Cyclical System

   Seems to work ok.

[Description="Cyclical System - J O Katz, TASC Feb99"]

thresh:=4; {omit whipsaw}

k:=3; {roc comparison period}

m:=63; {cycle period}

hld:=10; {maximum period holding position}

Value1:=Stdev(Ma(C,m,S)-Ma(C,m+k,S),20); { Volatility }

Value2:=Ma(C,m,S)-Ma(C,m+k,S); {relative comparison ratio}

tv1:=thresh*Value1;
EL:=Value2>tv1; {Enter Long}

CL:=Hist(Cross(Value2,tv1),-hld); {Close Long}

ES:=Value2<tv1; {Enter Short}

CS:=Hist(Cross(tv1,Value2),-hld); {Close Short}

JKcycl:=If(EL>0,+10,If(ES>0,-10,0));

JKcycl;

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maximo Members Profile Send Private Message Find Members Posts Add to Buddy List BullCharts Guru Joined: 02 Sep 2006 Location: Australia Posts: 232	Post Options Post Reply Quote maximo Report Post Quote Reply Topic: Cyclical System Posted: 04 Oct 2009 at 5:26am
	Seems to work ok. [Description="Cyclical System - J O Katz, TASC Feb99"] thresh:=4; {omit whipsaw} k:=3; {roc comparison period} m:=63; {cycle period} hld:=10; {maximum period holding position} Value1:=Stdev(Ma(C,m,S)-Ma(C,m+k,S),20); { Volatility } Value2:=Ma(C,m,S)-Ma(C,m+k,S); {relative comparison ratio} tv1:=thresh*Value1; EL:=Value2>tv1; {Enter Long} CL:=Hist(Cross(Value2,tv1),-hld); {Close Long} ES:=Value2<tv1; {Enter Short} CS:=Hist(Cross(tv1,Value2),-hld); {Close Short} JKcycl:=If(EL>0,+10,If(ES>0,-10,0)); JKcycl;

trev04 Members Profile Send Private Message Find Members Posts Add to Buddy List Newbie Joined: 15 Oct 2007 Location: Australia Posts: 7	Post Options Post Reply Quote trev04 Report Post Quote Reply Posted: 03 Oct 2009 at 9:32pm
	Hi, Just recently we've heard more about 'cyclical' stocks and there performances during times and was hoping that someone would help convert to BS an old metaStock system. One is an indicator and the other 'system tester' (with metaStock). All I have changed was the mov_ma and Ref_Hist where required, but it still does not work! If anyone could let me know why or help in totally converting them, I would appreciate your assistance very much. Cheers MetaStock 6.5 Indicator ----------------------- Name: Cyclical System - J O Katz Formula: {TASC Feb99} thresh:= {omit whipsaw} 4; k:= {roc comparison period} 3; m:= {cycle period} 63; hld:= {maximum period holding position} 10; Value1:= {volatility} Stdev(Ma(C,m,S)-Ma(C,m+k,S),20); Value2:= {roc, relative comparison ratio} Ma(C,m,S)-Ma(C,m+k,S); tv1:= threshValue1; EL:={Enter Long} Value2>tv1; CL:={Close Long} Hist(Cross(Value2,tv1),-hld); ES:={Enter Short} Value2<tv1; CS:={Close Short} Hist(Cross(tv1,Value2),-hld); JKcycl:=If((EL>0)=1,+10, If((ES>0)=1,-10,0)); JKcycl MetaStock 6.5 System Tester --------------------------- Name: Jeffrey Owen Katz - Cyclical System Notes: {February 1999 - TASC-article (see also TRADERS' TIPS)} Formulas: {copy-repeat all that is printed below when applying for the right rule} thresh:= {omit whipsaw} 4; k:= {roc comparison period} 3; m:= {cycle period} 63; hld:= {maximum period holding position} 10; Value1:= {volatility} Stdev(Ma(C,m,S)-Ma(C,m+k,S),20); Value2:= {roc, relative comparison ratio} Ma(C,m,S)-Ma(C,m+k,S); tv1:= threshValue1; Rules: {Enter Long} Value2>tv1 {Close Long} Hist(Cross(Value2,tv1),-hld) {Enter Short} Value2<tv1 {Close Short} Hist(Cross(tv1,Value2),-hld) {After entering the formulas, click OK. Then click Options. On the Testing page, set the Trade Delay to zero, set Positions to "both", and then set any other desired options (apart from Optimizing, which is not advisable; leave the factory default settings). Click OK to save the changes, and then open a chart and run the system.}