe.

Here are the two strat's for you to compare ... activate them with the DDE and find out which is closest in how the Vote line appears, for the DJ30/12mo test-bed.

Hint: this is a no-brainer. Enjoy it while you can!


To help you along ... please don't shortcut taking some time to review how a Filter Block is set up. The snapshot highlights some things that many folks overlook ... how to Rename, and most especially how to set up adjustable Parameters. Please ask any questions that come to mind!



Attached file : aJDgyDualEMA-FiltFast.ots (744KB - 206 downloads)
Attached file : aJDgyDualEMA-FiltSlow.ots (744KB - 169 downloads)
Attached file : Filter Block in Strategy.png (93KB - 435 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/13/2010 10:30 AM
Post #21119 - In reply to #21113

In the FS and SF, by using the confirmation box, you are making:

1. System in the System Box, the First priority that has higher ranking than the system in Confirmation Box.

2. The system used in Confirmation Box is now the 'confirming' system that would only fire appropriate signal based on the signal from System Box.


That is a big difference.

Whereas two in one or double system box before the voting box, they have "equal" power. Therefore, in your term "not implied" of priority.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/13/2010 10:47 AM
Post #21121 - In reply to #21112

XOM: The 0-5 and 5-5 triggers a signal because the 5 bars after the signal confirmed with system box signal.

IBM: No signal were generated because 0-5 specification eliminated any 'before' signal confirmation.

KO: In this case the 5 "after" signal specification fired off a confirmation signal. The 'reinforced" signal on conrimation system is also counted for the confirmation voting process using the "before" signal specification.


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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/13/2010 1:26 PM
Post #21127 - In reply to #21114

I understand the Filter Block... it is very simple and as the matter of fact, the ability of the filter block is why I posted on this forum. I saw something similar to filter block of if one EMA is lower than another... short... etc.

Back to the point... Jim, how come you set the Lookback in the VB to 0? I was trying to understand why the signal won't fire when they concur with each other.

Now it makes sense to me about the way the filter block woeks. The lookback period is still required to get a long/short strategy vote signal, unless it is perfectly lined up with each other.

I also noticed for the filterFast, you set the FB to 5/20 and SB to 10/40. For the filterSlow, you reversed it rather than keeping the SB the same in both cases. This also makes it a bit harder to correlate the fast and slow.

I think I blew a few brain cells trying to decipher your lessons... but all is good because those are 'blockade" brain cells. LOL.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/13/2010 2:51 PM
Post #21131 - In reply to #21127

Stan ... GOOD CATCH!

Your question in the last post re VB Lookback=0 pointed out something that I should have thought of. For the FiltSlow strategy, the 10+40 stacking sometimes does not "turn on" until a few bars AFTER the 5x20 occurs. So, it makes sense to extend the System Block vote by the same 5 bars that the DDE used, so that the two EMA-pairs have a chance to "line up" in similar situations where DDE would have seen them that way.

Please change the FiltSlow strategy to have the VB Lookback = 5, instead of zero, then do the DJ30/12mo comparisons once again

OTOH, in "normal" situations where a TREND is getting started, after a sufficient run in the opposite direction to build up some "pressure" from traders to move in a different direction, one would expect that by the time the 10x40 System-signal occurs in a FiltFast strategy, the 5+20 stacking would already be in place ... so the VB bars=0 makes more sense, there.

HOWEVER, there are other situations where even though 10x40 has just occured, the 5+20 is not stacked properly. This can happen during a tight consolidation, where basically all the lines are "mixed up" ... or during a pullback pullback after a sufficient short-trend had driven the 10x40 to hit. In the former of those cases, *I* would prefer NOT to enter the trade. In the latter, I *might* want to enter the trade, but I'd look closely at resistance levels (and some other things) before doing so. So ... presuming that my theorizing is valid, I'd choose NOT to "extend" the 10x40 system-signal for extra bars ... I'd want to see the 5+20 stacking already in place ... and I'd probably add another filter to see if the 5 & 20 are sloped up (but that's getting ahead of ourselves).

So ... if you'd like, go ahead and test the FiltFast with VB bars=5 also ... but look CAREFULLY at what ADDITIONAL trades it creates, and see if those entry points are ones that you likely would have taken.

Re your comment about the filterFast and filterSlow being mirror-images ... that's the whole idea of the test. Hopefully after some of my comments above, it's a little clearer now.

Let me know what the modified FiltSlow looks like ... and which of the two (Fast or Slow) appears to you to be the best emulator of the DDE.

Both of the Filt strat's will permit EXTRA trades. Our primary goal at this point is to figure out which one ECHOES as many of the DDE trades as possible ... we can consider the "extra" trades separately.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/13/2010 9:04 PM
Post #21136 - In reply to #21131

Both SB in the DDE needs to be set to Use Reversing signals... it is only fair that the filtFast and filtSlow SB also used Reversing signals.

With above correction. The filtSlow is closely matched to DDE with extra signals.

I concur with the decision not to employ lookback on the filtFast.

I really like the filter box... these opens up to more controls that I am looking for. It seems like we can only put in one instruction per Long and Short position in the FB? I am asking because I was thinking of using the third EMA parameter to further refine the filter box commands.
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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/13/2010 10:33 PM
Post #21137 - In reply to #21136

My mistake - sorry - the OTS files should have had REVERSE turned OFF for all blocks ... well, at least all the SYSTEM blocks. If you look more carefully at the snapshot I uploaded for the FB, you'll see on the bottom right that the entire Performance area has got a relevant red note on it.

The purpose was to keep DDE untouched ... please return it to the non-reversing condition for future use. My intent was for both FiltF/S System blocks to use N=20 with NO reversing. Reason, as described earlier, is to keep the charts as simple as possible for careful comparison.

Even with the simplification, and even if we ignore the many "extra" trades, there are a LOT of differences that the FB introduces, vs the "control" DDE strategy. Please fix the system blocks (remove Reversing), and go thru the DJ30/12mo to carefully compare these 2 Filt strats to the DDE.

I found TWELVE differences, across TEN symbols (ie 12x when DDE fired, but one or both of the Filt strat's did not, or fired differently) ... a HUGE variance, compared to what we've seen before. Neither of these Strat's is equivalent to DDE.

Check for yourself ... how many cases did you count - s/b 12 unless I made a mistake ... of them ... how many:
1. FiltSlow matched DDE but FiltFast didn't
2. FiltFast matched DDE but FiltSlow didn't
3. Neither FiltSlow nor FiltFast matched DDE

Although you will see one of those as a max, and another as a min ... none are zero. Personally, I don't think that's a clear enough sampling to draw conclusions from.

Be very careful about using poor statistical samples as a basis for making major decisions. Strictly speaking, you cannot even calculate a reasonably accurate standard deviation with less than about 100 samples ... and even if the "distrib" of the samples is "perfect", less than about 30 is nearly meaningless.

So ... what should we do from here, to decide which approach is better?
a. One path would be to THINK about the two alternatives ... which one fits our "theoretical" idea best of what we want to trade
b. Another path is to check more samples ... comparing the reversing version of DDE to versions of FiltF/S with reversing in the SB's
c. A third path is to examine the EXTRA trades more carefully

I'm attaching the three reversing-version strats if you'd like to pursue option b ... goal would be to answer questions #1-3 above for that set. I've already done a pretty decent job of talking through option a ... but I'm not sure it was clear enough (see prior posts). Option c could be evaluated simply by checking how many of the extra FiltFast trades were profitable, vs how many of the extra FiltSlow trades were profitable ... for the non-rev set separately from the rev-set.

Getting tired yet? Hey - this is the nature of the beast, if you want to really gain useful understanding. Quick conclusions can be more dangerous than no conclusions at all. I'll keep trying to help, for as long as y'all want to keep digging in :~)

Partial Results from reversing-set: I found that 26 (of 30) symbols had some mismatches with DDErev2in1, and there were a whopping 56 trades that did not match up. See if you can provide the breakout:
1. revFiltSlow matched DDErev but revFiltFast didn't
2. revFiltFast matched DDErev but revFiltSlow didn't
3. Neither revFiltSlow nor revFiltFast matched DDErev

Attached file : aJDgyDualEMArev-2in1.ots (744KB - 209 downloads)
Attached file : aJDgyDualEMArev-FiltFast.ots (744KB - 225 downloads)
Attached file : aJDgyDualEMArev-FiltSlow.ots (744KB - 189 downloads)

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Jim Dean

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/14/2010 12:00 AM
Post #21138 - In reply to #21137

OK ... I'm going to presume you will do the counting exercize ... you should be providing SIX numbers per the requests of the last post ... this will simply duplicate the work I've also done ;~)

I've tried to emphasize the importance of LOOKING AT THE CHARTS. Do simple counting exercises. Look at them from the right, left, top, bottom, green vs red, and so forth.

ONCE that is done, and you've obtained a visual-feel for things, THEN it can be useful, especially in cases like this one where there is no clear answer (between Slow and Fast versions) immediately obvious ... to look at the BackTest reports.

Simple instructions:
1. Don't use PortSim for this ... its extra features don't apply yet
2. Set a fixed backtest period that matches your eyeball reviews
3. Use the same Focus List as your eyeball reviews
4. Test one strategy at a time and save the Results (delete fwd test info)
5. Compare simple stat's first, then drill deeper

The three snapshots below are the Summary Performance+Detail Reports for each of the three Reversal systems that you last checked ... which clearly had enough trades in the 12mo period to be meaningful statistically for simple conclusions.

These reports can seem overwhelming due to their very "busy" nature ... it's a useful format, but you have to sort of "dissect" it the first couple of times you look at it so that you don't get cross-eyed.

So, first off ... I set up the backtest period (using ToDo > Test Settings) to be a FIXED period of 7/1/09 through 7/13/10 ... the same as my eyeball. The fwd test, for these purposes, is not necessary since we are not optimizing or tweaking anything.

This allowed me to CHOP OFF the RIGHT HALF of each of the two reports ... simplifying them. Ahhhhhhh! :~)

Then, I highlighted the THREE MOST USEFUL NUMBERS (imho) in purple, blue and green. NOTICE how those numbers are REPEATED, over and over, in each pair of reports. Finally, I highlighted three more rows of numbers on the Detail report (in red) that I consider reasonably valuable at this stage in the game.

Most of the other non-highlighted numbers, FOR THESE PURPOSES, are either redundant or effectively meaningless (for a variety of reasons). They all do have merit in other circumstances, however.

So ... spend some time with these reports. COMPARE THE NUMBERS - just the highlighted ones. Look back at the statistics you compiled regarding how the two Filt strats "matched up" with the DDE strat.

NOW ... can you draw any useful conclusions?











Attached file : DualEMArev-2in1 DJ30,12mo.png (226KB - 508 downloads)
Attached file : DualEMArev-FiltFast DJ30,12mo.png (227KB - 469 downloads)
Attached file : DualEMArev-FiltSlow DJ30,12mo.png (224KB - 485 downloads)

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/14/2010 12:55 PM
Post #21141 - In reply to #21136

I think we are starting to confuse everyone with your file attachments.

In beginnning of the filtFast and filtSlow, I mentioned that you got "reversing signal" set on. Which you actually want them off.

Then you attached new rev-filtFast and rev-filtSlow, in these strategies, you did turn off the reversing signals in the SB but not in FB... which I believe is why you have "rev-" label.

Even I am getting confused at this point.

I am turning all 'reversing signals' off in SB and FB because I want to see what the system does. I don't want to see those extra reversing signals which is making us all confused. This is for filtFast, filtSlow, and DDE strategies only.

I know you want us to understand and chose our options carefully, but without fine tuning the basic system and strategy set peoperly, any 'options' we chose is going to alter the whole progress of trying to find the right system to start off with.

For example, using the 5/20 and 10/40 is set that way so we are all on the same page. And using 'options' such as 'reversing signals' to look see if it is better or worse. Setting lookback periods, before signal and after signal in FB are extremely important settings. Setting N-bar of 20 or 1 is important too.

What we haven't explore is setting N-bar to 30 or 40 in the system box. Some of us may have already done so for look see.

If the basic system is not working well, then all tweaking and setting sill still not get us good result. Yes, they will be 'different.'



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Jim Dean

Posts: 2820

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

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/14/2010 1:06 PM
Post #21142 - In reply to #21141

Here are the answers to the "assignments" I gave, for the record, regarding the degree to which the Filtered strat's match the DoubleDualEMA strats, using a testbed of the DJ30 for 12 mo's ...

First, for the ones that don't have Reversing active:
3 instances - FastFilt agreed with DDE
6 instances - SlowFilt agreed with DDE
4 instances - neither SF nor FF matched
* conclusion ... there's no reliable correlation for S or F

For the ones that do have Reversing active (cp to rev2in1):
26 instances - refFastFilt agreed with rev2in1
27 instances - revSlowFilt agreed with rev2in1
3 instances - neither revSF nor revFF matched
* conclusion ... SF and FF are just not "equivalent" to DDE

-----

Stan:

If you're getting frustrated then I'm perfectly OK with calling a halt to this.

I indicated that the Reversing flag in the Filter block has NO effect on how the Filter Block works. I referred you to the graphic that I created.

Yes - this method of training is difficult and limiting. The file attachments are provided to make it easier for you, but sometimes I do make mistakes, so I try to correct them.

My preferred method of training is by videos ... followed by forum discussion about the videos. Things can be covered a lot more efficiently and quickly that way. I'll be covering all this stuff, and more, in future AOTC sessions. I was just trying to do my best to help out here, for the community at large.

However, if it's getting too confusing ... or if the time required to do the carefully-structured "research" is asking too much of you, then maybe it's best if we call it a day. It's been taking me roughly two hours straight for each installment, on the average. So, if y'all don't have time to do the followup ... or if my presentation is just too difficult to follow ... then I'll use the time in other ways.

Up2U.

One way or t'other, I hope that what we have covered has been helpful to you, and that it will make you more effective in your future efforts.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/14/2010 2:08 PM
Post #21144 - In reply to #21142

It is not the frustration that is bothering me. It is not the time and effort that is bothering me either... I spent lots of hours deciphering what you are trying to teach me. At time, I step away from computer and my brain keeps on trying to resolve the misunderstanding.

Some of your individual post takes me far longer to understand which is why I posted some time later if not by evening to figure out.

You are teaching me far more than I can believe. I think these materials on this post should be in a book.


For others:
To get the reports that list all the strategies selected... go to File... Print reports... Strategy tab... print or view.

Looking at the report, it makes it easier to see which strategies are 'better" than other, of tall the latest strategies... rev-filtslow is the best. For the rest of the strategies, it is what I thought... breakeven or loss.

Please continue...
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Jim Dean

Posts: 2820

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

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/14/2010 2:40 PM
Post #21146 - In reply to #21142

I think we've probably reached a good "intermission" point in this marathon. I'd like to clarify a few specifics re recent posts, but also lay out a 10,000-foot view of the additional "steps" that I will (eventually) cover, one way or t'other.


First, clarifications:

1. The last five OTS files I uploaded are CORRECT, for the purposes I outlined. I provided an explanation as to why. It *is truly confusing* if we start working on the basis of different strat-definitions - that's why I provided them. If you change them, then we're no longer working together ... and I've already, at that point, put in a lot of effort using the ones I uploaded.

2. To be absolutely clear ... and you can see for yourself ... the "reversing" checkbox **in the FB** has NO effect one way or the other on the strat performance. I've explained the "normal" purpose of the reversing block is for optimization ... we are not using that now.

3. I've explained (and "sermonized") enough about understanding overall structure first, before tweaking the details. That's why I've consistently steered the discussion away from changing parameters ... or, for instance, from playing with N=## values, or Lookback bars. There are other things that logically should be addressed, first. "Parameter-playtime" has an essential place in the process ... but not until the basics are fully understood. At least, not in my playbook. ;~)



Here are some additional overall-structure alternatives worth dealing with, BEFORE playing with parameters - this is how I'll gradually continue the process, via the AOTC video-based presentations:


a. Look at how the 2in1 system block would work in a strategy that ALSO contained either the Fast or Slow Filter block - that is, two MV2's in the SB, and also either a 5+20 or a 10+40 stacking in the filter ... or both.

b. Switch the Orders Block to a Next Pivot Point stop. This will occasion a lot of discussion about NPP's - their value and their dangers. We'll be able to use Backtesting to more usefully evaluate some of our earlier strategies at this point (with the arbitrary N=10 out of the picture).

c. Examine three alternative canned stops (using the Orders Block) that logically would "complement" the strategy thinking ... Moving Average Crossover Stop, Two Moving Average Stop, and Reversing Signals Stop. This will occasion a lot of discussion and investigations. Possibly will start looking at Portfolio Simulation at this point.

d. Extend investigation of Exits (which are btw MUCH more important than Entries) by looking at several other important "generic" Stops: Fixed Profit, Fixed Loss, Trailing Profit, Breakeven, and maybe Eighths. This will really open up discussions about the reasoning behind the uses of stops, and how MULTIPLE stops can be combined together interactively.

e. By now a more indepth look at PortSim would be appropriate, using what we've developed thus far. POSITION SIZING is even more important than Exits ... and FAR more important than Entries. A lot of investigation about the various reports and statistics, and what's safe to "shortcut" in the evaluation-process (sometimes).

f. From here the natural step is to hit the rudiments of Trade Plans, and what features they offer that Orders Blocks don't. Initially focus on different Order types, and on the structure of TP's (Steps, Rows, Conditions, Jumps, Long/Short). By this time, PortSim is in full use.

**g.** Now, finally, we'll have an adequate understanding of the OT engine and strategy, to start talking about "optimization". Duxx recently posted a question about this in the Pro forum ... it's a pretty involved topic. We'd start with a discussion about how it works, and what its strengths are, and what its weaknesses are. This will lead us into discussions about appropriate backtest/forwardtest procedures to avoid excessive "curve fitting". This is hugely important.

h. Our first exercises, for VERY GOOD REASON, WILL NOT use the "optimize" checkboxes and engines in the various blocks that we've been looking at. We will start with **Strategy Wizard** - a superb Add-on that any serious OT user should own. Any other approach would actually HURT our understanding and mislead us as to how to move forward.

i. After SW has carved a path for us, and has set reasonable boundaries for final-tweaking-optimization of parameters using the native features of the strategy blocks, we'll tie that process in to the mix and see the advantages and potential pitfalls of it.

j. Up till now, our doughty DoubleDualEMA core-systems have been our focus. The next natural step is to put together some alternative Systems and look at how the Performance Block works, and the Vote Block really starts "doing its thing". This is a powerful feature of OT ... it's not "held off" to this late because it's unimportant, but only to keep the prior activities as "clean" as possible.

k. Once the System-Voting methods are mastered and understood, then the only other major piece of the puzzle is to try out multiple-Strategy models with the voting process available to them.


******


This entire journey obviously CANNOT take place in this Thread 8~> ... and truly ... it is not sensible, practical or efficient to do it all in writing ... thus the AOTC-video approach. However, useful snippets of each major step can likely be dealt with, in a simplified way, within the OT Forum ...

So - I fully expect this to "wear thin" after a while ... hopefully this "big picture" will help you put the "tweak the parameters" urges into perspective - in light of the presumed goal of REALLY USING the broad capabilities of OT.

... and there is SO MUCH MORE ... OT Pro custom indicators, systems and stops, OmniScan, the new MTC Setups, Seasonality and Group Trader, many other Systems and Strategies, etc ... by the time all that we have now is really absorbed, Nirvana will have created a couple dozen MORE. Wheeee!


Maybe now is a good time to call a "rest stop". It will give time for anyone who's interested in this discussion to go back over it, and play with things as they choose. Besides, I need to focus a bit more time for a while on some AOTC work ;~)

About that - we've just gotten our brand-spanking new Forum in place, and I'm going to shift many of these kinds of extended presentations to that venue, since it's been **intentionally structured** for educational and knowledgebase use. As we "grow" its content, the entire N community is welcome to visit ... either to "lurk" or actively participate ... the more the merrier :~)) ... see the link, in my signature below.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/14/2010 9:15 PM
Post #21150 - In reply to #21146

"2. To be absolutely clear ... and you can see for yourself ... the "reversing" checkbox **in the FB** has NO effect one way or the other on the strat performance. I've explained the "normal" purpose of the reversing block is for optimization ... we are not using that now."



Confirmed by visual and strategy report.
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Jim Dean

Posts: 2820

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

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/14/2010 9:48 PM
Post #21152 - In reply to #21150

Thanks for confirming that, Stan ... the process of checking it out for yourself is ALWAYS the best way to go.

Djenfer ... please check your Private Mail inbox. There's much more to the issue than you are aware of. And, for the record, I FULLY AGREE with you that it would be WONDERFUL if OT's Orders Block and Trade Plans block really did WORK that way (MOC at the end of the Setup bar) ... with real money, for real trades, using Integrated Brokerage ... at the HRE ... but they currently don't - and that is "by design" - N's design. Currently, anyway :~/ My desire is to have backtest and portsim info *accurately mirror* what OT *actually does* in real live trading, as opposed to it reporting test-performance that *differs* from real live trading - especially if it might be biasing the results (inadvertently) in a positive manner, by doing so. But, once again, *I do STRONGLY agree* with you that the MOC order should be applied at the end of the Setup bar, as long as that and function consistently works the same *across the board* in all aspects of OT's operation ... so that the entry ACTUALLY is sent TO THE BROKER (by OT's engine) at that time (end of the Setup bar), when a strategy is used for live, real-money trading. This goes for both EOD and RT, btw. The plain, tested, "by design" FACT is that at this point in time, OT does NOT work that way for MOC (or any other order type, for that matter) ... it does not have the ability to send any Entry orders to the broker until the first tick of the Entry bar has appeared.
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/14/2010 9:55 PM
Post #21153 - In reply to #21144

Lesson a to j... can't wait! Do you have any recommended textbook for me to review before we head into these topics? I don't remember if OT gave us any books long ago that talks about these subjects.

I find the 'Help" not helpful... I really wished there is a book for this. It is strange how powerful OT is but lacks in textbooks. I used to use Telescan super long ago... 15 years ago. At least that came with a book.

I also tried Tradestation 2000 long ago and they did give a book for that but I was perplexed at the complexity of EasyLanguage... I currently do have Tradestation but haven't forage into their strategy trading... augh!

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Jim Dean

Posts: 2820

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

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/14/2010 10:07 PM
Post #21154 - In reply to #21153

No textbook covers how to use Nirvana tools in a manner like this. In fact, very few textbooks exist that cover these kinds of things in any form at all. "a to j" will gradually materialize, in a much more effective video-training form, in AOTC. I started AOTC, in large part, to "fill the gaps" such as this. Nirvana has limited staff and limited time - they just can't afford to write books or provide indepth training similar to what I've just been doing, and **still be able** to do all the other **really cool** stuff they do. They have only a small fraction of the number of employees that companies like Tradestation have, for instance. So, some of us ... esp folks in the Nirvana Club ... try to step in and help take up the slack. Nirvana is one of the VERY FEW companies in this business that IMO is *worthy* of that kind of unpaid assistance from its customers ... the people there are all "stand-up" folks ... they REALLY CARE about producing a useful, innovative collection of tools ... it's very nearly like a "family business" ... a family that welcomes others in ... a family you can trust. That's why I spend so much time trying to help. (Also, it's FUN - usually, anyways ;~)

Please forgive the repeated mention of AOTC ... but continuation of this particular journey will take place over there ... in the future ... and I don't want to leave folks who have been following this thread closely "hanging" in the midst of the process. A pure written format is just too limiting for broad-scope topics like this to carry on for too long. Click here to visit AOTC
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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/15/2010 11:01 AM
Post #21156 - In reply to #20962

Ahh... you answered my quesiton before I even asked you where is it...
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Steve Luerman

Posts: 218

Joined: 8/19/2005
Location: Boulder, CO

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Subject : RE: Two "Exponential" Moving Average Crossover
Posted : 7/15/2010 6:43 PM
Post #21161 - In reply to #21154

Jim and Stan,
Thanks for the lesson. I have a better understanding, particularly the confirmation block and how the before/after tolerance works, and the consequences of the reversing choice in the system and confirm blocks. And of course, the start on a framework for how to approach the problem of developing a strategy that I thoroughly understand.

Sorry I didn't have the time to keep up with you two during the week.

Look forward to continuing it at AOTC.

Steve


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