Hi "droskill",
I am a little confused by the rules as well. Sum(abs(....)..) will never go
below 0 and you can see it if you plot VIP or VIM.
As the result, he rules do not generate any Buy or Sell signals.
Buy=Cross(VIP,1); seems to create some reasonable entries but this is not what
the rules say.
Regards
Richard
--- In amibroker@yahoogroups.com, "droskill" <drosk...@...> wrote:
>
> The AB code is defined as:
> // Vortex Indicator
> // S&C Traders Tips Jan 2010
> period = Param("Period", 14, 2 );
>
> VMP = Sum( abs( H - Ref( L, -1 ) ), period );
> VMM = Sum( abs( L - Ref( H, -1 ) ), period );
> STR = Sum( ATR( 1 ), period );
>
> VIP = VMP / STR;
> VIM = VMM / STR;
>
> Plot( VIP, "VI"+period+"+", colorBlue);
> Plot( VIM, "VI"+period+"-", colorRed );
>
> The system is defined as:
>
> - Go long when the VI (or Dmi) goes from less than zero to greater than zero.
> - Go short when the VI (or Dmi) goes from above zero to less than zero.
> - All trades are placed "next day market on open."
>
> That would translate to:
>
> SetTradeDelays(1,1,1,1); // everything delayed 1 day
> Buy = VIP > 0 AND Ref(VIP,-1) < 0;
> BuyPrice = Open;
> Sell = VIP < 0 and Ref(VIP,-1) > 0;
> SellPrice = Open;
> Short = Sell;
> Cover = Buy;
>
> That should do it - I've not tested this but it should be close.
>
>
>
> --- In amibroker@yahoogroups.com, Bob Waits <bobwaits2@> wrote:
> >
> > I have the magazine and the formula, but it is only for the oscillator and
> > not for a trading system, which Tradestation and Nuroshell have provided. I
> > was wondering if anybody has used this as a system and tested the validity
> > of this indicator.
> >
> >
> >
> >
> >
> >
> > ________________________________
> > From: droskill <droskill@>
> > To: amibroker@yahoogroups.com
> > Sent: Wed, December 30, 2009 8:15:57 PM
> > Subject: [amibroker] Re: Vortex Indicator
> >
> >
> > Here:
> >
> > http://www.traders. com/Documentatio n/FEEDbk_ docs/2010/ 01/TradersTips.
> > html#TT4
> >
> > --- In amibro...@yahoogrou ps.com, Bob Waits <bobwaits2@ ..> wrote:
> > >
> > > In the latest S&C magazine, there is a nice article on Vortex Indicator.
> > > While the formula for the indicator is listed in the magazine, I was
> > > wondering if anyone has written a code for turning this into a system and
> > > testing the validity of this indicator. The Tradestation and Nuroshell
> > > has code for an entry, exit and shorting strategies.
> > >
> > > Thanks.
> > >
> >
>
