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November 2008 Stocks and Commodities Traders Tips


MOCS Exit Indicator (AIQ):

Original article by Michael J. Carr
AIQ Code by Richard Denning

The AIQ code for Michael J. Carr’s MOCS exit from his August 2008 article, “Relative Strength as a Selling Tool”, is shown below. Using relative strength as an exit can be very effective and is often overlooked when we are designing exits for our strategies. As one of the exits that use relative strength, the author discusses the MOCS exit, originally developed by Christopher Hendrix. The relative strength of the stock to the S&P 500 index (RS_SPX) is inserted into the MACD formula in place of the price. In coding the MACD of the RS_SPX, I generated three indicators as follows:

MOCS = 12 bar EMA of RS_SPX – 26 bar EMA of RS_SPX
sigMOCS = 9 bar EMA of MOCS
difMOCS = MOCS – sigMOCS

I then used these indicators in various combinations to come up with three exits in addition to the one suggested by the author. Table 1 compares the results of a back test of a 30 day breakout system on the NASDAQ 100 stocks from 10/11/02 to 9/12/08. LX1 is the exit mentioned in the article and is the fastest of the four exits. However the best performing exit was LX2 which uses only the MOCS indicator and exits when it turns negative. The LX3 and LX4 exits are combinations of the MOCS and the difMOCS. The slowest exits proved to be the ones with the best reward to risk ratios.

EDS Code for MOCS Exit Indicator:
RSexit.EDS




Corona Charts (Traders Studio) :


Original article by John Ehlers
Traders Studio Code by Richard Denning

The TradersStudio code for John Ehlers’ article, “Corona Charts” is shown below. In Figure 1, I show the four indicators as they appear on a QuickChart. The corona effects do not show on the indicator panels but instead are shown on a color report, see Figures 2 & 3. These two figures show the current values for the four indicators and also their relative signal strength, also know as the corona, as represented by the color of the report cell. I ran the report for two different time periods on a small futures portfolio to show how the colors will differ. Figure 2 shows the status as of 9/12/08 and Figure 3 shows the status as of 5/1/08. This type of report allows one to quickly spot the markets that have the best combination of indicators and their respective colors which represent the signal strength. The color key is as follows:

Light green = strong signal with little or no fuzz

Light yellow = moderately strong signal with some fuzz

Yellow = weaker signal with more fuzz

Yellow = even weaker signal with even more fuzz

Red = very weak signal with a high level of fuzz

White = no rating regarding signal strength

The color levels and colors can be adjusted by the user by changing the parameters in the code. Note that the first column which displays the dominant cycle period does not have the color applied and hence they are all white.

Traders Studio code for Corona Charts:
EhlersCoronaCode.zip

 

 

 

 

 

 

 

 

 

 

 

 

 

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