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HOW DO I USE THE LATCH FUNCTION? - HOW DO I USE THE LATCH FUNCTION?
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Alan R  
#1 Posted : Sunday, December 12, 2010 8:58:33 AM(UTC)
Alan R

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Joined: 9/23/2009(UTC)
Posts: 51
I have an Expert Advisor that shows my buy and sell signals. However, it also shows multiple buy signals without an intervening sell signal. I am trying to us the Latch function to solve this problem I have added the forum.dll but don't know how to implement the latch code.

In my expert advisor under the Symbols tab I have added a Buy signal with the following code:

LE:= Cross(LinRegSlope(CLOSE ,310 ), Mov(LinRegSlope(CLOSE ,310 ),3,S));
LX:= Cross(Mov(LinRegSlope(CLOSE ,310 ),3,S),LinRegSlope(CLOSE ,310 ));

Z:= ExtFml("forum.Latch",LE,LX,0,0);
EnterLong:=Z = 1 AND Ref(Z,-1) 1;
ExitLong:=Z = 0 AND Ref(Z,-1) = 1;

EnterLong;
ExitLong;

The Sell indicator has the following code:

LE:= Cross(LinRegSlope(CLOSE ,240 ), Mov(LinRegSlope(CLOSE ,240 ),5,S));
LX:= Cross(Mov(LinRegSlope(CLOSE ,240 ),5,S),LinRegSlope(CLOSE ,240 ));

Z:= ExtFml("forum.Latch",LE,LX,0,0);
EnterLong:=Z = 1 AND Ref(Z,-1) 1;
ExitLong:=Z = 0 AND Ref(Z,-1) = 1;

EnterLong;
ExitLong;

I think this in incorrect but I don't know how to do it correctly.

I am still getting multiple buy signals in a row. What am I doing wrong?

Can someone guide me through implementing this correctly?
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henry1224  
#2 Posted : Sunday, December 12, 2010 4:09:17 PM(UTC)
henry1224

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Was thanked: 3 time(s) in 3 post(s)
in your expert Advisor

long signal:

LE:= Cross(LinRegSlope(CLOSE ,310 ), Mov(LinRegSlope(CLOSE ,310 ),3,S));
LX:= Cross(Mov(LinRegSlope(CLOSE ,310 ),3,S),LinRegSlope(CLOSE ,310 ));

Z:= ExtFml("forum.Latch",LE,LX,0,0);
Z = 1 AND Ref(Z,-1) <> 1


sell signal:

LE:= Cross(LinRegSlope(CLOSE ,240 ), Mov(LinRegSlope(CLOSE ,240 ),5,S));
LX:= Cross(Mov(LinRegSlope(CLOSE ,240 ),5,S),LinRegSlope(CLOSE ,240 ));

Z:= ExtFml("forum.Latch",LE,LX,0,0);
Z = 0 AND Ref(Z,-1) = 1;


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Alan R  
#3 Posted : Wednesday, December 15, 2010 4:24:20 AM(UTC)
Alan R

Rank: Advanced Member

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Joined: 9/23/2009(UTC)
Posts: 51

Thanks Henry1224 for correcting my code. However, I must still have something wrong. When I create an Advisor with the corrected code under the Symbols Tab with separate Buy and Sell signals I still see multiple Buy symbols without a Sell symbol in between. Same with multiple Sell symbols without a Buy symbol in between. For example when I open a Clean chart for DIA I see three Sell symbols in October 2010 without Buy symbols in between.

Do I need to update the Forum.dll? It has been a year or more since I installed it. Has there been an update to solve this problem or am I still not implementing the code correctly?

Thanks for your help.

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henry1224  
#4 Posted : Wednesday, December 15, 2010 5:01:21 AM(UTC)
henry1224

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Was thanked: 3 time(s) in 3 post(s)
without using the latch

Long entry

Z:=If(LinRegSlope(C,310 )>Mov(LinRegSlope(C,310 ),3,S),1,
If(Mov(LinRegSlope(C,310 ),3,S)>LinRegSlope(C,310 ),-1,0));
Z=1 and Ref(Z,-1)<>1

Long exit

Z:=If(LinRegSlope(C,310 )>Mov(LinRegSlope(C,310 ),3,S),1,
If(Mov(LinRegSlope(C,310 ),3,S)>LinRegSlope(C,310 ),-1,0));
Z=<>1 and Ref(Z,-1)=1

Short Entry

Z:=If(LinRegSlope(C,310 )>Mov(LinRegSlope(C,310 ),3,S),1,
If(Mov(LinRegSlope(C,310 ),3,S)>LinRegSlope(C,310 ),-1,0));
Z=-1 and Ref(Z,-1)<>-1

Short Exit

Z:=If(LinRegSlope(C,310 )>Mov(LinRegSlope(C,310 ),3,S),1,
If(Mov(LinRegSlope(C,310 ),3,S)>LinRegSlope(C,310 ),-1,0));
Z=<>-1 and Ref(Z,-1)=-1
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henry1224  
#5 Posted : Wednesday, December 15, 2010 5:17:13 AM(UTC)
henry1224

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Was thanked: 3 time(s) in 3 post(s)
just a note about your system

UserPostedImage

the system doesn't preform well in a sideway market
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henry1224  
#6 Posted : Wednesday, December 15, 2010 5:26:10 AM(UTC)
henry1224

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Posts: 1,394
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Was thanked: 3 time(s) in 3 post(s)
using a shorter LRS

UserPostedImage
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Alan R  
#7 Posted : Wednesday, December 15, 2010 5:38:22 AM(UTC)
Alan R

Rank: Advanced Member

Groups: Registered, Registered Users
Joined: 9/23/2009(UTC)
Posts: 51
Here is the results of my Simulation. Next reply will show the System.






Summary
!My LR Trading System
S&P 500 INDEX (.SPX)

Simulation Date 12/11/2010 11:28:48 AM
2515 Daily Bars 1/3/2000 Through 12/31/2009 (3650 Days)
Optimized System





Performance

Profit
$70273.84

Performance
140.55 %

Annualized Performance
14.05 %

Buy & Hold Profit
$-12051.10

Buy & Hold Performance
-24.10 %

Buy & Hold Annualized Performance
-2.41 %




Trade Summary

Total Trades
32

Trade Efficiency
18.31 %

Average Profit/Average Loss 3.19




Profitable Trades

Total
21

Long
11

Short
10




Average Profit
$4003.40

Highest Profit
$21627.04

Lowest Profit
$5.84

Most Consecutive 5




Unprofitable Trades

Total
11

Long
5

Short
6




Average Loss
$-1254.32

Highest Loss
$-3649.76

Lowest Loss
$-259.82

Most Consecutive 2




Maximum Position Excursions

Long Favorable
$15498.48

Short Favorable
$27900.00

Long Adverse
$-8507.42

Short Adverse $-3982.40




Trade Efficiency

Average Entry
57.88 %

Average Exit
60.44 %

Average Total
18.31 %




Average Long Entry
61.35 %

Average Long Exit
67.67 %

Average Long Total
29.01 %




Average Short Entry
54.41 %

Average Short Exit
53.21 %

Average Short Total 7.62 %





Performance Indices

Buy & Hold Index
683.13 %

Profit/Loss Index
83.59 %

Reward/Risk Index
96.62 %




Accounting

Initial Equity
$50000.00

Trade Profit
$84071.40

Trade Loss
$-13797.57

Commissions
$640.00

Interest Credited
$0.00

Interest Charged
$0.00

Final Equity
$120273.84

Open Positions $0.00




Account Variation

Highest Account Balance
$133281.84

Lowest Account Balance
$881.97

Highest Portfolio Value
$65552.04

Highest Open Drawdown
$-2454.59

Highest Closed Drawdown $-740.65




Account Events

Margin Calls
0

Overdrafts 5




Profitable Timing

Average Trade Length
87

Longest Trade Length
382

Shortest Trade Length
2

Total Trade Length 1844




Unprofitable Timing

Average Trade Length
27

Longest Trade Length
95

Shortest Trade Length
1

Total Trade Length 304




Out of Market Timing

Average
122

Longest
366

Total 367




Optimization Variables

OPT1
310.00

OPT2
3.00

OPT3
240.00

OPT4
5.00

OPT5
N/A

OPT6
N/A

OPT7
N/A

OPT8
N/A

OPT9
N/A

OPT10 N/A
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Alan R  
#8 Posted : Wednesday, December 15, 2010 5:40:05 AM(UTC)
Alan R

Rank: Advanced Member

Groups: Registered, Registered Users
Joined: 9/23/2009(UTC)
Posts: 51


System Details






!My LR Trading System

Optimized
Yes

Order Bias
Long

Portfolio Bias
Single

Position Limit
1






Notes








Buy Order

Order Type
Market

Order Expiration
Good Until Cancelled

Entry Size Method
Use Default Size




Signal Formula

Cross(LinRegSlope(CLOSE ,OPT1 ), Mov(LinRegSlope(CLOSE ,OPT1 ),OPT2,S))



Price Formula





Entry Size Formula










Strategic Delay
Tick
Minute
Day

# of Bars
0
0 0





Sell Short Order

Order Type
Market

Order Expiration
Good Until Cancelled

Entry Size Method
Use Default Size




Signal Formula

Cross(Mov(LinRegSlope(CLOSE ,OPT3 ),OPT4,S),LinRegSlope(CLOSE ,OPT3 ))



Price Formula





Entry Size Formula










Strategic Delay
Tick
Minute
Day

# of Bars
0
0
0






Sell Order

Order Type
Market

Order Expiration
Good Until Cancelled




Signal Formula

Cross(Mov(LinRegSlope(CLOSE ,OPT3 ),OPT4,S),LinRegSlope(CLOSE ,OPT3 ))



Price Formula









Strategic Delay
Tick
Minute
Day

# of Bars
0
0
0



Buy to Cover Order

Order Type
Market

Order Expiration
Good Until Cancelled




Signal Formula

Cross(LinRegSlope(CLOSE ,OPT1 ), Mov(LinRegSlope(CLOSE ,OPT1 ),OPT2,S))



Price Formula









Strategic Delay
Tick
Minute
Day

# of Bars
0
0
0







Stops




BreakEven Stop

Positions
None

Floor Level
0.00 %



Stop Loss

Positions
None

Stop Value
0.00 %




Trailing Stop

Positions
None

Profit Risk Value
0.00 %

Trailing Periods
0.0



Inactivity Stop

Positions
None

Minimum Value
0.00 %

Periods
0.0




Profit Target

Positions
None

Target Value
0.00 %








Simulation Options




General Options

Points Only Test
No

Initial Equity
50000.

Default Size
$50000.00 Cost

Trade Long
Yes

Trade Short
Yes

Optimization Results
5




Trade Execution Options

Realistic Market Prices
Yes

Buy Price
N/A

Sell Price
N/A

Sell Short Price
N/A

Buy To Cover Price
N/A

Delay To Open
1




Slippage

Buy
0.00 %

Sell
0.00 %

Sell Short
0.00 %

Buy to Cover 0.00 %





Broker Options

Interest Rates

Margin
0.00 %

Money Market
0.00 %




Margin Requirement

Long Initial
100.00 %

Long Maintenance
0.00 %




Short Initial
150.00 %

Short Maintenance
130.00 %




Commissions

Entry
$10.00 Per Transaction

Exit
$10.00 Per Transaction
So I'm probably not implementing the code correctly.
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Alan R  
#9 Posted : Wednesday, December 15, 2010 5:41:43 AM(UTC)
Alan R

Rank: Advanced Member

Groups: Registered, Registered Users
Joined: 9/23/2009(UTC)
Posts: 51
I have to go for now. Will review any response about 4AM Texas time tomorrow. Thanks for all your help today.
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henry1224  
#10 Posted : Wednesday, December 15, 2010 6:09:13 AM(UTC)
henry1224

Rank: Advanced Member

Groups: Registered, Registered Users, Subscribers
Joined: 10/29/2004(UTC)
Posts: 1,394
Location: Glastonbury, CT

Was thanked: 3 time(s) in 3 post(s)
here is the SPX using your system over a 12 year period

UserPostedImage
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henry1224  
#11 Posted : Wednesday, December 15, 2010 6:41:24 AM(UTC)
henry1224

Rank: Advanced Member

Groups: Registered, Registered Users, Subscribers
Joined: 10/29/2004(UTC)
Posts: 1,394
Location: Glastonbury, CT

Was thanked: 3 time(s) in 3 post(s)
here is the SPX short using your optimized system 240 /5 ma smoothing

UserPostedImage
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henry1224  
#12 Posted : Wednesday, December 15, 2010 7:35:55 AM(UTC)
henry1224

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Alan,

Do not think that your code is incorrect!

The difference between my charts and your enhanced system tester is that I used the VST pro add-on from www.metastocktools.com . The EST that comes with Metastock is a pile of junk
IMHO. When it was re written years ago,several users complained to no avail.

yes your figures look good in the reports, but when you apply them to the chart,you will see that the buy and sell arrows do not match up.

There is no mumbo jumbo with VST Pro! What you see is what you get!

The following features of metatsock are useless IMHO

the enhanced system tester, Optionscope, and Reuters Powerscreener

The VST Pro is a far superior product than EST.
http://www.optionvue.com/ is a better choice than Optionscope
and most online brokerages have better screeners than Reuters Powerscreener

unless Equis corrects these issues, they will continue to see their sales dropping.
With the advances in computers and operating systems, Metastock still uses only 1 core and doesn't support multi thread processing. Buying a new laptop with Quad core processors
is to no advantage running 1.7 cpu vs a duo core at 2.5cpu

If you follow the changes that metastock has made from the early versions 6.5 and on
version 7.0 and on has allowed dll's and the explorer now allows for more than 6 columns
and the ability to run explorations from the results of prior explorations.

that it, all of the other upgrades feature new add-ons formulas

Metastock needs to overhaul it's software

starting with the downloader's ability to rename files due to symbol changes. a utility file to maintain the data files would help.
the formula language should be expanded with new functions,and they need to address the limits in the expert advisor , indicator builder,system tester,and explorer
the boxes in the formula builder and experts should be expanded into full page boxes.
also the ability to copy a highlight or symbol in the expert advisor would help
they should rewrite the system tester entirely, based on 4 entry conditions long entry, long exit, short entry, and short exit. It should enable portfolio testing and Monte Carlo simulations as well as walk forward testing.
they should create a portfolio application,where you could track your holdings. It could have the expert advisors attached to it, so when you click on the symbol your chart would pop up with the expert attached.
Sorry for the rant,

henry


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billtrudeau  
#13 Posted : Wednesday, December 15, 2010 10:15:02 AM(UTC)
billtrudeau

Rank: Advanced Member

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Posts: 132
Location: Manchester, NH
I have been using MetaStock for close to 20 years. Equis once had a portfolio program called Pulse and a market analysis program called the Technician. They discontinued those programs at least 10 years ago, maybe longer.

It would be nice if they would provide a little guidance as to what the future direction for MetaStock will be. Is it now just a cash cow that is going to slowly fade away or will they update it to include many on the features that most users would like to see included?
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Alan R  
#14 Posted : Thursday, December 16, 2010 3:38:14 AM(UTC)
Alan R

Rank: Advanced Member

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Joined: 9/23/2009(UTC)
Posts: 51

Henry:

Thanks for the enlightenment about MetaStock as I was not aware of these weaknessess. Guess I need to backup and regroup.

Question: Does the VST Free version allow for testing my own trading system or is it locked to the one installed when VST is downloaded?

Alan,

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henry1224  
#15 Posted : Thursday, December 16, 2010 4:27:26 AM(UTC)
henry1224

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Posts: 1,394
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Was thanked: 3 time(s) in 3 post(s)
The VST pro is like system testing on steroids.
you get more indicators,more systems,more templates, and no bs.

it will show you which system is better,based on risk.
it will determine the size of trade.
it has built in market trend filters,stoploss

It is the most superior add-on that I have ever seen
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Alan R  
#16 Posted : Thursday, December 16, 2010 4:44:47 AM(UTC)
Alan R

Rank: Advanced Member

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Joined: 9/23/2009(UTC)
Posts: 51

I would like to try out the FREE version before making the big plunge into the PRO version. Do you know if I can test out my own trading system with the FREE version?

I am just getting started with trying to design a trading system and I would like to see some sign that I can be successful before making a big investment.
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Alan R  
#17 Posted : Thursday, December 16, 2010 5:03:05 AM(UTC)
Alan R

Rank: Advanced Member

Groups: Registered, Registered Users
Joined: 9/23/2009(UTC)
Posts: 51

Bill:

How are you using MetaStock successfully with your experience. I have only had MetaStock for about 9 months and am still learning about the software.
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Alan R  
#18 Posted : Tuesday, January 18, 2011 3:50:46 AM(UTC)
Alan R

Rank: Advanced Member

Groups: Registered, Registered Users
Joined: 9/23/2009(UTC)
Posts: 51

I am trying to use the latching idea without the external latching DLL as suggested. However I have changed the indicators. The following is the new code but I still get mulitiple LONG and SHORT signals. (I wanted to add a chart but did not see how to do so).

LONG:

Z:= If(LinRegSlope(CLOSE,10) > 0 AND Cross(RSquared(CLOSE,10), .4),1,
If(LinRegSlope(CLOSE,10) < 0 AND Cross(RSquared(CLOSE,10), .4),-1,0));

Z=1 AND Ref(Z,-1)<>1

SHORT:

Z:= If(LinRegSlope(CLOSE,10) > 0 AND Cross(RSquared(CLOSE,10), .4),1,
If(LinRegSlope(CLOSE,10) < 0 AND Cross(RSquared(CLOSE,10), .4),-1,0));

Z=-1 AND Ref(Z,-1)<>-1
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johnl  
#19 Posted : Tuesday, January 18, 2011 6:52:42 PM(UTC)
johnl

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Posts: 602
Here is the original latch code from Wabbit:

x:=BarsSince(a1)<BarsSince(a2); {latch}
x:=Alert(x,2) AND a2; {first a2 after a1}
x;

I use this code to clean up signals.
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