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Filter Exchange · bollenger band width mechanic needed
cegis
msg #34241
12/6/2004 4:49:53 PM

woofys,

To make sure I've got this right, by "1/8" do you mean one-eighth of a day? If so, you can't do "partial days" with daily data (can you??), which is all SF has...

HTH,

C




Filter Exchange · bollenger band width mechanic needed
cegis
msg #34190
11/30/2004 10:37:53 AM

If you could define "just about to start widening", I may be able to help...

C


Filter Exchange · BACK TESTING - do it right !
cegis
msg #34181
11/29/2004 7:51:58 PM

Gee, I blush! :-) Glad you liked it, and found it useful...

C


Filter Exchange · BACK TESTING - do it right !
cegis
msg #34165
11/28/2004 8:19:24 PM

My suggestion was posted in the thread "Technique: Calc your own returns - for any period" in the General Discussion forum. xplorer seems to be using some of that technique.

Basically, what I do now is use "days ago" (e.g., 10 days ago) to offset the conditions in the filter I'm backtesting, then using "future" days ago (e.g., 9 days ago, 8 days ago,...) to get (using "add column") open/high/low/close of the following days. I then download the results into a spreadsheet and analyze the results. There, I can "program" assumptions to most closely match the trading I'm contemplating with the filter, take commissions into account, and anything else I can think of.

HTH,

C


General Discussion · Help with slope command
cegis
msg #34164
11/28/2004 7:48:12 PM

Somewhere I read that a slope value of 1 indicates the value DOUBLED over the time period the slope is being taken over. (I think -1 would mean the value halved.) This would cause the slope to behave seemingly erraticly. For example, a 2 day slope will be much more sensitive than a 20 day slope. Also, a 2 day slope of 1 would be far less likely than even a 5 day slope...

HTH,

C


General Discussion · Need help on summing volume over nn period...
cegis
msg #33897
11/12/2004 10:20:58 AM

BuffaloBill,

Use the SUM() function: SUM(volume,5)! That way, the rounding that takes place with calculating an average will not skew the results.

HTH,

C


General Discussion · BackTesting
cegis
msg #33856
11/9/2004 8:26:11 PM

Uppercut,

Well, since it IS my technique that you're trying to implement, please let me comment:

- First, it all looks ok EXCEPT the average volume phrase should also have the "30 days ago" phrase. This is something that I've overlooked frequently, and it's easy to do :-).

- Secondly, although there's nothing wrong with going back the full 30 days, you only really need to go back 16, so you can get the following 15 day's worth of data. The only thing about using 30 is that you'll be missing the most recent 15 days worth of data.

- Lastly, again there's nothing wrong with it, but you don't really need the set{} statements. You can just "add column 30 days ago {zero}". I only mention this because SF puts limits on the use of set{}s, so it may be an issue if you are using set{}s for other purposes in a filter. The 15 set{} you have should not be a problem in this filter, though. (I've used more than 15 in some of my filters with success...)

- One other thought came to mind: SF may use "zero", "one", ... etc. as "reserved words". In other words, SF may recognize these words and do something unexpected (to you) with them. You may want to try "day0", "day1", ... or "d0", "d1", ... (This is a wild guess, but possible...)

If these suggestions don't help, it may need a look-see by TomB...

HTH,

C

P.S., I've been using this technique quite a bit over the past few weeks and have not noticed anything obviously wrong...


General Discussion · Largest margin for trade.
cegis
msg #33844
11/8/2004 2:12:33 PM

shelupinin,

There's a WORLD of difference between stocks and options!

The leverage I spoke of is based on the fact that "you control a $50 stock for $1" (for example). Margin requirements are actually HIGHER for options, but with the leverage that you can get, I suppose it could be considered "more margin" in a way.

Options can be very risky, and somewhere I read that 90% of all options expire worthless. DON'T TRADE OPTIONS UNLESS YOU UNDERSTAND THE RISKS!

HTH,

C


General Discussion · Largest margin for trade.
cegis
msg #33815
11/6/2004 7:45:45 PM

shelupinin,

I'm pretty sure 4:1 is the highest margin you'll find. If I'm not mistaken (and I may be <g>), this is limited by the SEC, so I doubt you'll find any higher.

If you want more leverage, you may want to consider options...

HTH,

C

Trade options at your own risk...


Filter Exchange · re: Ehler's Modified Optimal Elliptical filter
cegis
msg #33676
10/25/2004 7:03:07 PM

On second look, the formula is based on the prior day's formula value. I don't think you'll be able to do that with set{}s... (Assuming "[-1]" means 1 day ago.)

I'll still take a look, if you want to post what you have, tho...

C


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