Why would I rewrite in indicator as simple as Sum? Because my indicators are designed to be used as components, and 'Sum' is needed in others I'm writing. The storage overhead of Ninjatrader's Sum is at least 2 kilobytes. The storage overhead for JHL.Utility.Sum of n periods is n * 8 + 16 bytes.
MySum.zip
Monday, June 28, 2010
Wednesday, June 23, 2010
My_VMA_ATR_React_V1
Strategy:
Channel: Upper edge is VMA of High plus ATR * multiple. Lower edge is VMA of Low minus ATR * multiple.
Sell if high of prior bar was above the upper edge and high of current bar is below the upper edge. Use high of prior bar as the initial stop.
Exit using VMA of Close as a trailing stop after the first close below the VMA.
Buy if low of prior bar was below the lower edge and low of current bar is above the lower edge.
Exit using VMA of Close as a trailing stop after the first close above the VMA.
Channel: Upper edge is VMA of High plus ATR * multiple. Lower edge is VMA of Low minus ATR * multiple.
Sell if high of prior bar was above the upper edge and high of current bar is below the upper edge. Use high of prior bar as the initial stop.
Exit using VMA of Close as a trailing stop after the first close below the VMA.
Buy if low of prior bar was below the lower edge and low of current bar is above the lower edge.
Exit using VMA of Close as a trailing stop after the first close above the VMA.
My_VMA_ATR_Breakout_V2
This was an attempt to improve the V1 strategy using an exit criteria. This uses a stop based on +/- a mulitple of ATR from the high or low.
Is it an improvement? Hard to tell... net profit decreased(with different optimal parameters), but the SQN is higher though exit efficiency is worse; between them I think I'd still trade V1.
SQN 2.52
Net $5,106
Draw $998
Max loser $496
Efficiency:
Entry 63%
Exit 44%
Settings:
ATRPercent 190
ATRPeriod 6
CMOPeriod 9
VMAPeriod 5
ExitATRPercent 340
ExitATRPeriod 10
My_VMA_ATR_Breakout_V2
Is it an improvement? Hard to tell... net profit decreased(with different optimal parameters), but the SQN is higher though exit efficiency is worse; between them I think I'd still trade V1.
SQN 2.52
Net $5,106
Draw $998
Max loser $496
Efficiency:
Entry 63%
Exit 44%
Settings:
ATRPercent 190
ATRPeriod 6
CMOPeriod 9
VMAPeriod 5
ExitATRPercent 340
ExitATRPeriod 10
My_VMA_ATR_Breakout_V2
Monday, June 21, 2010
My_VMA_ATR_Breakout_V1
This strategy buys or sells on a price breakout from the VMA +- a multiple of ATR.
Optimized on ES-1006 the best performance acheived is:
SQN 2.36
Net $6,162
Draw $1,103
Max loser $796
Settings were:
ATRPercent 200
ATRPeriod 8
CMOPeriod 12
VMAPeriod 5
Entry efficiency was approximately 60%, and exit efficiency was 52%. This is a stop and reverse strategy, which should benefit greatly from finding a better exit strategy.
This strategy only trades during the regular session, but should be used with extended session data for the indicator calculations.
My_VMA_ATR_Breakout_V1
Optimized on ES-1006 the best performance acheived is:
SQN 2.36
Net $6,162
Draw $1,103
Max loser $796
Settings were:
ATRPercent 200
ATRPeriod 8
CMOPeriod 12
VMAPeriod 5
Entry efficiency was approximately 60%, and exit efficiency was 52%. This is a stop and reverse strategy, which should benefit greatly from finding a better exit strategy.
This strategy only trades during the regular session, but should be used with extended session data for the indicator calculations.
My_VMA_ATR_Breakout_V1
Sunday, June 13, 2010
Volume Weighted Moving Average
The VWMA (Volume-Weighted Moving Average) returns the volume-weighted moving average for the specified price series and period. VWMA is similar to a Simple Moving Average (SMA), but each bar of data is weighted by the bar's Volume. VWMA places more significance on the days with the largest volume and the least for the days with lowest volume for the period specified.
MyVWMA.zip
MyVWMA.zip
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