BullCharts Forum Homepage
Forum Home Forum Home > BullCharts > BullCharts discussion
  New Posts New Posts RSS Feed: J B Volatility Profit taker
  FAQ FAQ  Forum Search   Calendar   Register Register  Login Login

J B Volatility Profit taker
 Post Reply Post Reply Page  <1234>
Author
Message / View First Unread Post
  Share Topic Share Topic  Topic Search Topic Search  Topic Options Topic Options
maximo View Drop Down
BullCharts Guru
BullCharts Guru
Avatar

Joined: 02 Sep 2006
Location: Australia
Posts: 232 		Post Options Post Options   Quote maximo Quote  Post ReplyReply Direct Link To This Post Posted: 17 Jan 2008 at 11:36pm

brentjedi

I use WealthLab and have only done a small amount of backtesting. Results of
what you can likely expect from a system is reassuring.

The indicator serves best as a confirmation of another entry signal like an
average crossover, oscillator or momentum indicator of your choice. This due to
it being more successful for trends.  The most useful aspect of it is to provide
an exit strategy or stoploss as well as confirmation of entry.

If you would like to backtest it based on it's signals with or without other
indicators i would be interested in knowing the results.

p.s. I have created a couple of other indicators that would be great for
backetesting also.  One using ADX, the another Williams% osc combined with a
HiLo/Dochian channel filter.

Best regards,

Max
Back to Top
Trigger View Drop Down
Newbie
Newbie
Avatar

Joined: 15 Mar 2008
Location: Australia
Posts: 1 		Post Options Post Options   Quote Trigger Quote  Post ReplyReply Direct Link To This Post Posted: 16 Mar 2008 at 1:40am

maximo,

Great indicator - it does work magnificently for trending stocks (blown my mind somewhat - didn't know Bullscript allowed an indicator to change colour. I've tweaked it a little to include the close rather than the open and gone with a 10 X 2 ATR. I'm endeavouring to backtest the indicator on TradeSim with say a CCI (21) on daily. Still learning so bear with me.

Interested to hear your ADX & Williams% Oscillator/High Low Channel - Donchian Channel indicator.

Cheers,

Trigger
Back to Top
maximo View Drop Down
BullCharts Guru
BullCharts Guru
Avatar

Joined: 02 Sep 2006
Location: Australia
Posts: 232 		Post Options Post Options   Quote maximo Quote  Post ReplyReply Direct Link To This Post Posted: 28 Mar 2008 at 3:51am

Thanks Trigger,

Changing the colour of an indicator on price was a technical issue that needed to be solved.  Thanks to BlackDog for his help with that: http://www.bullcharts.com.au/forum/forum_posts.asp?TID=295&a mp;KW=skin+a+cat&TPN=2

I have updated that indicator now to be as accurate to the SuperTrend indicator as created by Oliver Siban.  A study found  in ProRealTime which is also employed by CMC Markets software.

{ TrendStop }

[Target=Price; LineStyle=Solid; Author=Michael, Max]

TDate:=InputDate("Start Date", date(2004,12,01));

HoldingDays:=BarsSince(OnOrSkipped(TDate));

A:=Input("ATR Multiplier",2,1);

Nb:=Input("Nb Periods",5,3);

Vatr:=ma((HHV(H,nb)-LLV(L,Nb))*0.38,Nb,E);

Short:=ma((H+L)*0.5,Nb,E) + A * Vatr;

Long:=ma((H+L)*0.5,Nb,E) - A * Vatr;

LStop := If(Long>PREV and HoldingDays,Long,If(Long<=PREV and HoldingDays,HHV(Long,10),Long));

SStop := If(Short<PREV and HoldingDays,Short,If(Short>=PREV and HoldingDays,LLV(Short,10),Short));

up:=if(Close<LStop and hist(Close,1) > hist(LStop,1),1,0);

down:=if(Close>SStop and hist(Close,1) < hist(SStop,1),1,0);

Dtrend:=if(up,1,if(down,0,prev));

Utrend:=if(down,1,if(up,0,prev));

LongStop :=if(Dtrend and HoldingDays,Long,If(Long>PREV and HoldingDays,Long,If(Long<=PREV and HoldingDays,if(Barssince(Dtrend)<=10,HHV(Long,8),HHV(Long,15)),Long)));

Shortstop :=if(Utrend and HoldingDays,Short,If(Short<PREV and HoldingDays,Short,If(Short>=PREV and HoldingDays,if(Barssince(Utrend)<=10,LLV(Short,8),LLV(Short,15)),Short)));

[drawundefined=gap]

init:=if(Dtrend=0 and Utrend=0 and HoldingDays,1,0);

[Color=lime green]

if(Utrend and HoldingDays and hist(Dtrend,1)=1,LongStop,if(Dtrend and HoldingDays,ShortStop,undefined));

[Color=red]

if(Dtrend and HoldingDays,ShortStop,if(hist(Dtrend,1)=0 and HoldingDays,LongStop,undefined));

[Color=lime green]

if(Utrend and HoldingDays or init,LongStop,undefined);

 

 
Back to Top
maximo View Drop Down
BullCharts Guru
BullCharts Guru
Avatar

Joined: 02 Sep 2006
Location: Australia
Posts: 232 		Post Options Post Options   Quote maximo Quote  Post ReplyReply Direct Link To This Post Posted: 28 Mar 2008 at 4:12am

I have completed the Williams Oscillator + HiLo (dochian chan) filtered Indicator.   Both these indicators work well together.  Named this one TrendBars, the one above named as TrendStop.  They should then appear alphabetically next to each other in list.     The strategy employs the sharpest trend detection possible, so I recommend adjusting the HiLo filter period to 6 or 8 to make it less sensative to trend changes.   I will post a picture to show the way I set up this combination.  Even though i favour candlesticks it's better to have it set on bars, that way you can tell if the close was higher or lower, since the bars are coloured according to trend instead of Open to Close.   

{ Trend Bars }

[Description:="Williams Oscillator + HiLo Filtering"]

[Target=Price; Author=Michael, Max]

n := input("Williams% Period",14,1);

x := input("HiLo Filter Period",3,2); {3,6,9 higher=less trades}

WO := -100 * (highest(H,n) - C) / (highest(H,n) - lowest(L,n)) + 100;

LL:=If (LLV(L,x)<hist(LLV(L,x),1),1,0);

HH:=If (HHV(H,x)>hist(HHV(H,x),1),1,0);

SigLL:=if(LL,1,if(HH,0,prev));

SigHH:=if(HH,1,if(LL,0,prev));

SignalShort := If(WO < 66 and hist(WO,1) > 66 or hist(WO,1) > 33 and WO < 33,1,0);

SignalLong := If(WO > 33 and hist(WO,1) < 33 or hist(WO,1) < 66 and WO > 66,1,0);

SigLong := if(SignalLong,1,if(SignalShort,0,prev));

SigShort := if(SignalShort,1,if(SignalLong,0,prev));

SL:=If(SigLong and SigHH,1,0);

SS:=If(SigShort and SigLL,1,0);

[linestyle=pricecolor]

[color=rgb(98,217,98)] {lime green}

SLb:=If(SL,1,if(SL=0 and SS=0,prev,0));

SLb;

[color=rgb(226,118,118)] {red}

SSb:=If(SS,1,if(SS=0 and SL=0,prev,0));

SSb;

{Profit Take}

PTflag:=input("Profit Take (1=On, 0=Off)",1,0,1);

PTL:=if(C-LLV(L,13) > 6*hist(ATR(4),13),1,0);

PTS:=if(HHV(H,13)-C > 6*hist(ATR(4),13),1,0);

[linestyle=marker; marker=type2; name=P]

if(PTflag and PTL and hist(PTL,1)=0 and SL,1,0);

[linestyle=marker; marker=type1; name=P]

if(PTflag and PTS and hist(PTS,1)=0 and SS,1,0);

{Stops and Target}

[drawundefined=gap]

[linestyle=dotted; color=blue]

{HighestHigh3 & LowestLow3 weighted ATR stop}

AP:=H/2+prev(O,1)/2;

[color=rgb(98,217,98)] {lime green}

hiband:=ma((AP-1.33*ATR(4) + LLV(L,x)*2)/3,2,S);

if(SLb,HHV(hiband,3),undefined);

[color=rgb(226,118,118)] {red}

loband:=ma((AP+1.33*ATR(4) + HHV(H,x)*2)/3,2,S);

if(SSb,LLV(loband,3),undefined);

{Entry Bar Stop}

[linestyle=points; color=red]

if(SLb and Hist(SSb,1),L-(L/100)*0.15,undefined);

if(SSb and Hist(SLb,1),H+(H/100)*0.15,undefined);

[linestyle=points; color=cyan]

{save limit entry prices}

LE:=if(SLb and Hist(SSb,1),C,0);

SE:=if(SSb and Hist(SLb,1),C,0);

if(LE,LE+1*hist(ATR(6),1),undefined);

if(SE,SE-1*hist(ATR(6),1),undefined);

 
Back to Top
maximo View Drop Down
BullCharts Guru
BullCharts Guru
Avatar

Joined: 02 Sep 2006
Location: Australia
Posts: 232 		Post Options Post Options   Quote maximo Quote  Post ReplyReply Direct Link To This Post Posted: 28 Mar 2008 at 4:30am

I have yet to do work on the ADX system, but here's the above indicator combination displayed.
Back to Top
brentjedi View Drop Down
Regular
Regular
Avatar

Joined: 13 Dec 2007
Posts: 34 		Post Options Post Options   Quote brentjedi Quote  Post ReplyReply Direct Link To This Post Posted: 31 Mar 2008 at 12:00am
Hi MAXIMO

I must say you and black dog are geniuses with BS. How did you do it?, are you programmers ?. Their seems to be a big hole for BS know how.

In any case I would like to ask you if you could help me with this problem. I am using a ROC indicator greater than value, if true then it flags a buy setup trigger.eg  ROC(C,10,%) >1 this I can do easy.

However I want to use tradeslim or scan where the above is true and price has closed above the bar that triggered the ROC. any suggestions?

I have the ROC as a 1,0 in a seperate panel at the bottom.

Cheers
Brentjedi
Trading is art of self
Back to Top
maximo View Drop Down
BullCharts Guru
BullCharts Guru
Avatar

Joined: 02 Sep 2006
Location: Australia
Posts: 232 		Post Options Post Options   Quote maximo Quote  Post ReplyReply Direct Link To This Post Posted: 31 Mar 2008 at 4:11pm

LoL!   I do have a programming background in assembler, that doesn't really help.  Bullscript is quick to tell you you've made a mistake, so more than anything it's like a spoken language. You learn 1 word at a time and just build on that. Look at other indicators etc.  

Don't think i can help you with Tradesim as i don't have it.  Can do a scan for them though.  I made an indicator firstly. Then made a new scan name ROC 10.  The scan criteria = Category: [Indicator is a signal] select: Rate Of Change (which is the following formula name). Interestingly it doesn't bring them all up like VPG should have been found.. but it wasn't.  So hope that helps.

 

n := input("Enter the ROC length", 14, 7, 52);

x := roc(C,n,PERCENT);

x;

[linestyle=marker; marker=type2; name=x]

if(hist(x<10,1) AND x>10,1,0);

 

 
Back to Top
brentjedi View Drop Down
Regular
Regular
Avatar

Joined: 13 Dec 2007
Posts: 34 		Post Options Post Options   Quote brentjedi Quote  Post ReplyReply Direct Link To This Post Posted: 05 Apr 2008 at 10:50pm
Hi MAXIMO

Thank you, I can now get the makers up saying buy or sell when the formula = true. However I was hoping for a line above or below the trigger bar that stretched say three bars. As I use the formula = true to highlight the bar and if the high or low is broken by the next bar, I would go long or short.

thanks again

Cheers
Brentjedi
Trading is art of self
Back to Top
maximo View Drop Down
BullCharts Guru
BullCharts Guru
Avatar

Joined: 02 Sep 2006
Location: Australia
Posts: 232 		Post Options Post Options   Quote maximo Quote  Post ReplyReply Direct Link To This Post Posted: 10 Apr 2008 at 12:18am

Hiya Brentjedi

I modified it a bit to show the direction of the following bar using a marker, though you may want to apply it to the chart and change it to a line.   Looks like the Barssince Function will do the job of pinpointing how ever many bars after the signal you want to indicate with a line or marker.  Many good signals from it  and I hope your backtesting is going well.

n := input("Enter the ROC length", 14, 7, 52);

method := inputroc("Enter the ROC method",PERCENT);

x := roc(C,n,PERCENT);

x;

[linestyle=marker; marker=type2; name=x]

condition:=if(hist(x<10,1) AND x>10,1,0);

condition;

[linestyle=marker; marker=long; name=""]

if(hist(barssince(condition),0)=true and H>hist(H,1),1,0);

[linestyle=marker; marker=short; name=""]

if(hist(barssince(condition),0)=true and L<hist(L,1),1,0);

 

 



Edited by maximo
Back to Top
loop4ever View Drop Down
Newbie
Newbie


Joined: 13 Jun 2008
Posts: 1 		Post Options Post Options   Quote loop4ever Quote  Post ReplyReply Direct Link To This Post Posted: 13 Jun 2008 at 9:46pm

Maximo, is the TrendStop code you posted give the exact same signal as the CMC MarketMaker SuperTrend indicator?

 
Back to Top
 Post Reply Post Reply Page  <1234>

Forum Jump Forum Permissions View Drop Down

Bulletin Board Software by Web Wiz Forums® version 9.69
Copyright ©2001-2010 Web Wiz