Hello Bob, I do not have access to the magazine right now. However, does the article have the WealthLab and StrataSearch extras.
With Regards, Sanjiv Bansal --- In amibroker@yahoogroups.com, Bob Waits <bobwai...@...> wrote: > > Some of the other systems have done some backtesting and used it other > indicators. > > Wealthlab uses ATR Trailing stop. On S&P emini, the strategy > was effective in entering and remaining in large trends and generated around > $33,000 in profits trading two contracts 24 times in the past two > years, not including slippage and commissions. > > StrataSearch said the indicator was > not very effective by itself on Nasdaq 100 stocks, but combining with other > indicators the VI yielded more than 35% annual > return with more than 65% profitable trades. > > And TraderStudio said that the VI system was more profitable and higher > Sharpe ratio than DMI on futures but the opposite on Nasdaq stocks. > > > > > > > ________________________________ > From: Richard <richpa...@...> > To: amibroker@yahoogroups.com > Sent: Thu, December 31, 2009 10:07:38 PM > Subject: [amibroker] Re: Vortex Indicator > > > 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 amibro...@yahoogrou ps.com, "droskill" <droskill@ .> 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 amibro...@yahoogrou ps.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: amibro...@yahoogrou ps.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. > > > > > > > > > >