February 1999
TRADERS' TIPS
Here is this month's selection of Traders' Tips, contributed by various developers of technical analysis software to help readers more easily implement some of the strategies presented in this issue.
You can copy these formulas and programs for easy use in your spreadsheet or analysis software. Simply "select" the desired text by highlighting as you would in any word processing program, then use your standard key command for copy or choose "copy" from the browser menu. The copied text can then be "pasted" into any open spreadsheet or other software by selecting an insertion point and executing a paste command. By toggling back and forth between an application window and the open Web page, data can be transferred with ease.
This month's tips include formulas and programs for:
METASTOCK
NEUROSHELL TRADER
WAVE WI$E MARKET SPREADSHEET
or return to February 1999 Contents
METASTOCK
In "Trading Stocks With A Cyclical System" in this issue, Jeffrey Owen Katz and Donna McCormick introduce a system based on stock cycles. In MetaStock 6.5 or higher, you can easily recreate this system.
With MetaStock running, choose System Tester from the Tools menu, click on the New button and enter the following formulas:
Enter Long
thresh:= 4;
k:= 3;
m:= 63;
Value1:= Stdev(Ref(ROC(C,k,$),-m),20);
Value2:= Ref(ROC(C,k,$),-m);
When(Value2 > thresh*Value1)
Enter Short
thresh:= 4;
k:= 3;
m:= 63;
Value1:= Stdev(Ref(ROC(C,k,$),-m),20);
Value2:= Ref(ROC(C,k,$),-m);
When(Value2 <-thresh*Value1)
Stops
Inactivity
Positions - Long and Short
Method - Points
Minimum Change - 15000
Periods - 10
After entering the formulas, click OK, then click on Options. On the Testing page, set the Trade Delay to zero, set Positions to "both," then set any other desired options. Click OK to save the changes, then open a chart and run the system.
-- Allan J. McNichol
EQUIS International
800 882-3040, 801 265-8886
https://www.equis.com
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NEUROSHELL TRADER
In NeuroShell Trader, you can easily implement the trading system introduced by Jeffrey Owen Katz and Donna McCormick in "Trading Stocks With A Cyclical System" in this issue. In the article, a 90-day rhythm pattern forms the basis of the system.
From the Insert menu in NeuroShell Trader, choose "New trading strategy" and follow the steps outlined here. (Default values of Thresh=4, K=3, M=63, and Hld=10 were used in the steps given here, but different values may be used as desired.)
Add the following long entry condition from the "Relational" indicator category:
A>B indicator with the following parameters:
A = Lag(Momentum(Close, 3), 63)
B = Mult2(4,StdDev(Lag(Momentum(Close, 3), 63),20))
Add the following long exit condition from the "Trading strategy: exit signals" indicator category:
Bars Since Filled = X ( Trading Strategy, 10 )
Add the following short entry condition from the "Relational" indicator category:
A<B indicator with the following parameters:
A = Lag(Momentum(Close, 3), 63)
B = Mult2(-4,StdDev(Lag(Momentum(Close, 3), 63),20))
Add the following short exit condition from the "Trading Strategy: Exit Signals" indicator category:
Bars Since Filled = X ( Trading Strategy, 10 )
A $100 stop-loss can be implemented (for every 100 shares). If you wish to add a stop-loss to your trading system, use the following steps:
Add the following long trailing price from the "Trading Strategy: Protective Stops" indicator category:
Trailing Price: Points ( Trading Strategy, 1 )
Add the following short trailing price from the "Trading Strategy: Protective Stops" indicator category:
Trailing Price: Points ( Trading Strategy, 1 )
For the sake of convenience, users of NeuroShell Trader can download the "StockRhythmEnterLong" and "StockRhythmEnterShort" conditions from the NeuroShell Trader section of the Ward Systems Group Tech Support Website. In the article, Katz mentions that genetic optimization would have enhanced his effort, and the NeuroShell Trader Professional offers genetic optimization.
-- Marge Sherald
Ward Systems
301 662-7950
E-mail wardsystems@msn.com
https://www.wardsystems.com
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WAVE WI$E MARKET SPREADSHEET
A 90-day rhythm pattern forms the basis of a trading system in "Trading Stocks With A Cyclical System" by Jeffrey Owen Katz and Donna McCormick in the February 1999 issue.
The following WAVE WI$E formulas implement the authors' cyclical system. We found that the hold period greatly changes profitability, and in our trial, small holding periods yielded poor results.
A: DATE @TC2000(C:\TC2000\DATA,SP-500,STANDARD & POORS 500,DB)
B: HIGH
C: LOW
D: CLOSE
E: OPEN
F: VOL
G: ValM 63 'Lookback constant
H: ValK 4 'Rate of change constant
I: Roc_K CLOSE[0] - CLOSE[-VALK] 'Basic ROC for comparison
J: Value2 CLOSE[-VALM] - CLOSE[-VALM-VALK]
K: Value1 @STD(VALUE2,20)
L: Thresh 3.25 'Threshold constant
M: Hold 5 'Holding period
N: Signal @SIGNAL(CLOSE,BUY,VALUE2 > THRESH * VALUE1,
(VALUE2 < -THRESH * VALUE1) | (@ROW() > @SIGEROW() + HOLD))
O:
P: colors @IF(SIGNAL>0,GREEN,WHITE) 'Colorcode the trades
End Formulas
-- Peter Di Girolamo
Jerome Technology
908 369-7503
E-mail jtiware@aol.com
https://members.aol.com/jtiware
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Excerpted from an article originally published in the February 1999 issue of Technical Analysis of STOCKS & COMMODITIES magazine. All rights reserved. © Copyright 1999, Technical Analysis, Inc.
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