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September 2014 Stocks and Commodities Traders Tips


Finding The Golden Triangle

AIQ Version:

Original article by Charlotte Hudgin
AIQ Code by Richard Denning

I created an indicator that might be used to rank signals, called the “Clear Value Indicator” (“ClearValueSum” and “ClearValueAvg”). The “ClearValueSum” indicator sums the daily percentages that the close is above the SMA. The summing starts at the last cross up and goes to the current bar. If the close is below the SMA then the value of the indicator is zero. In Figure 1, I show a chart of Priceline with the “ClearVauleSum” indicator below. In addition, I provide the code for the golden triangle set up and confirmation. The author did not discuss exits so I provided one based on a cross under the SMA or an exit after an input maximum bars to hold (“maxBarsToHold” input). I did a short optimization on the “maxBarsToHold” input the results of which are shown in Table 1. Most of the metrics are best at the 18 bar setting. In Figure 1, I also shows a trade from the system from 2009 with the 18 bar setting.

Captions:
Figure 1 – Chart of Priceline (PCLN) with the ClearValueSum indicator and a sample trade marked with the white up and down arrows.

Table 1 – EDS summary results compared with varying the max bars to hold input trading the NASDAQ 100 list of stocks over the last 6 years.

EDS Code:
GoldenTriangle.EDS
(right click and choose Save As)


 

Traders Studio Version :

Original article by Charlotte Hudgin
Traders Studio Code by Richard Denning

The following code files are contained in the download below:

  • System GOLDEN_TRIANGLE – a trading system described by the author using the crossover of the 50 bar simple moving average for the exit and a max bars held exit.

The system has the following rules:

  • Buy next bar at market open after the setup, price confirm and volume confirm occur within 15 bars.
  • Exit the long position next bar at market open when the close crosses under the SMA.
  • Exit the long position next bar at market open when the max bars held have reached.
  • This is a long only system as coded.
I ran the system on a futures portfolio using Pinnacle Data Corporation data ( www.pinnacledata.com ). Figure 1 shows the equity and underwater equity curves trading one contract for each signal. The test period was from year 2000 to 2014. Table 1 shows the session setup parameters and the list of symbols in the portfolio.

Captions:
Figure 1 – Equity and underwater equity curves trading one contract for each signal on a portfolio of futures contracts for period year 2000 to 2014.

Table 1 – Session setup parameters and the list of symbols in the portfolio for the test run.

Traders Studio Code:
GOLDEN_TRIANGLE.zip
(right click and choose Save As)

 

 

 

 

 

 

 

 

 

 

 

 

 

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