The MTF is copyright protected by Jose Silva, I won't divulge the code.download the free version of VST and try it yourself before you upgrade to the full version.

as for a trend filter, there are several types,trend advisor diamond phase,3 consecutive closes above a MA

2 MA types,RSI greater than 50 and so forth.

You can come up with your own trend filter, but without VST Pro you still will not be able to find the profit and risk between your systems

Anton,

The code for both VSTfree and VSTpro is open -- you can view it to your heart's content. Download link for VSTfree is here.

You can see the VSTpro trades here -- check it at week's end and follow/verify the trades yourself, as they occur.

Anton, it's pretty simple -- apply template, modify indicator, refresh chart. After you've done it once correctly, you should be off to the races. Here's the details:

Load any chart or symbol, right-click for menu and left-click on "Apply template"; pick "Vst Custom Strategy.mwt". If you don't have that template -- if only "Vst.mwt" is listed -- then download the Custom Strategy addon here and install it.

Once the template is applied, just replace the sample code with your stuff:

entry:= {<-- Do not change entry parameter name}
Mo(Mov(HHV(C,21),70,E),10)>100;

exit:= {<-- Do not change exit parameter name}
Mo(Mov(HHV(C,21),70,E),10)<100;

Do this by double-clicking on the indicator in the 2nd from the top window, labeled "VST Custom Strategy", then click on the FORMULA tab. Replace the sample code with the above.

BE CAREFUL NOT TO OVERWRITE OTHER CODE. Only change between these two comments:

{*** Place your custom strategy code below ***} Between here...

...your code here...(see above)

{Display - signals must be +1/-1 format} ...and here.


Always nice to have something to compare to, to see if you got it right, so here you go...

Below is your system in VSTfree:



Below is your system in VSTpro:



Some additional details/info from the VST blog.

Henry,

It will probably keep him busy for awhile -- be interesting to see his comments, if he reports back after playtime.

Let's assume: you get in or start at the worst moment: just before the top around 30,000. The Hang Sang collapses with 60%, my system never loses more then 25%. The Hang Sang has lost at the end still about 25% but my system still shows a small profit.

At least as compared with buy and hold, it's more profitable.

Notice the relative low number of transactions. And keep in mind that in the longer "out of the market" periods probably also a few % interest could be added.

But I will take my hat off for anyone who has another system that is more profitable in any circumstance to be tested.

Anton,

It looks like you're "Cherry-picking" timeframes...

With 3000 periods (12 years), it shows ~70% max risk and a P/R of 0.5 to 1.


>>But I will take my hat off for anyone who has another system that is more profitable in any circumstance to be tested.

Reset your "Load options", then try some of the VST signals under "Entry/Exit suggestions", like 6/1.

Anton -- You have me a bit confused...

1. First, I don't quite understand the reasoning behind your system:

entry:=Mo(Mov(HHV(C,21),70,E),10)>100;
exit:= Mo(Mov(HHV(C,21),70,E),10)<100;

It looks the rate of change in an average of the highest monthly closes over the past quarter -- is that right?


2. Your spreadsheet appears to hold test results for different lengths of time.

--Are these percentages (%)?

--Why the different durations -- was this some kind of "walk-forward" testing? But, if you're testing for 15 years, that should be close to 4000 bars...not sure what you're trying to accomplish here.


3. Testing

-- System Tester: It might be better if you didn't use this at all. Among other things, it makes unrealistic assumptions (like betting all capital on each stock); most systems (including yours) show a high percent of winners.

--VSTpro has a chart-viewable, customizable Exploration which returns a sortable list of P/R ratios, which you can then copy over to Excel to compare Median P/R's between systems/variations. See this page, about 2/3's of the way down. (Note: VSTfree has no built-in Explorations.)

--FWIW, I ran a Standard and a Monte Carlo analysis of your system under TradeSim on the S&P 500. Both had drawdowns of ~50%; Monte Carlo analysis showed an ~80% probability of loss.

Ad3. See above. The strange thing is: of all standard Metastock incorporated trade systems there are only two systems that prove to be consistently better then buy and hold (why trying to trade if leaning back is more profitable then trading and with less efforts ???). Both pp: systems are black box systems (code protected) ie. PP:: CCI modified is always making a fortune: ok you need 860 trades in 1900 periods. Sometime you seem to be able to make profitable daily trades (in-out) and that every day up to 10 days on a row! This makes me suspicious that this can't be true. There must be some form of cheating involved. (You also won't be able to cash or enter at the projected exit and entry prices every time. 860 times 2 a 0.5% difference/spread and .... everything is gone) ) So these standard added Metastock systems are laborious, hazardous and in my point of view unbelievable (black box) systems. The same for the pp: pivot rotation system but in a lesser extend. All other systems don't keep consistently up with buy and hold.

I like transparent systems (open code) and the big advantage of the VST is that you can check visually that the profits are probably believable true. Chapeau!

The problem with the chart view profit/risk system in VST that you mention is, that I have to run it for every 25 stocks separately by hand. Then average those results for 25 stocks per period by hand, and then also do that for every +100 time period. I don't hate working but you can overdo! Thats the advantage of a good automated computer program: it should do the dumb work for you! :-) But I will look deeper into your remarks about this with VST.

I will also look into your remarks on the risks, because they are not unimportant but as I said: it's not only the odds but also the reliability of those odds tested on a large scale.


Completely off topic: There are also casino systems for only black and only red bets: start with a bet X and if you lose make a new bet with 2X which compensates the previous losses. If you lose, make a new bet of 2x2xX until you win. And start then over again. You should leave the casino after a last win. Sounds nice does it? This seems a profitable system and beat out the luck factor until you realise that the 0 with all bets going to the bank makes it an unreliable system and puts back in all risks again. (your position might be at that moment 2x2x2x2x2x2xX). Also the assumption that your chances are 50% - 50% is unvalid. It's in reality (18/36)*(36/37)% which boils down to roughly 47,5 % for you and 52.4% for the bank. If you play long enough you will most predictably finally meet the 1 in a million chance of getting 10 blacks in a row and this situation will exceed your x-10th financial budget if the zero did not do this before in such a critical position.

But I will have a look at your Monte Carlo and standard analysis suggestion. Interesting thread and good quality discussion!

Hello again. Anton. My purpose was not do abuse all use of mathematics or statistics. I consider this one side of a coin, and exactly that. The likeness to a casino is one I cannot agree with. The reasoning concerning the roulette I understand completely, and agree with. But in my opinion, trading is not to be compared to a casino. Human actions and mindsets do not control what number comes up at the roulette. Just taking a quick look at one of the graphs you pasted (don't know how to copy and paste that here yet) I can tell that the first two buys are unwise. The one near the top of the bull, and the one near the top of the upwards correction. Both these trades fail in your system and create a loss. If you remove those two, what effect would that have on you profit and loss? There are most likely more such trades, but just looking at the graph on your post at "02-24-2011, 13:07" they are visible right off. Even though robots trade the markets, humans program the robots. You have friends whose actions you could predict better than back-tested statistical systems of the last 15 years. Perhaps not exactly what this friend would do, but what they would likely do, and perhaps even more to the point, what they would not do. People change, so do markets. I do not dismiss your system. I am putting forward the idea that combined with a different aspect of trading, it could be better. I trade using pure price action and one moving average. I have stopped using all other oscillators and studies. I place my trades when the market is closed, and do so every day by trading the dailies in Swedish stocks. If I change to weeklies, which I also trade, I need to to this once a week during the weekend. And I do alright. So it can be done. Have to go, got company. Will write again. I think we can have a very constructive discussion. Best regards

Hello again. You write "no one would be able to tell me if a continuation bull market pattern will follow post entry or a bear market or a side ways moving market" concerning the top for Hang Seng that I made a comment on (and in general of course). Well, actually, you could be quite sure that a continuation bull market pattern would not follow at the time of that entry. Whether a bear market or sideways trend would follow is harder, but since you only go long here that that would not matter to you. I tried to insert an image here to show why but I did not succeed. How do I paste a graph here? I will try to write it instead. On the weekly of the Hang Seng during 2007 you have a bull trend with the angle of the trendline increasing constantly. In March you have a small test of the EMA20 but no break of a major trendline. This however is a small warning, not to go short, but to be on the lookout for further warnings. In August, which is on your chart I commented on earlier, there is a proper break of a major trendline as well as the EMA20. Again, this does not signal to go short, it is even a buy signal. However, now is the time to start looking for a really good looking reversal as a double top/higher high/lower high. Lets call this Setup A. No such signal appears until a doji at the first week of October. A doji as a reversal is a weak one, and this one is not hit since I would go short a few ticks below it. Three weeks later there is a climactic outside bar immediately followed by an absolutely perfect reversal bar. The slop of the bull during these last months has been every increasing to an angle that basically always result in a proper correction. At this point going long is absolutely out of the question in my world. And I would go short. Here your system goes long. There might be a sideways market but that too would be okay, for I would grab half my profits after a two-legged correction or at the EMA. The rest I would keep with a stop-loss at breakeven. The market then comes back up again after hitting the EMA20 - where I would have sold half my position. During the first weeks of December another excellent reversal bar is formed which can be used to add to the existing short position (or not). My stop would not have been even close to getting hit. Then the market comes back down again until March 2008. Then it starts back up. At this point the market is a bear market. When it comes back up again it breaks through a major bear trendline and the EMA20 at the end of April. This move is the same as Setup A above. It is not a time to go long, it is even a sell signal. Here again your system goes long. It is also a time to be on the lookout to go long with the same kind of setup that followed that previous Setup A. There actually is such a setup that fails in July and creates a failed reversal at the EMA20. But lets be clear. I am not trying to force you to a certain point of view. If you believe that pure numbers is how you best like to trade you go for it. At no point have I said that your approach is useless since it is no such thing. If you want to dismiss a different kind of trading than your systems out of hand then you should do that. But consider this. We all need an edge. What do people interested in trading spend most time doing? Just look at this forum. They spend it looking for the basically automated system that "keep the emotion out". This is a crowded part of trading the markets. Thousands and thousands spend countless hours looking for these formulas. You compete with private persons, with banks, hedge funds and what not. How many of these thousands of people spend even a fraction of their time experiencing the markets, learning to read charts and not just programming formulas to test? All I am saying is here is a suggestion that if you do both, then you might really have an edge. That is my belief, it need not be yours. But think about it. Greed and fear as instincts stay the same, there I agree. But how the markets behave, how fast they move and for how long etc, that does change. If they did not, we would all have had the perfect automated system a long time ago.