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Al Sat Sistemi MetaStock System Test 02 - Tema Binary Wave, QStick

Bir ticaret sistemi, finansal piyasalarda alım satımla ilgili belirli kurallara sahip belirli ayarlara dayanır. Bir dizi işlemin istatistiksel bir analizini alır ve ondan kar sağlayan geçmiş performansları içerir. Bu stratejiyi bir ticaret sistemi olarak adlandırmadan önce, başarısını ve bir süre başarılı kalma yeteneğini garanti altına almak için bir dizi teste tabi tutulur. Bir ticaret stratejisi asla sabit bir karı garanti etmez. Kısa sürede kar etmek için "al" ve "sat" sinyalleri sağlayacak belirli algoritmalardan veya ayarlamalardan oluşur. Pazar her zaman değiştiği ve algoritmalarda veya ticaret sisteminde yapılan yeni ayarlamaların da değişmesi gerektiğinden, asla sabit bir kar oranını garanti etmez. Alım satım sistemleri genellikle zaman içinde görülür, hisse senetleri ve forex piyasaları sürekli alım veya satım sinyalleri verir.

algoritma

→ein+1=0←
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The basic idea behind a MetaStock binary wave is to use if statements on several MetaStock indicators and have them return plus one for a bullish indication, minus one for a bearish indication, and zero for a neutral condition. Then you add them all up for your binary wave indicator. I decided to format all my indicators so they could be plotted as a histogram. For these indicators plotting as histograms, positive is bullish and negative is bearish. To cut down on whipsaws, I decided that over +5 would be bullish, under -13 would be bearish and anything in between would be neutral. Therefore my binary wave formulas are:​

BW2 Demand Index
If(Tema(DI(),21) > 5,+1,If(Tema(DI(),21) < -13,-1,0))

BW3 Linear Regression Slope
If(Tema(10000*LinRegSlope(C,34)/C,34) > 5,+1,
If(Tema(10000*LinRegSlope(C,34)/C,34) < -13,-1,0))

BW4 CCI
If(Tema(CCI(21),21) > 5,+1, If(Tema(CCI(21),21) < -13,- 1,0))

BW5 ROC
If(Tema(ROC(C,21,%),21) > 2,+1,If(Tema(ROC(C,21,%),21) < -2,-1,0))

BW6 Money Flow
If(Tema(MFI(21),21)-50 > 5,+1,If(Tema(MFI(21),21)-50 < -5,-1,0))

BW7 CMO
If(Tema(CMO(C,21),21) > 5,+1,If(Tema(CMO(C,21),21) < -5,-1,0))

BW8 VAR ma
If(Mov(C,21,VAR) > Mov(C,55,VAR) AND HHV(Mov(C,233,VAR),5) =
HHV(Mov(C,233,VAR),13),+1,If(Mov(C,21,VAR) <
Mov(C,55,VAR) AND LLV(Mov(C,233,VAR),5) =
LLV(Mov(C,233,VAR),13),-1,0))
The next formula just adds up the binary wave:​

BW Add
Fml("BW2") + Fml("BW3") + Fml("BW4") + Fml("BW5") +
Fml("BW6") + Fml("BW7") + Fml("BW8")
Next, I decided to do something a little different. Since the whole purpose of this test is to catch a trending stock, I decided to add an amplifier that would get larger as the trend got stronger. Since I like Fibonacci numbers, I decided to use Rsquared as a measure of trend strength and base my amplifier on Fibonacci numbers. The formula I finally came up with after a lot of tinkering follows.​

BW Amplifier
If(RSquared(C,21) > 0.8,5,If(RSquared(C,21) >
0.6,3,If(RSquared(C,21) > 0.4,2, If(RSquared(C,21)>0.2,1,0.5))))
The last step in constructing the binary wave was to decide on the smoothing and put it all together. Of course, I used tema smoothing.​

Tema Binary Wave Composite
Periods := Input("Enter Tema Smoothing Periods",8,233,21);
Tema(Fml("BW Add")*Fml("BW Amplifier"),Periods)
The final step is to come up with a system test for the Tema Binary Wave Composite. Remember, the binary wave is just made up of a bunch of technical indicators that I give a +1 value when bullish, 0 when neutral, and -1 when bearish. Then they are summed and smoothed. So in general a positive value is bullish and a negative value is bearish. Also a rising number is bullish and a falling number is bearish. Therefore you could use a zero crossover to the upside as a buy signal and a crossover to the downside as a sell signal. If you had a good algorithm, you could also use a rise from a negative peak (or trough) as a buy signal and a fall from a positive peak as a sell signal. I decided to use a 8 day moving average of the BW with a crossover of the BW for my algorithm in an attempt to get an early signal on a rise from a negative peak. It does have the disadvantage of finding way too many peaks so I only use it as an Alert. For confirmation I use the QStick function and a variable moving average function.

QStick was developed by Chande as a way to quantify candlesticks. Since the difference between the open and close prices lies at the heart of candlestick charting, QStick is simply a moving average of that difference. Negative values of QStick correlate to black candlesticks, positive values to white candlesticks. Since in general black candles are bearish and white candles are bullish, this indicator can also be plotted as a histogram and interpreted the same was as the Binary Wave. The formula is:

Periods := Input("Enter Periods",1,233,34);
Tema(Qstick(Periods),Periods)

Now to get my open long signal I use the ALERT signal with an 8 day vma BW crossover of the BW. Then to actually get the signal, I have to have both the QStick rising and the 21 day vma greater then the 55 day vma.

Therefore my buy signal became:​

MetaStock System Test 02 - Tema Binary Wave Composite, QStick
Enter Long :
Alert(Cross(Fml("Tema Binary Wave Comp"),
Mov(Fml("Tema Binary Wave Comp"),8,S)),21) AND
HHV(Tema(Qstick(34),34),5) = HHV(Tema(Qstick(34),34),13) AND
Mov(H,21,VAR) > Mov(H,55,VAR)
Since the market has an upward bias, I wanted my sell signal to be more restrictive. Therefore instead of trying to catch a fall from a positive peak as my sell alert, I wanted a crossover of an optimized negative number. I still used QStick and vma to confirm and also added that the close should be lower than yesterdays low.

Therefore, my sell signal became:​

Enter Short :
Alert(Cross(-opt2,Fml("Tema Binary Wave Comp")),8) AND
Tema(Qstick(34),34) < -0.1 AND
C < Ref(L,-1) AND
Mov(L,21,VAR) < Mov(L,55,VAR)
Then I wanted exit conditions that were less then full signal reversals. I decided that the BW being less than a negative number would be my primary close long signal, but I also wanted confirmation from other indicators. After a lot of trial and error I used the following:​

Close Long :
Fml("Tema Binary Wave Comp") < -opt1 AND
Tema(Qstick(34),34) < 0 AND
LLV(Mov(L,21,VAR),5) = LLV(Mov(L,21,VAR),13)
Close Short :
Fml("Tema Binary Wave Comp") > 0 AND
Tema(Qstick(34),34) > 0.08

Finally I also used Fibonacci numbers for my optimization:
Opt 1: Min 3, Max 13, Step 5
Opt 2: Min 3, Max 13, Step 5​

from Jim Greening​
Source / From:
 

algoritma

→ein+1=0←
Algorithmist
Algoritma
Katılım
23 Eki 2020
Mesajlar
1,419

Tema PV Binary Wave and Tema QStick Formulas--use of

in MetaStock, from "JimG"

There are really two different ways to use these formulas. Since the Binary Wave is a smoothed addition of several technical indicators that each give +1 when bullish, 0 when neutral and -1 when negative, it makes sense that a positive number is bullish
and rising numbers are bullish. Similarly negative numbers and falling numbers are bearish.

The QStick is really a candlestick type indicator, but can be read as bullish or bearish in same way as the Binary Wave.

The two traditional ways to play them are to buy on a rise from a negative peak and sell on a fall from a positive peak, or to buy on a zero cross over to the upside and sell on a zero crossover to the downside. Of course you can optimize and find various buy and sell levels as long as you understand what is bearish and what is bullish.

My own MetaStock system tests alerts on the BW crossing a moving average of itself and buys or sells on a confirmation of Qstick turning positive or negative respectively. Having said that, I don't make my buy an sell decisions from the indicators or the system test. I do use the system test as an initial screen and use a buy signal as a flag to move the stock to my watch list. I make all buying and selling decisions based on the trend channels. Over the years, I've found that works best for me.

The HIGHER CLOSES MetaStock exploration should be entered as follows:

colA CLOSE
colB ref(C,-1)
colC ref(C,-2)
filter colA > colB AND colB > colC

{General Purpose Intermediate Term MACD Indicator}
( Mov( C,13,E ) - Mov( C,34,E ) ) - Mov( ( Mov( C,13,E ) - Mov( C,34,E ) ),89,E )

{General Purpose Short Term MACD Indicator}
( Mov( C,8,E ) - Mov( C,17,E ) ) - Mov( ( Mov( C,8,E ) - Mov( C,17,E ) ),9,E )

kaynak :
metaformula
 

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