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To: Jeff Grover who wrote (7144)10/11/1998 8:30:00 PM
From: Dale Wingo  Read Replies (1) | Respond to of 11149
 
Hi Jeff,

I guess I started all this regarding your scan. I was interested in its use to help confirm "buy" and "sell" signals triggered by a MACD(8 17 9) and STOCHRSI(14) which happen to be very close to the switch made by PSar.

I was also interested in the use to set trailing stops.

Do you think it's dangerous as a confirmation signal? If so could you elaborate a little?

I've been experimenting with the changes Bob suggested but not having any success yet.

Thanks for jumping in!

Dale



To: Jeff Grover who wrote (7144)10/11/1998 8:53:00 PM
From: Bob Jagow  Read Replies (1) | Respond to of 11149
 
I understand the need to sync, Jeff, and suppose that 100 days should give the crossing that I believe is required to effect that on nearly all occasions.
My intention was as per my #7137 "pick a hi/low with max/min and set SIP [and firstday] to that value".
Would that be wrong or imprudent?

Bob

What I couldn't understand was that triggering on the flipday matched MSWIN's on one side of the trade but not the other [admittedly a single example].
Agree with your comment that "When it doesn't hit it right on, it is almost always a single day early, not entirely a bad place to receive a signal."
---------------------
input = "30k+vol.lst";
output = "sar.lst";
float accdelta, accfac, SIP, SAR, SARp, xprice;
integer j, count, buysell,firstday, flipday;
accdelta := .02;
accfac := accdelta;
count := -100;
buysell := 0; // 1-long, 0-short
firstday := 1;
SAR := high(count);
SARp := SAR;
SIP := SAR;
xprice := high(count);

for j = count-1 to 0 step 1 do
if( buysell = 0 ) then // short position
if( firstday = 1 ) then
SAR := SIP;
firstday := 0;
else
if( low(j) < xprice ) then
xprice := low(j);
if( accfac < .2 ) then accfac := accfac + accdelta; endif;
endif;
SAR := SARp - accfac * abs(xprice - SARp);
endif;

if( SAR <= high(j) or SAR <= high(j-1) ) then
if( high(j) >= high(j-1)) then SAR := high(j);
else SAR := high(j-1); endif;
buysell := 1;
flipday:= j;
accfac := accdelta;
SIP := xprice;
firstday := 1;
endif;
endif;

if( buysell = 1 ) then // long position
if( firstday = 1 ) then
SAR := SIP;
firstday := 0;
else
if( high(j) > xprice ) then
xprice := high(j);
if( accfac < .2 ) then accfac := accfac + accdelta; endif;
endif;
SAR := SARp + accfac * abs(xprice - SARp);
endif;

if( SAR >= low(j) or SAR >= low(j-1) ) then
if( low(j) <= low(j-1)) then SAR := low(j);
else SAR := low(j-1); endif;
buysell := 0;
flipday:= j;
accfac := accdelta;
SIP := xprice;
firstday := 1;
endif;
endif;

SARp := SAR;
next j;

if buysell = 0 then println symbol," Buy on ",
date(flipday),",",close(flipday):6:3; endif;
if buysell = 1 then println symbol," Sell on ",
date(flipday),",",close(flipday):6:3; endif;