More information on parameter selection and pictures:
Click on ADD TO CHART to order LSSNew_4a signal for $100.00
Click here to return to www.theswingmachine.com
The following information is from the frontend documentation of a TradeStation .ela containing a "signal" which is based in part around the LSS concept of Taylor (an early grain trader.
The LSS letters stand for: Long on this bar Sell on this bar Sell short on this bar.
Much has been added to this basic concept in order to set up a model which is applicable across many markets. The default parameters are not very good for ANY market and it is important that you read and understand the procedure for adapting the model to whatever market you are examining.
After a discussion of the model and parameters, you will find a series of charts which demonstrate how the model views several different markets. To view these pictures properly you should setup your browser for full page width display.
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After reviewing the following information on the system you
might like to go to the following to learn how to optimize the
parameters:
OPTIMIZE LSS
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SIGNAL: LSS_New_4a This is an application which
calculates the model behavior of market
behavior and simulates trading based on values
that are claimed to represent valid LSS entry
and exit points. These claims by George Angell
were found in an advertising piece he distributed
and seemed to have great validity.
The actual model trading signals are derived by
measuring the computed LSS Values against a
multiple of LSS rate of change (ONE BAR) which
is multiplied by a selected value.
Exits or reverses on an N day test if losing.
MaxDays, if set negative, will cause system to
reverse if closing price is below/above an exit
moving average on selected day after entry. If
set positive system will just exit.
Moving average to use with above may be a T3Average
if length is positive or DH_Adaptive_Noise_Filter
if a negative length is used.
The system includes code which allows the model to
exit on a disaster stop (MM) at a certain dollar
value or a multiple of a 14 bar average true range.
The system also includes code which allows the
model to "take profit" at a certain dollar value
or a multiple of a 14 bar average true range.
Determination of optimum parameters is important
for whatever market is being simulated.
An approach which the author has found to be
reasonable is:
1. First optimize the MaxDays and the LengXitA
in the same run. Typically MaxDays is optimized
between -9 and 0 in steps of 1 and LengXitA is
optimized from -5 to 0 in increments of 0.5 or
from 0 to 5 in increments of 0.5 .
2. Then optimize LengLSS and LengSMO. LengLSS
typically would be optimized form -9 to 9 using an
increment of 2. The LengSMO is optimized with
values from 1 to 4 in steps of 0.5 .
3. Values for LengPSMO and LSSDvMul can best
be determined by optimizing LengPSMO over the
range of 1 to 5 in steps of 1 and LSSDvMul should
be optimized from 0 to 2 with an increment of 0.1 .
4. Once these values are obtaing then the system is
examined for performance in Long Only, Short Only,
or Long&Short modes. When doing this evaluation it
may be best to set a limited range on the above
parameters and allow the optimization to examine
different values for the 3 options.
Author: Clyde Lee, Copyright 2000-2003
This system exclusively for Lisencees.
See www.theswingmachine.com for order information
This is a licensed copyrighted product.
Any person who has not obtained this product by making
a proper payment to SYTECH Corporation through the
www.theswingmachine.com web site
and PayPal is in violation of federal copyright laws
and subject to fines and possible jail terms.
DISCLAIMER:
The information contained in this .ela file and or information that may result from applying this .ela to any set of data are for educational purposes for examination of possible approaches to a market trading methods.
The information may be applicable to assist the user in developing indicators which might be used as guides for market timing but all of the information contained herein is strictly for educational purposes.
The author advises that if this .ela is applied to any stock and or commodity time/price series, the indicated orders from such application are strictly for purposed of demonstrating the principles outline herein.
Clearly the author cannot accepts any liability whatsoever for results that might occur should you use these "educational demonstration orders" for actual trading purposes.
The information which will be presented upon application of this .ela is in no way a representation to buy or sell securities, bonds, options or futures.
This information is not intended to be used as the basis of any investment decisions, nor should it be construed as advice designed to meet the investment needs of any particular investor.
The instructional examples which arise from the application of this .ela are for educational purposes only and the past performance of the methods used to construct the examples are not necessarily representative of future behavior of the model.
Remember, this is STRICTLY a mathematical model of a potential method of market activity and in no way should be construed as a recommendation of any activity in any market.
ALWAYS CHECK WITH YOUR LICENSED FINANCIAL PLANNER, ADVISOR, OR BROKER BEFORE TAKING ANY KIND OF INVESTMENT ACTIVITY.
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Determining the parameters for the market model is critical to the proper operation of the model for guidance in how a strictly mechanical market trading model will work. Examine closely the information presented earlier on this subject.
The following is the frontend documentation which is a part of
the .ela that is titled LSSNew_4a . Parameters indicater were
derived from an optimization of the system on QQQ daily data.
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Inputs: LengLSS(5), {One of 2 TP detection parameters }
{for daily data range = 2 to 9 }
{set negative to do reverse signals }
LengSMO(1), {Smoothing of prices to use in above }
{range for daily data is 0 to 5 }
LengPSMO(0.46), {Smoothing of price before compute. }
{Range of values is 0 to 4 in .5 incur }
{You ain't going to believe the effect }
LSSDvMul(1.5), {A multiplier for the LSS derivative }
{to be used as a crossover filter to }
{determine trade points. }
{Range is 1 to 4 in steps of .1 or so }
MaxDays (-2), {Max days before evaluating if in a }
{losing position and if so reverse if }
{this value is negative otherwise quit.}
{If MaxDays<1 then MaxDays*100 is used }
{and exit is based on moving average. }
{Pretty complicated but generally just }
{a value of -4 to -7 and zero on next }
{will work. }
LengXitA( 2.8), {Length for moving average to check for}
{reversal to occur if MaxDays negative }
{Typically use from -2 to -5 for DHA. }
{For T3 use 2 to 9 in steps of 0.1-both}
BadStop(-1.5), {Disaster stop to run with days stops }
{the default is for prices near 70.00 }
TakProf@(-1.3), {Either a dollar amount (TPA<0) of a }
{multiplier for ATR14 to set point at }
{which to take a profit. Must trade }
{at least 2 contracts for this to work.}
MaxCont(500), {Maximum number of contracts to trade. }
{This works with previous parameter. }
LongShrt(0); {-1=ShortOnly, 0=L&S, +1=LongOnly }
Click on ADD TO CHART to order LSSNew_4a signal for $100.00
Click here to return to www.theswingmachine.com
In the Bonds you will note that there is a very significant improvement in performance by use of the Take Profit facility. You might check out the difference in the Sharpe ratio with and without the TakeProfit facility.
Click on ADD TO CHART to order LSSNew_4asignal for $100.00
Click here to return to www.theswingmachine.com
The ES traded on a WEEKLY basis does not show quite the improvement that the Bonds demonstrated but given the fact that this is weekly data the results are really outstanding.
Click on ADD TO CHART to order LSSNew_4asignal for $100.00
Click here to return to www.theswingmachine.com
The QQQ provides a rather interesting study.
Click on ADD TO CHART to order LSSNew_4asignal for $100.00
Click here to return to www.theswingmachine.com
The OEX data presented below was computed using TS4 to insure that the signal would work properly in TS4/TS5/TS6.
Click on ADD TO CHART to order LSSNew_4a signal for $100.00
More information on parameter selection and pictures:
