Idea

September 12th, 2011, 05:59 AM

Hi, I have found this idea at Jeffrey Katz Book but I don't get it at all. Can anyone help me to programm this?
If a new 50-day high has occurred within the last 10 days, then Buy. If a new 50-day low has occurred within the last 10 days, then Sell.

// Condition set 1
if (MAX(High, 50)[0] > MAX(High, 10)[0])
{
EnterLong(DefaultQuantity, "");
}

// Condition set 2
if (MIN(Low, 50)[0] < MIN(Low, 10)[0])
{
EnterShort(DefaultQuantity, "");
}

I'm not sure if it's like this.... some help...

September 12th, 2011, 07:56 AM

Kush

Hi, I have found this idea at Jeffrey Katz Book but I don't get it at all. Can anyone help me to programm this?
If a new 50-day high has occurred within the last 10 days, then Buy. If a new 50-day low has occurred within the last 10 days, then Sell.

// Condition set 1
if (MAX(High, 50)[0] > MAX(High, 10)[0])
{
EnterLong(DefaultQuantity, "");
}

// Condition set 2
if (MIN(Low, 50)[0] < MIN(Low, 10)[0])
{
EnterShort(DefaultQuantity, "");
}

I'm not sure if it's like this.... some help...

I guess you can use 50 period SMA applied to the high of bars. Now when close of current bar crosses above this 50 period SMA for highs with look back period of 10 it will meet the condition.

// Condition set 1
if (CrossAbove(Close, SMA(High, 50), 10))
{
EnterLong(DefaultQuantity, "");
}
// Condition set 2
if (CrossBelow(Close, SMA(Low, 50), 10))
{
EnterShort(DefaultQuantity, "");
}

You can use the wizard to enter these conditions. Use input series as high or low of price bars.

September 12th, 2011, 08:13 AM

Kush

Hi, I have found this idea at Jeffrey Katz Book but I don't get it at all. Can anyone help me to programm this?
If a new 50-day high has occurred within the last 10 days, then Buy. If a new 50-day low has occurred within the last 10 days, then Sell.

// Condition set 1
if (MAX(High, 50)[0] > MAX(High, 10)[0])
{
EnterLong(DefaultQuantity, "");
}

// Condition set 2
if (MIN(Low, 50)[0] < MIN(Low, 10)[0])
{
EnterShort(DefaultQuantity, "");
}

I'm not sure if it's like this.... some help...

Sorry, these conditions do not make sense. Let us examine

Code

if (MAX(High, 50)[0] > MAX(High, 10)[0])

This means that the high of the last 50 bars was higher than the high at the last 10 bars. This is the case if after a new high you observe 10 bars with a lower high. This really does not make sense as a condition to enter long. Also, it would be enough to write

Code

if (MAX(High, 11)[0] > MAX(High, 10)[0])

to trigger that same entry. The first condition will just trigger additional entries with each following bar that closes below the swing high.

I am sure that Jeffrey Katz did not specify any such condition. Best you point us directly to the source of your wisdom, so that we can find out, what he really meant.

September 12th, 2011, 10:23 AM

It is explain in the page of 261 of the book The Encyclopedia of Trading Strategies:

If a new 50-day high has ocurred within the last 10 days, then True, else False. Instead True, it can be Buy

I don't know how can I programm this????

September 12th, 2011, 11:01 AM

Kush

It is explain in the page of 261 of the book The Encyclopedia of Trading Strategies:

If a new 50-day high has ocurred within the last 10 days, then True, else False. Instead True, it can be Buy

I don't know how can I programm this????

Katz/McCormick used that condition for one of the rules for a genetic optimizer. It is not an entry condition but a trendfilter.

The code in NinjaTrader would look like this:

Code

private bool rule_6 = false;
for (int i=0; i < 10;  i++)
{
     if ( High[i]  ==  MAX(High, 50)[i]
              rule_6 = true;
}

September 12th, 2011, 01:06 PM

Thank you for the explanation! Yes I found it in the chapter about Genetic Algorithms.

Thank you.

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