Hi Folks,
Here is my dilemma.
I have been tinkling with a system, which is basically a cross over of
Emas, but sometimes the whip saws kill me. My terminology and system
is as follows. I use 10 minute charts for intra-day.
Small = 5;
Large = 75;
Diff = EMA(c,small)- EMA(c,large);
displacement = optimize("displacement",3,1,20,1);
// this is the value that Diff must have attained to save me from
whipsaws.
since = optimize("since",4,1,5,1);
// this is the number of 10 minute bars since the cross over to save
whip saw.
I have been trying various buys and sells without success as follows.
Buy[0]=0;
Buy = BarsSince(Cross(small,large)) > since AND Diff > displacement ;
Sell= BarsSince(Cross(large,small)) > since AND Diff < displacement ;
Short=Sell;
Cover=Buy;
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
NOW :
These buys and sells don't work. I do get buys and sells even before
the crossover actually happens. I know i am wrong somewhere.
Would some kind soul put in the right lines for me.
I want the emas cross each other first and then travel the optimized
no. of bars remaining crossed and also the optimized diff must also be
attained before any whip saw so that I enter into the trade.
If the displacement or diff criterion is NOT met the cross over
should be ignored as whip saw and we should go on looking for another
cross over and remain in the previous trade.
Goes without saying that at each signal, i would reverse my position.
If i was long by 100 units, i would short 200 and vice versa.
Kindly do suggest the values range for optimization of the
displacement and diff variables keeping in mind that I use 10 minute
charts and live in a pretty volatile market and whipsaws are pretty
common. My system does give me fair return but the usual winning to
loosing trade ratio is 1:4.
I can also provide the data and my back test results
Thanks in anticipation and lots of regards.
drk_411
