Cycle_SimpleŠ Market Model Indic

Cycle_SimpleŠ Market Model Indicator/Signal
Versions for: TS2000iŽTS ProŽ/TS6Ž-TS8.1Ž

Cycle_Simple Trading Model License $175.00 usd

YOU CANNOT BELIEVE HOW GOOD THIS THING IS UNTIL YOU CHECK IT OUT FOR YOURSELF. IT AIN'T THE HOLY GRAIL BUT IT WILL GET YOU A LONG WAY TOWARD SUCH PERFORMANCE. Try this our for DAYTRADING especially on the FOREX

The Moon cycle has a dramatic effect on most markets and this is an easy way to examine that effect on any stock/commodity/index you wish to examine.

Cycles of lengths other than the Moon (29.53 calendar days) can be evaluated with this tool and the timing relationship which will seemingly provide a maximum opportunity for profit can be established.

A quick look at recent Intraday trading

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Indicator/Strategy: Cycle_Simple

Author:   Clyde Lee, Copyright 2004, SYTECH Corporation

This model code may not be reproduced under any condition.

Any modification of this product will be reported (using the source
code) to SYTECH Corporation at clydelee@clydelee.com .

This is a licensed product and can only be used by persons/firms that
have paid a proper fee to SYTECH Corporation or has been provided this
application upon request to Clyde Lee/SYTECH.

This application is an attempt to model the behavior of a type of
market trading that might take place if one were to elect to use
"triangular" waves to establish potential entry and exit points and/or
to control the direction of entry.

Although this application (when used with Tradestation) will generate
info that appears as market orders, it is not the intention of the
author for this to be used as a strategy but simply as an indicator of
what this type of model of the market might do.

Purpose:  Make simple Model to check potential Cycle trading.

Parameters are: 
Period and Shift for primary period. 
Period for a MomentumROC to keep system attuned to market 
	-zero=do not use. 
Period and shift/smoothing for secondary wave if compute 
	mode greater than zero. 
Mode of computation: 0=Period1 only, 1=Period2 Triangle wave, 
	3=Price momentum, 4=cci-cci. 
Amount/ATR multiplier for a Pullback from maximum profit 
	(i.e. trailing) stop. 
Amount/ATR multiplier for a "money market disaster" type stop. 
Scalar for plotting the Period1 waveform. 
Scalar for plotting the Period2 (or MomentumROC) waveform. 
Price value around which to plot the waveforms (0=NO plotting). 
Color/Width/Style of the plots of waveforms. 
Begin date for computation (used when testing/optimizing analyses 
	that use number of bars rather than number of calendar days 
	to allow the shift to stay relevant). 
Exit on last trade if doing testing. 
File Name/ID for storing a series of results and parameters.

Model allows user to specify the number of CALENDAR days or the number
of bars in the cycle to be studied.  The cycle used in this
application is a triangle like linear cycle and not the conventional
sine/cosine wave cycle.

If number of days for Period1 is specified as zero then this Model
runs on the basis of the MOON cycle as the primary determination of
when to buy and/or sell.

The alignment of any cycle with the data can be controlled by use of
the "DaysShift1" and "DaysShift2" parameters that can be any value
from minus to plus the cycle length.

If the model is run in any mode it is possible to specify a length for
the MomentumROC computation.  This is used as a limiting factor in
setting entries (long or short) based on the top and bottom of the
primary wave.

If the model is run in the two-triangle wave mode then buys will be
executed as soon as the bottom of the primary cycle is detected and
sells will be executed as soon as the top of the primary cycle is
detected, if and only if the direction of the second triangle is in
the same direction as the primary signal.

In the momentum mode, a trade will occur at any point in which the
sign of the momentum and the top/bottom agree.  Note, this "momentum"
mode is not related to the "MomentumROC" that can be used to sync the
model with price movement direction.

In the Stochastic mode, a buy will occur at any point in which the
Stoch value is > 50 and primary wave is up or a sell will occur
whenever the Stoch value is < 50 and the primary wave direction is
down -- on a top/bottom occurrence.

A "disaster" type stoploss can be specified by use of the "MaxxLoss"
parameter.  If this value is negative then the stoploss is set at an
amount equal to the absolute value of the parameter times the 14 day
average true range.  If the parameter is positive then the stoploss is
defined in dollar terms.  In both cases the stop point is measured
from the entry price

A trailing pullback from max profit stop can be specified by use of
the "MaxxPullB" parameter.  If this value is negative then the stop is
set at an amount equal to the absolute value of the parameter times
the 14 day average true range.  If the parameter is positive then the
stop is defined in dollar terms.  The stop amount is set from the
highest high on long trades and lowest low on short trades.

In order to visualize the cycle being evaluated (if desired) a plot
(using trendlines) can be made.

The location of the plot can be around some specified price value or
automatically around the average of a 200 day highest high/lowest low.

The plot can be inhibited.

The amplitude of the plotted wave can be controlled with an
"PlotScale" value which is applied as a multiplier to the cycle
values.  For Triangle waves, the maximum amplitude (before use of this
parameter) is 1/2 the cycle length.

The color and size of the line can be specified. If size is specified
as zero then a dotted line can be drawn with a style specification
greater than one.  If the color portion of this parameter is set to
zero  (e.g. 0.13)  then the final color of the primary wave is
controlled by the existence of a trade.  The color of the secondary
wave is controlled by the DIRECTION of trading allowed.

A facility exists to auto-scale the wave plots by making the parameter
a negative value. A value of -1 will cause the swings to be auto-
scaled and plotted at the determined scaling. A value of -0.5 will
rescale the auto- scaled value to 1/2 what is determined, etc.

The plot made using calendar days will have a small wavy look. The
reason being that the cycle is based on calendar days and plotting is
done on market days so values for weekends and holidays are missing
from the chart.

NOTE:

IF RUNNING AUTO SET OF PLOT PRICE THEN MAXBARSBACK 
MUST BE SET TO 201 OR GREATER. IF NOT AUTO THEN DEPENDING 
ON THE COMPUTATION MODE WILL WORK.

IF RUNNING THE CYCLE_SIMPLE INDICATOR, IT IS IMPERATIVE 
THAT THE INDICATOR MAXBARSBACK BE SAME AS THE MODEL.

Inputs:

  Period1 (59),      {Number of Days/BARS to use for PRIMARY Cycle.  }
                     {If set to zero this will become a MOON Model.  }
                     {If set negative then cycles are computed on the}
                     {basis of number of bars -- not calendar Days.  }
                     {The top and bottom of this cycle will be the   }
                     {triggers for entry into a trade.               }
  ShiftDays1(8),     {Number days/bars to shift the cycle for match. }
                     
  MomemLeng(13),     {In order to insure that the behavior of the    }
                     {wave elements of the model do not get totally  }
                     {out of line with the behavior of the market,   }
                     {a MomentumROC can be computed and the direction}
                     {used as a final qualifier for a trade.         }
                     {If this value is >0 it is applied to whatever  }
                     {model is specified.    Set to zero for no use. }

  Period2(59),       {Number of Days/BARS to use for SECONDARY Cycle.}
                     {If set negative then cycles are computed on the}
                     {basis of number of bars -- not calendar Days . }
                     {If it is desired to use the Moon effect as the }
                     {control for the direction of trading and the   }
                     {period1 cycle as the trigger for trading then  }
                     {the Period2 value should be set to 29.53059    }
  ShiftDays2(8),     {Number days/bars to shift the cycle for match. } 
                     {If the Period2 is positive then the direction  } 
                     {only changes on the change of date.            }
 
  ModeC2(0),         {This parameter controls what type of model is  }
                     {to be run.                  Value range 0 to 4 }

                     {If set to zero (0) the model will only use the }
                     {Period1 wave for trading BUT the direction of  }
                     {trading may be specified by value of momenROC. }

                     {If set to one  ( 1 ) model will be a 2 cycle   }
                     {model and the Period2 length will control the  }
                     {length of the second triangle wave.            }

                     {If set to two  ( 2 ) calculate the MOMENTUM    }
                     {(not MomentumROC) using Period2 days as the    }

                     {If set to three ( 3 ) calculate a "simple"     }
                     {stochastic function using Period2 for length   }
                     {and ShiftDays2 for smoothing.                  }

                     {If set to four ( 4 ) calculate the difference  }
                     {between two CCI functions of length Period2    }
                     {and of length ShiftDays2 for the second CCI.   }

  MaxxPullB(0),      {Max offset for trailing type take profit/stop  }
                     {loss $ (if positive) or % ATR14 if negative    }
                     {Relative to the maximum profit that is reached }
                     {in any trade.                                  }

  MaxxLoss(-.5),     {Max loss $ (if positive) or % ATR14 if negative}
                     {Relative to entry price of a trade.            }

  PlotScale1(-1.),   {Multiplier to bring plotted values into range  }
                     {of price of symbol being evaluated.            }
                     {set to < zero for auto detection of multiplier }
                     {Value given is multiplier of auto scale.       }
  PlotScale2(-1.),   {Multiplier to bring plotted values into range  } 
                     {of price of symbol being evaluated.            } 
                     {set to < zero for auto detection of multiplier } 
                     {Value given is multiplier of auto scale.       }
 
  PlotPrice(0.0),    {Price around which to plot the cycles.  A zero }
                     {value results in no plot -- be sure to set this}
                     {to ZERO when OPTIMIZING TS2k.  A negative value}
                     {causes auto determination from HH/LL of 200 bar}

  PlotCWS(0.13),     {Color, Width(size), and style of line in plots.}
                     {Format:  C.WS C=Color, W=Width/Size, S=Style.  }

  BeginDate(210101), {For testing over constant intervals            }

  ExitOnLast(False), {Set true for testing purposes to insure that a }
                     {trade is closed out on last bar of chart.      }

  FileName("");      {File ID to save parameters and results         }

Below you will find an example of ES (daily continuous) with an optimization that showed best results in ModeComp=3 with a length of 65 and a smoothing of 3 with a shift of 7.

Next you will find an example of ES (daily continuous) using the optimized values of ModeComp=3 with a length of 65 and a smoothing of 3 with a shift of 7. Stepping forward to the year following the three year optimization period.

An examination of the results would seem to indicate that this particular commodity is well behaved when doing a stepforward test.

SYTECH Corporation accepts

Cycle_Simple Trading Model License $175.00 usd

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