Higher high since event?

March 11th, 2010, 07:53 AM

Hi all,

I'm trying to code something in Ninja based on a paper I read. It's all straight forward to me except for one rule:

If the Close is above the MA, that is the setup bar. The next close above the MA that is higher than the close of that first setup bar is your long entry point.

Sounds simple but I'm scratching my head on this one. My fear is that it needs something like the ZigZag code.

Am I missing a simple way to do this?

Thanks!

March 11th, 2010, 07:58 AM

MXASJ

Hi all,

I'm trying to code something in Ninja based on a paper I read. It's all straight forward to me except for one rule:

If the Close is above the MA, that is the setup bar. The next close above the MA that is higher than the close of that first setup bar is your long entry point.

Sounds simple but I'm scratching my head on this one. My fear is that it needs something like the ZigZag code.

Am I missing a simple way to do this?

Thanks!

Perhaps just a flag would do it

Code

                            

#var
private int flagbar;

#onbarupdate
if (Close[0] > ma[0] and flagbar == 0)  flagbar = CurrentBar;
else
flagbar = 0;

if (flagbar > 0 && Close[0] > Close[CurrentBar - flagbar] and Close[0] > ma[0])
DoYourThing();

You'll need to reset flagbar back to 0 somewhere too, like once in a position or once a setup fails, whatever...

Mike

March 11th, 2010, 09:07 AM

Thanks Mike!

I think I'm lost at the reset thing. This is where I am now:

Code

                            
private void HhLl()
{
if (Close[0] > EMA(fastMA)[0] && Close[0] > EMA(slowMA)[0] && flagbarlong == 0) flagbarlong = CurrentBar;
else
{
flagbarlong = 0; 
}
if (Close[0] < EMA(fastMA)[0] && Close[0] < EMA(slowMA)[0] && flagbarshort == 0) flagbarshort = CurrentBar;
else
{
flagbarshort = 0; 
} 
}
 
protected override void OnBarUpdate()/////////////////////////////////////////////////////////////////
{
HhLl();
 
if (Close[0] > EMA(fastMA)[0] && Close[0] > EMA(slowMA)[0]
&& flagbarlong > 0
)
GoLong();
 
if (Close[0] < EMA(fastMA)[0] && Close[0] < EMA(slowMA)[0]
&& flagbarshort > 0
)
GoShort();

If I get a close above/below the the two MAs, it will enter on the next bar even if that bar below/above the two MAs. Ideas?

March 11th, 2010, 08:26 PM

MXASJ

Thanks Mike!

I think I'm lost at the reset thing. This is where I am now:

Code

                            
private void HhLl()
{
if (Close[0] > EMA(fastMA)[0] && Close[0] > EMA(slowMA)[0] && flagbarlong == 0) flagbarlong = CurrentBar;
else
{
flagbarlong = 0; 
}
if (Close[0] < EMA(fastMA)[0] && Close[0] < EMA(slowMA)[0] && flagbarshort == 0) flagbarshort = CurrentBar;
else
{
flagbarshort = 0; 
} 
}
 
protected override void OnBarUpdate()/////////////////////////////////////////////////////////////////
{
HhLl();
 
if (Close[0] > EMA(fastMA)[0] && Close[0] > EMA(slowMA)[0]
&& flagbarlong > 0
)
GoLong();
 
if (Close[0] < EMA(fastMA)[0] && Close[0] < EMA(slowMA)[0]
&& flagbarshort > 0
)
GoShort();

If I get a close above/below the the two MAs, it will enter on the next bar even if that bar below/above the two MAs. Ideas?

Yes, you must remember:

Code

                            
Close[0] > Close[CurrentBar - flagbar]

</span></span>In other words, remember to compare to [CurrentBar - flagbar], so we look xx bars back for that closing price. You are looking at 'now' (0).

As for reset, the thing is that if flagbar != 0 then the condition will never again reset the flagbar itself. So if it happened on bar 500, then it would never happen again past bar 500.

What you need to do is create a situation where flagbar is reset to 0 so it can start evaluating again. That could either be a failure of some sort, or it could be taking a position. If you only do it when you take a position just keep in mind there could be a bunch of bars between the flag bar and the position bar, so much so it could be irrelevant. I would probably recommend something like a 'max conditional bars' reference, something like:

Code

                            
if (flagbar + 10 > CurrentBar) flagbar = 0;

This means that if 10 bars passed since the flagbar, we'll give up and start looking for a new setup.

Mike

March 12th, 2010, 08:15 PM

I'm still scratching my head on this one. Tried a few different variants, and the only thing that comes close is neither elegant nor 100% correct in following the original trading rule. Here is where I am. Commented out code is various things I tried in various combinations. FWIW I'm trying to code and reproduce the the results of the low-frequency macro strategy outlined by Klienman in his 2005 book "Trading Commodities and Financial Futures." I'll post it in the Elite methods section if I can reproduce his results.

Code

                            
private void HhLl()
{
if (Close[0] > EMA(fastMA)[0] && Close[0] > EMA(slowMA)[0] && flagbarlong == 0) flagbarlong = CurrentBar;
//if (flagbarlong + 10 > CurrentBar) flagbarlong = 0; 
else
{
flagbarlong = 0; 
}
if (Close[0] < EMA(fastMA)[0] && Close[0] < EMA(slowMA)[0] && flagbarshort == 0) flagbarshort = CurrentBar;
//if (flagbarshort + 10 > CurrentBar) flagbarshort = 0;
else
{
flagbarshort = 0; 
} 
}
 
protected override void OnBarUpdate()/////////////////////////////////////////////////////////////////
{
//HhLl();
 
if (Close[0] > EMA(fastMA)[0] && Close[0] > EMA(slowMA)[0]
&& Close[1] > EMA(fastMA)[1] && Close[1] > EMA(slowMA)[1]
//&& Close[2] > EMA(fastMA)[2] && Close[2] > EMA(slowMA)[2]
&& Close[0] > Close [1]// || Close[0] > Close [2]
//&& Close[0] > Close[CurrentBar-flagbarlong]
//&& flagbarlong > 0
)
GoLong();
 
if (Close[0] < EMA(fastMA)[0] && Close[0] < EMA(slowMA)[0]
&& Close[1] < EMA(fastMA)[1] && Close[1] < EMA(slowMA)[1]
//&& Close[2] < EMA(fastMA)[2] && Close[2] < EMA(slowMA)[2]
&& Close[0] < Close [1]// || Close[0] < Close [2]
//&& Close[0] < Close[CurrentBar-flagbarshort]
//&& flagbarshort > 0
)
GoShort();

March 12th, 2010, 09:40 PM

You still aren't checking for a higher close against the flagbar.

Code

                            
if (Close[0] > EMA(fastMA)[0] && Close[0] > EMA(slowMA)[0]
&& Close[1] > EMA(fastMA)[1] && Close[1] > EMA(slowMA)[1]
&& Close[0] > Close [1]
)
GoLong();

There is nothing there for the flagbar, so it's like the flagbar doesn't exist.

I don't understand the rules you need exactly, so I will keep it simple:

Code

                            
if (Close[0] > Close[CurrentBar - flagbar] && flagbar > 0)
GoLong();

This is the same thing I've said before

Let me know if it doesn't work. Let me make it clear --- Close[CurrentBar - flagbar] .... very important...

Mike

March 13th, 2010, 02:16 AM

Mike thanks for your input. I'm feeling very thick as I can't get this to trade. Feel free to give up on me, but this is where it stands:

Code

                            
private void HhLl()
{
if (Close[0] > EMA(fastMA)[0] && Close[0] > EMA(slowMA)[0] && flagbarlong == 0) flagbarlong = CurrentBar;
//if (flagbarlong + 10 > CurrentBar) flagbarlong = 0; 
else flagbarlong = 0; 
 
if (Close[0] < EMA(fastMA)[0] && Close[0] < EMA(slowMA)[0] && flagbarshort == 0) flagbarshort = CurrentBar;
//if (flagbarshort + 10 > CurrentBar) flagbarshort = 0;
else flagbarshort = 0;
 
if (flagbarlong + 10 > CurrentBar) flagbarlong = 0;
if (flagbarshort + 10 > CurrentBar) flagbarshort = 0;
}
 
protected override void OnBarUpdate()/////////////////////////////////////////////////////////////////
{ 
 
HhLl();
 
 
if (//Close[0] > EMA(fastMA)[0] && Close[0] > EMA(slowMA)[0]
//&& Close[1] > EMA(fastMA)[1] && Close[1] > EMA(slowMA)[1]
//&& 
Close[0] > Close[CurrentBar-flagbarlong] && flagbarlong > 0
)
GoLong();
 
if (//Close[0] < EMA(fastMA)[0] && Close[0] < EMA(slowMA)[0]
//&& Close[1] < EMA(fastMA)[1] && Close[1] < EMA(slowMA)[1]
//&&
Close[0] < Close[CurrentBar-flagbarshort] && flagbarshort > 0
)
GoShort();
}

The trade logic is as follows:

Code

                            
public class Kleinman : Strategy
//Notes: Klienman refers to this strategy in Chapter 10. It has two basic rules:
//Using daily charts, a close above the 23 and 30 day SMA is the long set-up signal. If the market excedes the 
//high of the set-up bar, enter long. Opposite for shorts. The example in the book is "always in"... you are either
//long or short the market. There is a suggestion that identifying range-bound markets and sitting on the sidelines will reduce losses.
//Revisions:

It's that "exceding the high of the setup bar" while it's still above/below the SMA that is giving me the agro. The closest I get using more brute-force coding (whats been commented out above) makes me want to pursue getting this right as it has some interesting results in backtesting.

March 13th, 2010, 02:19 AM

MX,

The code you provided is not taking trades?

If so, please add some Print(Time[0] + " (" + CurrentBar + "): flagbar = " + flagbarlong) code and paste results.

Mike

March 13th, 2010, 03:23 AM

OK. Since it is not taking trades I commented/uncommented out some code so it would take trades and Print() accordingly, as follows:

Code

                            
private void HhLl()
{
if (Close[0] > EMA(fastMA)[0] && Close[0] > EMA(slowMA)[0] && flagbarlong == 0) flagbarlong = CurrentBar;
//if (flagbarlong + 10 > CurrentBar) flagbarlong = 0; 
else flagbarlong = 0; 

if (Close[0] < EMA(fastMA)[0] && Close[0] < EMA(slowMA)[0] && flagbarshort == 0) flagbarshort = CurrentBar;
//if (flagbarshort + 10 > CurrentBar) flagbarshort = 0;
else flagbarshort = 0;

if (flagbarlong + 10 > CurrentBar) flagbarlong = 0;
if (flagbarshort + 10 > CurrentBar) flagbarshort = 0;
}

protected override void OnBarUpdate()/////////////////////////////////////////////////////////////////
{ 

HhLl();


if (Close[0] > EMA(fastMA)[0] && Close[0] > EMA(slowMA)[0]
&& Close[1] > EMA(fastMA)[1] && Close[1] > EMA(slowMA)[1]
//&& 
//Close[0] > Close[CurrentBar-flagbarlong] && flagbarlong > 0
)
GoLong();
Print(Time[0] + " (" + CurrentBar + "): flagbar = " + flagbarlong); 
if (Close[0] < EMA(fastMA)[0] && Close[0] < EMA(slowMA)[0]
&& Close[1] < EMA(fastMA)[1] && Close[1] < EMA(slowMA)[1]
//&&
//Close[0] < Close[CurrentBar-flagbarshort] && flagbarshort > 0
)
GoShort();
Print(Time[0] + " (" + CurrentBar + "): flagbar = " + flagbarshort);
}

All of the print statements in the look like this (but with different date and time stamps:

2010-03-12 04:00:00 (695): flagbar = 0

None of the printed flagbar values != 0. The first one was (20) and the last (695).

Higher high since event?

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Higher high since event?