Hello

I have found a system in Forum a while back that visually seems to capture some very nice moves in price trends (loosely defined). The original system (with some of my own tweaks) is as follows:

atrprd:=Input("ATR Period",5,20,20);
numatrs:=Input("Num ATRs",.5,4,2);
prd:=Input("Mov Avg Prd",1,20,3);

perc:=numatrs*ATR(atrprd)/C;

var1:=If(( Mov(C,prd,S) *(1-perc))>PREV, Mov(C,prd,S) *(1-perc),If(( Mov(C,prd,S) *(1+perc))<PREV, Mov(C,prd,S) *(1+perc),PREV));

LE:=ref(cross(L,var1),-1);

LX:=ref(cross(var1,L),-1);

SE:=ref(cross(var1,H),-1);

SX:=ref(cross(H,var1),-1);

When I run it on daily SPY from 1/1/97 to present (trade at Open, no delay, 1 position, 100% equity, no margining, $10 per trade), however, I get a terrible equity curve that doesn't agree with my visual inspection of many of the trade signals.

Has anybody looked into similar systems? Any suggestions about the system above?

Many thanks.

ZigZag

hi elec

thanks for your reply.

i don't quite understand what you are trying to tell me. you copied the exact same trading rules from my original message.

i am hoping that someone improved that system. it seems to have potential, perhaps with some tweaks or in conjunction with other indicators.

thanks

ZigZag

Wabbit

Many thanks for your post - insightful and helpful as usual.

I did test the system and posted the question in Forum in haste. Upon further thought, some reseach into using this system in conjunction with a trending indicator should yield interesting results.

Rgds

Leonardo