[JulianCohen]

OK thanks. I’m trying to write a system with an initial stop and an exit but I’m struggling with the looping. I’ll keep at it. Thanks for the help guys

[JulianCohen]

You have a very relevant point!

[JulianCohen]

Ignore me…I’m an idiot!!! Which means of course I found it in the last place I chose to look, which should have been the first place I chose to look

[JulianCohen]

Why do you not trade the Rescources stocks?

[JulianCohen]

Thanks a lot Said and Nick. Perfect explanations

[JulianCohen]

I’m a little confused over the difference between a trend following system and a momentum system. Would someone mind explaining please?

[JulianCohen]

Buy the rumour, sell the fact

[JulianCohen]

I subscribe to this blog which often has a good read or two in it

http://quantocracy.com/

[JulianCohen]

Reminder to myself…ask Said what he found was the best method for ranking for trend following

[JulianCohen]

This is not really a systematic trading system per se, but it is a short read and to me at least, quite interesting.

http://gregharris.info/my-year-long-experience-as-the-fastest-form-4-trader/

I had a friend who was a trader in the 80’s and he noticed that the SPI in Sydney often moved after the late evening news showed the front page of the papers for the next day (well before the days of the Internet). He had a cabbie go to the presses and deliver him the paper just before it was broadcast on tv that evening, which gave him a leg up on the other traders….ah the good old days

[JulianCohen]

Yes please Maurice. [email protected].

Cheers

[JulianCohen]

Does anyone have any recommendations for books on mean reversion systems? I have never studied them or used them so I’d be interested not so much on a particular idea so much, as I’m guessing Perry Kaufman might be a good place to look, but more the overall theory behind them. Something similar to Following The Trend by Andreas Clenow but for MR…if it exists.

[JulianCohen]

OK got it. I see what you have done with the BuyPrice code. Thanks for that!

[JulianCohen]

I decided to take a small break from looping in order to clear my brain.

I spent the day writing some entry code for a system I used to trade a few years ago and that I think could have merits as a mean reversion system, but I won’t know for sure until I have fully worked out how I will use it.

The code what I wrote is below. If anyone can suggest methods to clean it up, or compact it a little I’d be very grateful to see it. This is obviously a work in progress as I haven’t written up the sell signals yet. I know one that I plan to use, but the main exit I haven’t decided on as I need to work out what the mean is that it will be reverting to…

Nick and Craig I hope you don’t think I’m trying to get ahead of myself. I just wanted to see if I could do this myself before pushing on.

Code:

//===============================

BullDB = (C-L)/(H-L)*100;

AlligatorBlue=Ref(Wilders(C,13),-8);
AlligatorRed=Ref(Wilders(C,5),-3);

C1 = Outside();
C2 = BullDB > 75;
C3 = AlligatorRed < AlligatorBlue; C4 = H < AlligatorRed; C5 = H < AlligatorBlue; BuySetUp = C1 AND C2 AND C3 AND C4 AND C5; Buy = Ref(BuySetUp,-1); BuyPrice = H + 0.02; Filter = C1 AND C2 AND C3 AND C4 AND C5;

[JulianCohen]

Actually walking away is what I did yesterday. I realised that my brain was fried and I’d never get any further by going through the code again so I had a glass of wine and vegged in front of the TV. After sending you a help email

Today is another day. Thanks for all the words of wisdom guys.

[Author]

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