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OmniTrader 2007 Technical Support
Holy Grail indicator?
Last Activity 12/7/2010 8:35 AM
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dandaman69

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Subject : RE: Holy Grail indicator?
Posted : 5/31/2007 6:53 AM
Post #12130 - In reply to #12065

Kool, sounds good, if ya have any more screen shots to post, would appreciate it...?

Cheers
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Bill Graves

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Subject : RE: Holy Grail indicator?
Posted : 5/31/2007 10:17 AM
Post #12132 - In reply to #12130

Successful EOD:

Cheers!
Attached file : Grail_20070531-EOD.png (30KB - 351 downloads)

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Bill Graves

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Subject : RE: Holy Grail indicator?
Posted : 5/31/2007 10:48 AM
Post #12133 - In reply to #12130

This one is now setting up:

Price has touched the 20 ema. At the close today, I will be placing a buy stop at 3.34. We want price to take out today's high. This is an important part of the system. Should the close today be > 3.32, I will have to adjust my order.

If we are to follow Linda's successful setup, we must wait for price to take out the high of the low bar. If we make a new low tomorrow, I must adjust my order to take out the high of that new low bar.

Please note that Price only has to touch the 20 ema.

I have noticed both in this thread and in a "grail thread" in the Nirvana Club forum, that the OmniLanguage coding is not following Linda's rules, which are posted at the beginning of this thread.

At the same time, I appreciate that every trader is free to create his own system. Progress is made through improvement. This is a natural evolution.

The trade rules I posted at the beginning of this thread are the ones from Linda's book Street Smarts. Since then, Linda has improved her own system by requiring that the ADX has not fallen below 25 at the time of execution. This additional filter, if employed, greatly improves the overall odds of success. We want to insure trend is still strong.

Best regards to all,
Attached file : Grail_20070531-2-EOD.png (29KB - 309 downloads)

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Deepak

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Subject : RE: Holy Grail indicator?
Posted : 5/31/2007 1:08 PM
Post #12135 - In reply to #12065

Hi Bill,
So the modification to the Grail rules you posted earlier on 5/20 would be to change the line you had from ADX(14) >30 to ADX(14)>25, correct?

Also on what day would you have entered ASIA based on the Grail strategy? Would you have entered on 5/17?
Thanks,
Dee
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Bill Graves

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Subject : RE: Holy Grail indicator?
Posted : 5/31/2007 1:18 PM
Post #12136 - In reply to #12135

Dee,

The original ADX(14) > 30 rule still stands.

When Price makes its swing high/low, we want the ADX(14) to be > 30 AND sloping up. The "Sloping up" check can be accomplished with a linear regression of the ADX.

When Price begins its retracement to the 20 EMA, the ADX will most likely go flat or decline. We want it to stay above 25 and be above 25 at execution.


EDIT: Dee, although the pattern is similar to a "grail setup", the ASIA trade does not qualify in two respects. On the previous swing high, the ADX was less than 30 and on 5/17 the ADX < 13. Had the ADX requirements been met, yes, the entry day would have been on 5/17 with a buy stop at 7.52.

ASIA is still a nice pattern: it is a nice bull flag. In my opinion two least risky ways to enter: (i) on a pullback close to the 8 EMA intraday or (ii) a breakout above the bull flag's high of 9.13 on 5/23 ~ a buy stop MOC above 9.13.

There is also some merrit to have entered MOO this morning based upon yesterday's bullish engulfing candle.

CORRECTION: I must correct my post from yesterday about the "bullish engulfing candle". Bullish engulfing candles are properly utilized in downtrending situations to signal a possible trend reversal. Sorry about the mispost! The price action should be more properly termed an "outside day".

Regards,

[Edited by Bill Graves on 6/1/2007 10:36 AM]

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Deepak

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Subject : RE: Holy Grail indicator?
Posted : 5/31/2007 4:00 PM
Post #12137 - In reply to #12065

Thanks Bill for clarifying that for me.

In your charts:
You mentioned there was a 8 EMA and a 20 EMA. What was the third and fourth moving averages in the price chart? And what was the blue line indicator and its settings on the price chart?

What was the moving average of volume you used in the volume pane?

And what is the Heikin Ashi Chart?

Also, I couldnt find the symbol MOO that you mentioned in your last post. Was that the symbol?

Thanks,
Dee
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Bill Graves

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Subject : RE: Holy Grail indicator?
Posted : 5/31/2007 6:05 PM
Post #12139 - In reply to #12137

Dee,

The other two moving averages are the 50 & 100 EMA's.

I cannot disclose the settings of the blue line because I signed a five year Non-Disclosure Contract. I still have about 18 months to go... -:)

Heikin Ashi: http://www.omnitrader.com/omnitrader/proforum/thread-view.asp?threadid=949

You might not have found it with a search, as the original post misspelled it. This misspelling seems to have propagated itself... -:)

The black line in the volume pane is a Standard MACD.

"MOO" stands for "Market on Open". MOC = "Market on Close"

Dee, hope this helps, Sorry about the blue line. -:)

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Deepak

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Subject : RE: Holy Grail indicator?
Posted : 5/31/2007 7:36 PM
Post #12140 - In reply to #12065

Thanks Bill for your explanation.
- Dee
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dandaman69

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Subject : RE: Holy Grail indicator?
Posted : 6/1/2007 5:11 AM
Post #12141 - In reply to #12130

Cheers for posting those charts Bill

Dan.
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Bill Graves

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Subject : RE: Holy Grail indicator?
Posted : 6/1/2007 9:38 AM
Post #12145 - In reply to #12135

Dee,

Follow up to yesterday's response on ASIA:

ASIA pulled back nicely to (actually below) the 8 EMA. Your entry there is already showing a profit.

Let's see how the day closes! -:)

Dan,

You're entirely welcome!

Cheers to all,
Attached file : Grail_20070601-2.png (32KB - 230 downloads)

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Bill Graves

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Subject : RE: Holy Grail indicator?
Posted : 6/1/2007 9:51 AM
Post #12146 - In reply to #12133

Follow up on yesterday's post 12133 re: ONT:

Yesterday at this time price had exactly touched the 20 EMA. Later, price went lower.

Looking at today's intraday chart early morning, we can see why we wait for price to take out the high of the low bar, still yesterday's price bar. That could well change by the end of today.

Conceptually, the grail trade is a "retracement/then resume" trade.

Cheers to all,

[Edited by Bill Graves on 6/1/2007 10:10 AM]

Attached file : Grail_20070601.png (28KB - 208 downloads)

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Bill Graves

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Subject : RE: Holy Grail indicator?
Posted : 6/4/2007 2:02 PM
Post #12169 - In reply to #12146

INTRADAY UPDATE ON ONT:

ONT made a new low this morning. So, today's price bar now becomes our bar to watch for entry. We place a buy stop above the high of today's close.

The ADX is still > 25 in spite of the retracement. Intraday we are at the .618 FIB retracement, so we may get some support here. A close much below this level would suggest great caution in taking this trade, especially if the 8 EMA crosses below the 20 EMA.

The important thing here is that the Grail trading rules have kept us out of the trade

Cheers to all!

[Edited by Bill Graves on 6/4/2007 4:34 PM]

Attached file : Grail_20070604.png (33KB - 202 downloads)

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Kris

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Subject : RE: Holy Grail indicator?
Posted : 6/5/2007 1:45 PM
Post #12174 - In reply to #12065

Bill,

Two questions re. your explanation of the Grail indicator, point "3. When price touches 20 EMA, place buy stop above high of previous bar":

1. Is the actual trigger level the High of the bar preceding the bar touching the EMA(20)?

2. Is there a limit of bars for how long the signal would be valid? E.g. would it be valid long signal if the price broke above the high of the reference bar 1,2,3 bars later?

I have coded the Grail system, where signal is generated if the bar touching the EMA(20) closes above the previous bar, or if the first bar after the one touching EMA(20) closes above the bar before the one touching the EMA(20). I hope I am making myself clear.

CHeers, Kris

PS. To all OT2007 Standard users. I understand that you can use custom/Pro files, but you cannot create/edit one.
Place attached file in the ..\Nirvana\OT2007\VBA\Systems\ folder, re-start OT and open the Strategy Builder. GrailSys (system) should be listed in the [Systems] block/table.
Attached file : GrailSys.txt (1KB - 282 downloads)

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Bill Graves

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Subject : RE: Holy Grail indicator?
Posted : 6/5/2007 5:16 PM
Post #12176 - In reply to #12174

Hey Kris!

You are perfectly clear. Sorry I was not!

Kris wrote:

The first bar after the one touching EMA(20) closes above the bar before the one touching the EMA(20)


What you wrote is correct, Kris

What we are looking for is the "trigger bar", which we define as the bar that either touches or penetrates the 20 EMA.

We enter long with a buy stop on the first bar that takes out the high of the bar preceeding the trigger bar.

The catch is that the trigger bar can change if, in the case of a long set up, a succeeding price bar takes out the low of first trigger bar. That bar with the new low becomes the new trigger bar, and we will enter long when the high of the bar preceeding that new trigger bar is taken out. Another way to look at it is that the most recent swing low bar is the trigger bar.

Looking at the attached ONT chart, one sees that price first took out the 20EMA on 5/31. That was the first "trigger bar". Each day since then, we have had a new trigger bar, including today. So, we will place a new buy stop above the high of the 06/03/07 price bar.

While the ADX qualifies this as a grail trade, price is not making its usual grail pattern where we start to see some support around the 20 EMA.

This could still be a good trade. Price closed the 5/14 gap today plus an extra penny before moving up to close above the open. The 8 EMA is still 4 cents above the 20 EMA. We also have horizontal price support here plus FIB support on the weekly chart. So we will just have to see. But percentage wise, price has penetrated the 20 EMA much more than is usual for this setup.

Rules are, of course, reversed for short trades.

Kris, Linda does not put any time restrictions on this trade. Perhaps this is because I have seen the grail trade set itself up in multiple timeframes simultaneously; i.e., the 2, 5 & 15 minute charts with the 15 minute chart taking up to 10-12 bars to generate a trigger bar. So obviously there are going to be a lot of bars to complete on the 2 minute setup. I suppose common sense would have to prevail at some point. It would seem that what was initially a grail pattern would becme a box play if an extended range developed around the 20 EMA.

This might be a good project for an NN or a GA to try various inactivity stops.

Best regards,

This post was edited to correct the entry rule!

[Edited by Bill Graves on 6/6/2007 9:57 PM]

Attached file : Grail_20070605.png (34KB - 225 downloads)

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Kris

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Subject : RE: Holy Grail indicator?
Posted : 6/6/2007 12:51 AM
Post #12180 - In reply to #12065

Excellent(!)

What I have done is as follows, for a long trade (short would be reversed):

1. The low of one of three previous bar's touched or dipped below the 20 EMA (that is your trigger). You wrote that it could be 10 bars, we can change it later.
2. Today's close is above the 20 EMA - I would think that we wouldn't want to go long if the market is below the 20 EMA, please verify.
3. Today's close is above the trigger bar (current bar -1, -2 or -3) that touched/penetrated the 20 EMA
4. I added a LookBack parameter [default set to 10 bars] to help us validate that the price was above the 20 EMA, 10 bars ago.

ADX should be in a filter block, as discussed previously. It is easy to add it to the system, but I feel that it is more elegant to have the system fire more signals and then use filter to decide which signals we allow to appear on the voting line.

Please let me know if we need to tweak anything.

Cheers, Kris

Attached file : GrailSys.txt (1KB - 249 downloads)

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Stumpy

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Subject : RE: Holy Grail indicator?
Posted : 6/6/2007 7:04 AM
Post #12182 - In reply to #12065

Hi Kris,
Can this be modified to work on Omni standard I do not have Pro.
Regards Ralph
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Bill Graves

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Subject : RE: Holy Grail indicator?
Posted : 6/6/2007 9:43 PM
Post #12185 - In reply to #12180

Hi Guys!

Looks like I owe everyone an appology, particularly Kris who went to so much work coding this system.

My post #12176 was in error. Kris properly interpreted my original post setting forth the correct trading rules. I day trade this setup manually in the eminis. It looks like I have slipped somewhere along the way and started to enter a little early.

Post #12176 has been corrected to reflect the proper entry rule in accordance with the rules in the original post 12066.

Sorry if I have caused anyone any prolems!




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TP

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Subject : RE: Holy Grail indicator?
Posted : 6/6/2007 11:47 PM
Post #12186 - In reply to #12065

Take a look at VOD on an EOD basis.

TP
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Kris

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Subject : RE: Holy Grail indicator?
Posted : 6/10/2007 2:32 AM
Post #12198 - In reply to #12065

Hi Bill,

Looking at a chart one can spot the Holy Grail formation. Obviously, with a system one has to be very specific and hence my questions:

1. How do we detrmine the direction of The Grail setup? ADX shows us the strength of a trend irrespective of the direction.

2. Should we add a filter EMA(8) > EMA(21) for LONG trades, and EMA(8) < EMA(21) for short trades? You mentioned it in your recent note. I a not sure if it is discretional confirmation or a hard rule.

3. Should I remove the LookBack from teh system? It is designed to tell us that the market was above EMA(20), briefly dipped below the EMA(20) (for no more than 10-bars, or whatever you set the parameter to) and the market is above the EMA(20) again.

4. If we remove LookBack parameter, should we have another filter, e.g. go long only if EMA(20) is trending up? on your recent picture/post EMA(20) has turned down, but you still consider it as a LONG Grail candidate.

Obviously you have been trading the Holy Grail for a long time and it has become a subconscious trade for you. I still have to decipher it :)

Cheers, Kris

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Subject : RE: Holy Grail indicator?
Posted : 6/10/2007 9:17 AM
Post #12199 - In reply to #12065


Kris, in case you might be interesed attached are a couple of links to the book where the HG setup (and many, many more) is detailed. It's kind of expensive but well worth it. I got a used one for $115.

BTW, thanks for all your many OL coding contributions. I have learned a great deal from what you have done and shared.

TP

http://www.lbrgroup.com/index.asp?page=DefaultPage


http://www.amazon.com/Street-Smarts-Probability-Short-Term-Strategies/dp/0965046109/ref=pd_bbs_1/103-7337231-3256663?ie=UTF8&s=books&qid=1181484139&sr=8-1

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TP

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Subject : RE: Holy Grail indicator?
Posted : 6/10/2007 9:45 AM
Post #12200 - In reply to #12065

Take a look at KNXA. Perhaps one day late on this one.


[Edited by TP on 6/10/2007 10:00 AM]

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Bill Graves

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Subject : RE: Holy Grail indicator?
Posted : 6/10/2007 4:44 PM
Post #12203 - In reply to #12198

Hi Kris,

Good questions!

When I first saw your approach using the lookback function in OL, I was concerned that a lookback of 5 or even 10 periods might not capture the retracement from the most recent Swing High down to the 20 EMA or most recent Swing Low up to the 20 EMA and that too long a lookback might cause problems as explained below.

However, utilizing a 5 day lookback should be adequate for another aspect of the system: for EOD trades to check how long price stays near the 20 EMA before starting a retest of a recent Swing High or recent Swing Low. All the EOD Grail examples in Street Smarts show Price touching or penetrating the 20 EMA for only 1-3 price bars during the retracement phase before resuming in the direction of the trend. In other words, once the touch or penetration has occurred, Price will resume original direction within 1-3 periods on its way to a retest. Intraday, Price can hover around the 20 EMA for more periods before attempting a retest of recent Swing Highs or Swing Lows.

However, the number of periods to get to the 20 EMA, that is a retracement from a recent Swing High [Swing Low] to the 20 EMA, can easily be 15 or more EOD and many more Intraday.

I wrote to Bob McFarland about the lookback approach and asked if we needed the SDK module to employ some kind of looping function or whether we could do that in OmniLanguage. In the 1 to 5 minute charts, Price can take 20 to 40 periods to retrace to the 20 EMA and another 10-20 periods to hover above and below the 20 EMA before resuming a test of a recent high or low.

Please keep in mind that I am not a programmer so I probably will not be able to explain this in programmer's terms. Anyway I had suggested to Bob that, when Price made a new Swing High [Long trade], to begin some kind of looping function down to the 20 EMA. Again, this could take 10 to 15 or even more periods Intraday to retrace to the 20 EMA.

Then when Price touched or penetrated the 20 EMA, begin another loop as long as Price was below the high of the bar preceding the "trigger bar", as defined in my previous post #12176. The second loop would probably not be needed EOD because Price usually starts to its retracement right away. A 5 day lookback should work here.

Bob thought we could do it in OL. We have not done anything on it though. We are working on the Headley Acceleration Band project. We are doing a premarket scan, which includes fundamentals. We have completed the entry portion of the system. It has turned up some extraordinary winners both on the long and short side. I have been trading them manually with good success. We are at the exit phase of strategy. When finished and back tested, we plan to turn it over to the membership.

It is possible Bob may be willing to look at the Grail Trade some time in the future; though I know he has many programming projects on his plate at this time. Therefore, I cannot speak for him. No pressure here, Bob! Truly! -:)

Kris, maybe you want to take a shot at the loop idea. You are good programmer and have contributed a lot!

We don't need the 8/20 EMA filter if we are to stick to the actual published system. The rules are very simple: just as I posted them at the beginning of this thread. The EOD examples in Linda's book do show that the 20 EMA can be pointing down very slightly when price touches it. Her examples do not show a chart like ONT where there have been 3 lower lows in price after the trigger bar.

About the last chart I posted, I was just thinking aloud. I am betting Linda Raschke would say the ONT chart is not a grail trade. It definitely started as one when it touched the 20 EMA Intraday, retraced, but later penetrated the 20 EMA at the close. Subsequent price action has excluded it, in my opinion. I was just looking for reasons price might retest the recent high. In my defense, I did say:

...price is not making its usual grail pattern where we start to see some support around the 20 EMA.


In summary:

1. How do we determine the direction of The Grail setup? ADX shows us the strength of a trend irrespective of the direction.


Long: We are looking for a retracement of price from the most recent Swing High back down to the 20 EMA, then a retest of that most recent High.

Short: We are looking for a retracement of price from the most recent Swing Low back up to the 20 EMA, then a retest of that most recent Low.

2. Should we add a filter EMA(8) > EMA(21) for LONG trades, and EMA(8) < EMA(21) for short trades? You mentioned it in your recent note. I a not sure if it is discretional confirmation or a hard rule.


The 8 & 21 EMA's are not a part of Linda's Grail system. Again, in my comment in the above post, I was looking for reasons for Price to start a retest of the recent high.

3. Should I remove the LookBack from the system? It is designed to tell us that the market was above EMA(20), briefly dipped below the EMA(20) (for no more than 10-bars, or whatever you set the parameter to) and the market is above the EMA(20) again.


EOD a 5 or 10 period lookback from the Swing High or Swing Low to retracement to the 20 EMA will miss many Grail trades.

However, EOD, for the testing of how long price hovers around the 20 EMA after touching or penetrating it, a 5 day lookback should be adequate for the classic Grail pattern. Intraday, a second loop might be considered for this time Price hovers around the 20 EMA after touching/penetrating it but before moving toward a retest.

If I have not been clear , let me know. I have tried to clarify it a little in answering your next question.

4. If we remove LookBack parameter, should we have another filter, e.g. go long only if EMA(20) is trending up? on your recent picture/post EMA(20) has turned down, but you still consider it as a LONG Grail candidate.



Hey, that's more than one question! -:)

Above I have talked about 2 uses of the Lookback function:

Use 1: The number of periods from the most recent Swing High [Swing Low] to retrace to the 20 EMA.

Use 2: The number of periods Price will hover around the 20 EMA before starting a retest of a recent Swing High or Swing Low.

RE: Use 1, we should find an alternative method, maybe a loop, for both EOD and Intraday.

RE: Use 2, a lookback is ok EOD but we should have an alternate method Intraday.

The main problem, as I see it, with the lookback approach for the phase from a Swing High/Swing Low to the 20 EMA is this: if the lookback period is too short, it will miss trades. If the lookback is too long it could pick up an additional swing High or Low, which might cause a problem trying to set up a loop. When we come to the most recent Swing High or Low, we want to check the ADX > 30 and that it is rising ~ a linear regression of the ADX at the bar of the Swing High or Low. Then we start the loop looking for a retracement to the 20 EMA. All the examples in Linda's book show that the most recent Swing High was a recent Highest High even though her rules refer to it as a Swing High.

Also, "after a successful trade, The ADX must once again turn up above 30 before another retracement to the moving average can be traded." A lookback may have difficulty with this rule as well?

It's ok if the 20 EMA is sloping down a little when price touches or penetrates it. Because Price has just made a recent Swing High or Swing Low, the trend is strong, so the 20 EMA will NOT be sloping down very much.

You have probably already guessed by now that I would have to say the ONT chart no longer qualifies as a Grail Trade even though it may retest the recent high.

What I did not say before about ONT is that this stock has some strong published fundamentals. But it is still highly volatile! Therefore, we will just have to see what next week brings.

Kris, hope this helps!




[Edited by Bill Graves on 6/10/2007 5:24 PM]

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EYEGUY

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Subject : RE: Holy Grail indicator?
Posted : 6/10/2007 4:53 PM
Post #12204 - In reply to #12180

Kris:

I have to admit I am a bit confused at this point.

Am I to assume that the Holy Grail system posted on June 5, 2007 in post 12180 is the current best system based on the current understanding of the trading rules?

It would appear that we are still a bit in development, but what is your best posted strategem to date?

Thanks,

Tom Helget
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Kris

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Subject : RE: Holy Grail indicator?
Posted : 6/11/2007 1:28 PM
Post #12214 - In reply to #12065

Hi Bill,

Thanks for the detailed explanation. I think I have a better understanding of the Holy Grail. Forgive me for repeating the whole thing (again), but I want to explain the system's behaviour.

The system fires Holy Grail signal when we have the following formation (assume Long trade on EOD chart):

1. We have 3-bar V-bottom formation with the middle bar being the Lowest Low from the three bars.

2. The middle bar of the V-bottom touches or penetrates EMA(20) - this is the trigger bar as defined by Bill.

3.a. Today's Close is above the EMA(20) and is above the High from two days ago (the High of the bar just before the Trigger bar), or...
3.b. Today's Close is above the EMA(20) and is above the High from three days ago (the bar before the bar preceding the trigger bar :), or...
3.c. Today's Close is above the EMA(20) and is above the High from four days ago.

4. The Close 8-bars ago (adjust this parameter if you want to) was above the EMA(20), confirming that the market is resuming it's up-trend after forming a little V-bottom retracement to the EMA(20).

So, what we have is a market that was above the EMA(20), then retraced to EMA(20), formed a little V-bottom that touched or penetrated the EMA(20) and we allow up to three bars to break above the High of the bar preceding the Trigger bar (the bottom of the V bottom).

Now, I don't think that it is necessary, but if one wants to add an additional directional filter (without fancy loops) one can for example allow Long signals only when the recent High (say, in the last 20 bars) is the Highest High in the last 100 bars. To do that all you need is the following statement in the Filter block:
* "HHV(20) = HHV(100)" in a Long Conditions window, and
* "LLV(20) = LLV(100)" in a Short Conditions window.

Please let me know if I got it right :)

Cheers, Kris

Attached file : GrailSys.txt (2KB - 241 downloads)

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Bill Graves

Veteran
10025
Posts: 125

Joined: 11/25/2006
Location: Phoenix, Arizona

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Subject : RE: Holy Grail indicator?
Posted : 6/11/2007 1:29 PM
Post #12215 - In reply to #12203

Hi all!

Attached is a classic Grail Pattern from a little earlier this morning in the 2 min ES. The entry is marked with the green arrow.

Cheers,


Attached file : Grail_20070611.png (36KB - 269 downloads)

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