FibboGatto

FG1:
((c+ref(c,-1)+ref(c,-2)+ref(c,-3)+ref(c,-5)+ref(c,-8)+ref(c,-13)+ref(c,-21)+ref(c,-34)+ref(c,-55)+ref(c,-89)+ref(c,-144))/c)*-1

{{{adding closing price only on fib days 1,2,3,5,8,13,21,34,55,89 and 144 and then dividing by today's close}}}

FG2:
mov(((c+ref(c,-1)+ref(c,-2)+ref(c,-3)+ref(c,-5)+ref(c,-8)+ref(c,-13)+ref(c,-21)+ref(c,-34)+ref(c,-55)+ref(c,-89)+ref(c,-144))/c)*-1,34,e)

{{{ 34 period mov avg of above indicator}}}

Look for crosses of the two indicators for positive or negatives.

Now, there are many whipsaws. I don't recommend this as a *system* at all, just as an indicator. It really highlights some big moves but measuring it with the system test is useless. You must use this as ONE of the tools -- not THE tool.

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Fibonacci Ratios and Momentum

In MetaStock for Windows, you can establish Fibonacci Retracement levels as outlined in the November 1997 TASC article "Using Fibonacci Ratios and Momentum" by Thom Hartle by first creating an Expert in the Expert Advisor. To do this, choose Expert Advisor from the Tools menu and then choose New. Enter the following Expert Highlights and Expert Symbols into your Expert.

Fibonacci Ratios and Momentum

Highlights

Name: RSI > 50

Condition: RSI(14) > 50

Color: Dk Green

Name: RSI < 50

Condition: RSI(14) < 50

Color: Red

Symbols

Name: Isolated Low

Condition: LOW < Ref(LOW,-1) AND

LOW < Ref(LOW,1)

Graphic: Buy Arrow

Color: Black

Label: Isolated Low

Name: Isolated High

Condition: HIGH > Ref(HIGH,-1) AND

HIGH > Ref(HIGH,1)

Graphic: Sell Arrow

Color: Black

Label: Isolated High

Note: If the Symbol labels make the chart too busy you may want to shorten the label (e.g. change Isolated High to IH).

Next, close the Expert Advisor, open any chart, and then click the right-mouse button on the chart’s heading. Choose Expert Advisor and then Attach from the Chart Shortcut Menu. You can now choose Fibonacci Retracement from the Insert menu, and then drag from one isolated extreme to another. In MetaStock 6.5 you should right-click on the Fibonacci Retracement lines and choose properties. Check the Snap to Price checkbox so the Retracement lines will automatically snap to the high and low prices.

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Fibonacci Trader- Dynamic Balance Point

Dynamic Balance Point Calculation
dt:=DayOfWeek();
DBC:=(HighestSince(5,DayOfWeek()=dt,H)+
LowestSince(5,DayOfWeek()=dt,L)+CLOSE)/3;
DBC

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Fibonacci Trader-Dynamic Balance Point Step

DPS:=(ValueWhen(1,FmlVar("FT-DBP","DBC"),
FmlVar("FT-DBP","DBC"))+
ValueWhen(5,FmlVar("FT-DBP","DBC"),
FmlVar("FT-DBP","DBC"))+
ValueWhen(10,FmlVar("FT-DBP","DBC"),
FmlVar("FT-DBP","DBC"))+
ValueWhen(15,FmlVar("FT-DBP","DBC"),
FmlVar("FT-DBP","DBC"))+
ValueWhen(20,FmlVar("FT-DBP","DBC"),
FmlVar("FT-DBP","DBC")))/5;
DPS;

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{Fibonacci Trader - Fixed Balance Point}

{NOTE: under Color/Style options, change
plot to last "style" option}

{Fixed Balance Point Calculation}
FBC:=If(DayOfWeek()=1 AND Ref(DayOfWeek(),-1)
<5,
{then}(HighestSince(2,DayOfWeek()=1,H)+
LowestSince(1,DayOfWeek()=1,L)+
CLOSE)/3,
{else}If(DayOfWeek()=5,
{then}(HighestSince(1,DayOfWeek()=1,H)+
LowestSince(1,DayOfWeek()=1,L)+
CLOSE)/3,
{else}0));
{Fixed Balance Point Plot}
FBP:=ValueWhen(1,FBC>0,FBC);
FBP

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Fibonacci Trader- Fixed Balance Point- REVISED

{NOTE: under Color/Style options, change
plot to last "style" option}

{revised 1 Jan 99}

Mc1:=BarsSince(DayOfWeek()=1);
Fc1:=BarsSince(DayOfWeek()=5);
Fc2:=Ref(BarsSince(DayOfWeek()=5),-1)-1;
{Fixed Balance Point Calculation}
FBC:=If(Mc1=0 AND Fc1>2,
{then}(Ref(HHV(H,LastValue(mc1)),-1)+
Ref(LLV(L,LastValue(Mc1)),-1)+
Ref(C,-1))/3,
{else}If(Fc1=0 AND Mc1>5,
{then}(HHV(H,LastValue(Fc2))+
LLV(L,LastValue(Fc2))+C)/3,
{else}If(Fc1=0,
{then}(HHV(H,LastValue(Mc1))+
LLV(L,LastValue(Mc1))+C)/3,
{else}0)));
{Fixed Balance Point Plot}
FBP:=ValueWhen(1,FBC>0,FBC);
FBP;

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Fibonacci Trader- Fixed Balance Point Step

FPS:=(ValueWhen(1,FmlVar("FT-FBP","FBC")>0,
FmlVar("FT-FBP","FBC")) +
ValueWhen(2,FmlVar("FT-FBP","FBC")>0,
FmlVar("FT-FBP","FBC")) +
ValueWhen(3,FmlVar("FT-FBP","FBC")>0,
FmlVar("FT-FBP","FBC")) +
ValueWhen(4,FmlVar("FT-FBP","FBC")>0,
FmlVar("FT-FBP","FBC")) +
ValueWhen(5,FmlVar("FT-FBP","FBC")>0,
FmlVar("FT-FBP","FBC")))/5;
FPS

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Fibonacci Trader- Support and Resistance

{NOTE: under Color/Style options, change
plot to last "style" option}

{Weekly Price Range Calculation}
Mc1:=BarsSince(DayOfWeek()=1);
Fc1:=BarsSince(DayOfWeek()=5);
Fc2:=Ref(BarsSince(DayOfWeek()=5),-1)-1;
WRC:=If(Mc1=0 AND Fc1>2,
{then}Ref(HHV(H,LastValue(mc1)),-1)-
Ref(LLV(L,LastValue(Mc1)),-1),
{else}If(Fc1=0 AND Mc1>5,
{then}HHV(H,LastValue(Fc2))-
LLV(L,LastValue(Fc2)),
{else}If(Fc1=0,
{then}HHV(H,LastValue(Mc1))-
LLV(L,LastValue(Mc1)),
{else}0)));
WRP:=ValueWhen(1,WRC>0,WRC);
{Resistance Range}
RR1:= FmlVar("FT-FBP","FBP")+(WRP*.5);
RR2:= FmlVar("FT-FBP","FBP")+(WRP*.618);
{Support Range}
SR1:= FmlVar("FT-FBP","FBP")-(WRP*.5);
SR2:= FmlVar("FT-FBP","FBP")-(WRP*.618);
{Plot Ranges}
RR1;
RR2;
SR1;
SR2;

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Final Plot

{from Richard Estes}
Fml ( "Final Plot" ) =

If (BarsSince ( Fml ( "Downtrend" )) < BarsSince ( Fml ( "Uptrend" )),
{ then } Ref ( HHV (H,4), -1 ), { else } Ref (LLV (L,4) ,-1 ))

where........

Fml ( "Downtrend" ) =

Peak(1, If (L<Ref(LLV(L,4),-1) , Ref(HHV(H,4),-1), 0), 1) <>
Ref(Peak(1, If (L<Ref(LLV(L,4),-1) , Ref(HHV(H,4), -1), 0), 1)

and......

Fml ( "Uptrend" ) =

Peak(1, If (H>Ref(HHV(H,4),-1), Ref(LLV(L,4), -1), 0), 1) <>
Ref(Peak(1, If (H>Ref(HHV(H,4),-1), Ref(LLV(L,4), -1), 0), 1)

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Finding Trendiness

A remark by Chuck LeBeau about trading with the trend has stayed with me. He speaks of the actual strength of a trend as opposed to merely its direction. Entry strategies (pullbacks in his view) should be tailored to both direction and strength, he says. This makes perfect sense to me.

Here are some initial thoughts. Perhaps you can help me to arrive at some kind of "hierarchy" of trendiness, or call it a classification, or a taxonomy,
consisting of both direction and strength. For convenience, I'll describe only long trades.

I. General direction, long term:
EMA(21) > EMA(55)

II. Trend picks up steam:
EMA(13) > EMA(21) > EMA(55)

III. Strong:
EMA(8) >EMA(13) > EMA(21) > EMA(55)

IV. Somewhere between II. and III. the ADX(13/14) usually starts rising. From what I've seen, a rising ADX at any level generally means business:
ADX(13) > Ref(ADX(13),-1)

V. Very strong trend: (this is where Linda Bradford's "Holy Grail" and such kick in)
ADX(13) > Ref(ADX(13) and
ADX(13) > 30

Almost forgot . . . very little direction (but don't fall asleep at the wheel):
ADX(13) < say, 12-15 and has been bumbling along down there for a while (hard to quantify for me to date)

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Forecast Oscillator

Many moons ago, I posted a little linear regression system that featured the Forecast Oscillator. The response was surprising (lots of it) and today, I still communicate with many of the original respondents. I've continued to use the same "framework" for my testing. In an earlier post today (a private email that made it to the list...I'm a little dingy tonight...had to get up a 5 am to trade cocoa), I alluded to using the CMO. I've used many indicators in these tests (i.e., Forecast Oscillator, a modified Time Series Forecast, MACD Histogram, Bollinger Band Histogram, CMO, & others).

Before I explain the method to my madness, please read the following sentences carefully. Backtesting systems is very dangerous. The act of backtesting is not the dangerous part...believing that the results can be duplicated in the future is very dangerous. Let's face it, we are "best fitting" circumstances to static prices etched in stone. So please, I'd prefer not to hear the lectures about the folly I pursue. I've been system testing since 1975 and I've made a bazillion mistakes (and a little chump change) over the years. I'm still looking for the holy grail. So, here's the outline:

1. The basic formula:

Enter Long:
Cross(opt1,ForecastOsc(CLOSE,opt3))

Close Long:
Cross(ForecastOsc(CLOSE,opt3),opt2)

Enter Short:
Cross(ForecastOsc(CLOSE,opt3),opt2)

Close Short:
Cross(opt1,ForecastOsc(CLOSE,opt3))

You can substitute any standard formula for the ForecastOsc or you can put in a custom formula (just remember that custom formulae need to look like:
fml("Karnack's SuperSecret") It's in your manual.

2. opt3:

In this search "opt3" represents the number of days inserted into the forecast oscillator. I usually use three (3) to ten (10) for the forecast oscillator, but if I'm using a custom formula, sometimes I don't even need opt3, because I using a fixed set of parameters within the custom formula.

3. opt1:

Opt1 is the numeric value below a zero basis line that will trigger a long position and close out the short. Yes Virginia, in my secular little world, I prefer stop and reverse trading. The parameters for this option depends on the commodity (and yes, it does work on stocks) you're trading.  One must eyeball the forecast oscillator to see how far it swings above and below zero. For the forecast oscillator, I usually use 0 to -3.

4. opt2:

Opt2 is the numeric value above a zero basis line that will trigger a short sale. Zero to 3 seems to work for this formula.

5. Steps:

I step opt3 using whole numbers to represent days. With Opt1 and Opt2, I use: .1 steps.

6. Other indicators:

When substituting the CMO (or any indicator) for the Forecast Oscillator, one must be aware of the terrain the indicator travels over. It would be ridiculous to us zero to 3 (as the optimizing numbers) if the mid point is 50 and the indicator traverses between +10 (on the downside) and +90 (on the upside).

The overall theory behind this test is that many indicator oscillate from positive to negative and back again (duh). The trick is not to trigger action when the indicator turns in a new direction (if you're interested, I've been down that road and I'm still wearing a neck brace from the whiplash). The theory is that once an indicator extends to a certain level, the market is either overbought or oversold.

In downtrending markets (can you spell deflation?), the short sale trigger (opt2) is going to be closer to the zero basis line than opt1. Please see the attachment. What will happen when the grains, cocoa, crude, and damn near everything else starts to go up? Good question Steve! The system will not perform as well if you continue to use the same parameters. In a perfectly sideways market, one would assume that the trigger points would be equal distance from zero. As in many markets, this system works better when things trend indefinitely.

I hope this post will help others who have inquired about the linear regression system. Attached is the original system, using the Forecast Oscillator, for March Crude Oil. In this example, opt3 is set to 8 (number of days in the forecast oscillator); opt2 is .1 (sell signal); opt1 is -2.3 (buy signal).

To quote R.N. Elliot: "Even though we many not understand the cause underlying a particular phenomenon, we can, by observation, predict the phenomenon's recurrence."

To qoute Karnack (my alter ego): "I got knocked down seven times and got up eight".

Finally, from a trader on the realtraders forum: "Futures trading involves financial risk, lots of it".

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Forecast Oscillator System

Enter long:
Cross(ForecastOsc(C,21),Mov(C,3,E)) AND
Cross(ForecastOsc(C,21),0)

Exit long:
Cross(Mov(C,3,E),ForecastOsc(C,21)) AND
Cross(6,Mov(C,3,E))

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Forecast Oscillator System Alternative

Enter long:
Cross(ForecastOsc(C,21),Mov(ForecastOsc(C,21),3,E)) AND
Cross(ForecastOsc(C,21),0)

Exit long:
Cross(Mov(ForecastOsc(C,21),3,E),ForecastOsc(C,21)) AND
Cross(6,ForecastOsc(C,21))

{You can use alert() function on either if you don't require both conditions
to fire on the same day.}

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Front Weighted 36 Day Moving Average

This indicator requires 3 sub calculations and then the totalling of all 3 to get the final indicator:

This is the basic calculation:
Take the closing prices of your instrument 34 days ago - 26 days ago (inclusive), multiply each daily value by 0.01 and write each value down.
Then take the closing prices of your instrument 25 days ago - 18 days ago (inclusive), multiply each daily value by 0.02 and write each value down.
Then take the closing prices of your instrument 25 days ago - 18 days ago (inclusive), multiply each daily value by 0.02 and write each value down.
Then take the closing price of your instrument 17 days ago and multiply by 0.03 ad write the value down.
Then take the closing price of your instrument 16 days ago - 8 days ago (inclusive), multiply by 0.031 and write each value down.
Then take the closing price of your instrument 7 days ago - 6 days ago (inclusive), multiply by 0.006 and write each value down.
Then take the closing price of your instrument 5 days ago - 1 day ago (inclusive), multiply by 0.07 and write each value down.
Then take the closing price of your instrument today, multiply by 0.079 and write this value down.

Finally, add up all the values that you wrote down and plot the value on the chart, repeat this for every new trading day.

Simple Interpretation:
Front Weighted 36 Day Moving Average is similar to all other moving averages. The interpretation is just as with all others, the trend is up when prices are above the moving average and the trend is down when prices are below the moving averages. This particular variation attempts to weight the data at the front more than that at the back, with a sliding scale for each trading days value.

Metastock code for Front Weighted 36 Day Moving Average:

Fml( "1FrontWeighted36BarMA1" ) +
Fml( "2FrontWeighted36BarMA2" ) +
Fml( "3FrontWeighted36BarMA3" )

Where Fml( "1FrontWeighted36BarMA1" ) =
0.01 * Ref(P,-34) +
0.01 * Ref(P,-33) +
0.01 * Ref(P,-32) +
0.01 * Ref(P,-31) +
0.01 * Ref(P,-30) +
0.01 * Ref(P,-29) +
0.01 * Ref(P,-28) +
0.01 * Ref(P,-27) +
0.01 * Ref(P,-26) +
0.02 * Ref(P,-25) +
0.02 * Ref(P,-24) +
0.02 * Ref(P,-23) +
0.02 * Ref(P,-22) +
0.02 * Ref(P,-21) +
0.02 * Ref(P,-20) +
0.02 * Ref(P,-19) +
0.02 * Ref(P,-18)

Where Fml( "2FrontWeighted36BarMA2" ) =
0.03 * Ref(P,-17) +
0.031 * Ref(P,-16) +
0.031 * Ref(P,-15) +
0.031 * Ref(P,-14) +
0.031 * Ref(P,-13) +
0.031 * Ref(P,-12) +
0.031 * Ref(P,-11) +
0.031 * Ref(P,-10) +
0.031 * Ref(P,-9) +
0.031 * Ref(P,-8) +
0.006 * Ref(P,-7) +
0.006 * Ref(P,-6) +
0.07 * Ref(P,-5) +
0.07 * Ref(P,-4) +
0.07 * Ref(P,-3) +
0.07 * Ref(P,-2)

Where Fml( "3FrontWeighted36BarMA3" ) =
0.07 * Ref(P,-1) +
0.079 * P

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Full Formula for RSI

{The following is copied from the Formula Field of my *RSI canonical_12_day_for_P_I indicator. Change m if you choose another # of periods n for rsi.}

{I wrote my own "canonical" RSI(12) which coincides with MetaStock's RSI(12) if m=2*n-1 where m is used below in Mov( ,m,E); n - a number of periods in rsi(n). Mind that since I didn't use those particular tricks from the standard rsi(n) to shorten the initial transitional period, this function and standard rsi(n) differ for about month or so from the day 1. It was not that important for me, so I used this shortcut.}

100 - 100/
(1.+ If(Mov(If(P-Ref(P,-1)<0,-(P-Ref(P,-1)),0),23,E)=0,1000000,

Mov(If(P-Ref(P,-1)>0, P-Ref(P,-1), 0),23,E)
/Mov(If(P-Ref(P,-1)<0,-(P-Ref(P,-1)),0),23,E)
))

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Freeburg Precious Metal Switch Fund System

To create the Freeburg Precious Metal Switch Fund system in MetaStock for Windows, you must first create the K ratio as a composite security. To do this, launch The Downloader from MetaStock, and choose New and then Composite from The Downloader's File menu. Make sure the directory specified is the directory where your weekly GMI and Handy and Harman data are located. Name the composite the K ratio, then choose the Barron's Gold Mining Index as the Primary symbol and Handy and Harman prices as the secondary symbol. Next, choose Divide as the Operator and the click the OK button to add the composite. Open the K ratio chart in MetaStock, Plot the Bollinger Bands Indicator and enter 46 for the number of periods and 2.3 for the standard deviations. Plot Bollinger Bands again and enter 4 for the periods and 1.6 for the Standard Deviations.

The data necessary for this chart/indicator, is extremely difficult to obtain. The only source we are aware of on diskette is the author of the article. The data is in a Lotus spreadsheet. It must be output to ASCII and then converted to MetaStock data files. He will make a small charge for this data.

To keep the GMI data updated, it is only available from Barrons magazine and must be manually input. The Handy & Harman data must also be manually updated. This may be obtained from the Wall Street Journal as well.

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From Terms to Technical Tools

In Walter Downs’ article "From Terms To Technical Tools" he introduces the Point of Balance Oscillator, two conditions to colour bars and two system tests. All of these can be created quite easily in MetaStock 6.5. To create the Point of Balance Oscillator, choose Indicator Builder from the Tools menu, click on the New button, and enter the following formula:

To highlight bars based on the Bull Fear and Bear Fear conditions discussed in the article, choose Expert Advisor from the Tools menu, click on the New button and enter the following expert:

To test the two systems discussed in the article, choose System Tester from the Tools menu and enter both of the following systems:

After entering the systems click on the Options button in the System Tester dialog, go to the Testing tab and change the Trade Price to Open and set the Trade delay to one.

Following is the formula for the moving averages discussed in the article, but not contained in the Traders Tip published in TASC. Please note, this formula will plot all three moving averages, but will not plot them in three different colours.

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