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Improved
Chandeleir Exit
A few weeks ago when the Chandelier Exit was posted to on our
board board, I
asked if there was a faster version of it. On my (slowpoke) 200
Mhz PC at
home, it took about 1 to 2 minutes to calculate the formula on a
single
stock.
Anyway, I did not hear of any feasible solutions. Last night,
upon reading
about the 25X25 system on this site , it struck me that the
original
Chandelier Exit (see below) had a whole bunch of PREV statements
in it. I'm
sure everyone knows where I'm going with this by now.
Anyway, here is how the code (at least this iteration) should be
modified to
speed up the calculation by a factor of 5. Basically, we move
PREV into a
variable vPREV prior to using it (so that it is only calculate
once) in the
long and short exits. Here is the code for the long exit. I
tested it with
the sample Entry Rule and receive the same results in 1/5th the
time. Just
modify the SHORT exit in the same way. Hope this helps everyone
using it.
{DEFINE ENTRY PRICE, WITH EXIT BEING -- ENTRY PRICE AND NO TRADE
BEING 0}
{Move PREV into a variable to speed things up - DB 2/17/00}
vPREV:=PREV;
EntryPrice:= If(vPREV <= 0,
{Trade entered today?}
If(LongEntry, CLOSE, 0),
{Trade entered before today. Stopped today?}
If(LOW <= vPREV - MoneyMgmtStop, -vPREV,
If(LOW <= HighestSince(1,vPREV=0, HIGH) - 3 * ATR(10), -vPREV,
If(LOW <= HighestSince(1,vPREV=0, CLOSE) - 2.5 * ATR(10), -vPREV,
vPREV))));(Go
Top) |
Instantaneous Trendline & Sinewave Indicator as described by
John Ehlers
Here are a few formula's that I picked up from a
mailing from George Angell
LSS 5 day Osc
X:=HHV(H,5)-Ref(O,-5);
Y:=C-LLV(L,5);
LSS:=100*(X+Y)/(HHV(H,5)-LLV(L,5))*2;
LSS;
LLS 5 DAY Osc Diff from 3 day osc
X:=HHV(H,5)-Ref(O,-5);
Y:=C-LLV(L,5);
LSS:=100*(X+Y)/(HHV(H,5)-LLV(L,5))*2;
Diff:=LSS-Ref(LSS,-3);
Diff;
LLS Strength Index(1 day)
100*(Ref(C,-1)-Ref(L,-1))/(Ref(H,-1)-Ref(L,-1))
LLS Pivot Breakout Buy Number
X:=(H+L+C)/3;
BBN:=2*X-L;
BSN:=2*X-H;
BBN;
BSN;(Go
Top) |
Instantaneous Trendline and Sinewave Indicator
by John Ehlers
Here is the MetaStock 6.52 or higher formula code for the
Instantaneous Trendline and Sinewave Indicator as described by
John Ehlers in his article “At Last! A Trend-Friendly
Oscillator”. To implement them the following formulas must be
created in MetaStock’s Indicator Builder. Each formula must be
created separately and must be named exactly as it appears
below. Only the last two formulas are plotted, so you may wish
to prevent the others from being displayed in the Indicator
QuickList by unchecking the “Display In QuickList” option when
creating the formula.
To download and install the formulas use the following steps
Download the MS65FORM.DTA file into a temp folder
To Download the file for this formula click MS65FORM.DTA
Use the following instructions to Import the MS65FORM.DTA file
from the temp file it was downloaded to.
1. Run MetaStock.
2. Choose Indicator Builder from the Tools menu.
3. Click the Organize button to launch the Formula Organizer
Wizard.
4. Follow the on-screen instructions.
Name: H cycle count 1a
value:= Fml("Hilbert cycle period - 1a");
If(Sum(value,6)>=360 AND Sum(value,5)<360 ,6,0) +
If(Sum(value,7)>=360 AND Sum(value,6)<360 ,7,0) +
If(Sum(value,8)>=360 AND Sum(value,7)<360 ,8,0) +
If(Sum(value,9)>=360 AND Sum(value,8)<360 ,9,0) +
If(Sum(value,10)>=360 AND Sum(value,9)<360 ,10,0) +
If(Sum(value,11)>=360 AND Sum(value,10)<360 ,11,0) +
If(Sum(value,12)>=360 AND Sum(value,11)<360 ,12,0) +
If(Sum(value,13)>=360 AND Sum(value,12)<360 ,13,0) +
If(Sum(value,14)>=360 AND Sum(value,13)<360 ,14,0) +
If(Sum(value,15)>=360 AND Sum(value,14)<360 ,15,0)
Name: H cycle count 2a
value:= Fml("Hilbert cycle period - 1a");
If(Sum(value,16)>=360 AND Sum(value,15)<360 ,16,0) +
If(Sum(value,17)>=360 AND Sum(value,16)<360 ,17,0) +
If(Sum(value,18)>=360 AND Sum(value,17)<360 ,18,0) +
If(Sum(value,19)>=360 AND Sum(value,18)<360 ,19,0) +
If(Sum(value,20)>=360 AND Sum(value,19)<360 ,20,0) +
If(Sum(value,21)>=360 AND Sum(value,20)<360 ,21,0) +
If(Sum(value,22)>=360 AND Sum(value,21)<360 ,22,0) +
If(Sum(value,23)>=360 AND Sum(value,22)<360 ,23,0) +
If(Sum(value,24)>=360 AND Sum(value,23)<360 ,24,0) +
If(Sum(value,25)>=360 AND Sum(value,24)<360 ,25,0)
Name: H cycle count 3a
value:= Fml("Hilbert cycle period - 1a");
If(Sum(value,26)>=360 AND Sum(value,25)<360 ,26,0) +
If(Sum(value,27)>=360 AND Sum(value,26)<360 ,27,0) +
If(Sum(value,28)>=360 AND Sum(value,27)<360 ,28,0) +
If(Sum(value,29)>=360 AND Sum(value,28)<360 ,29,0) +
If(Sum(value,30)>=360 AND Sum(value,29)<360 ,30,0) +
If(Sum(value,31)>=360 AND Sum(value,30)<360 ,31,0) +
If(Sum(value,32)>=360 AND Sum(value,31)<360 ,32,0) +
If(Sum(value,33)>=360 AND Sum(value,32)<360 ,33,0) +
If(Sum(value,34)>=360 AND Sum(value,33)<360 ,34,0) +
If(Sum(value,35)>=360 AND Sum(value,34)<360 ,35,0)
Name: H ip sum 1
pd:=Int(Fml("Hilbert cycle period - final-a"));
pr:=(H+L)/2;
(Cos(0)*pr)+
(Cos(360*(1/pd))*Ref(pr,-1))+
(Cos(360*(2/pd))*Ref(pr,-2))+
(Cos(360*(3/pd))*Ref(pr,-3))+
(Cos(360*(4/pd))*Ref(pr,-4))+
(Cos(360*(5/pd))*Ref(pr,-5))+
If(pd>6, Cos(360*(6/pd))*Ref(pr,-6), 0)+
If(pd>7, Cos(360*(7/pd))*Ref(pr,-7), 0)+
If(pd>8, Cos(360*(8/pd))*Ref(pr,-8), 0)+
If(pd>9, Cos(360*(9/pd))*Ref(pr,-9), 0)+
If(pd>10, Cos(360*(10/pd))*Ref(pr,-10), 0)+
If(pd>11, Cos(360*(11/pd))*Ref(pr,-11), 0)+
If(pd>12, Cos(360*(12/pd))*Ref(pr,-12), 0)+
If(pd>13, Cos(360*(13/pd))*Ref(pr,-13), 0)+
If(pd>14, Cos(360*(14/pd))*Ref(pr,-14), 0)
Name: H ip sum 2
pd:=Int(Fml("Hilbert cycle period - final-a"));
pr:=(H+L)/2;
If(pd>15, Cos(360*(15/pd))*Ref(pr,-15), 0)+
If(pd>16, Cos(360*(16/pd))*Ref(pr,-16), 0)+
If(pd>17, Cos(360*(17/pd))*Ref(pr,-17), 0)+
If(pd>18, Cos(360*(18/pd))*Ref(pr,-18), 0)+
If(pd>19, Cos(360*(19/pd))*Ref(pr,-19), 0)+
If(pd>20, Cos(360*(20/pd))*Ref(pr,-20), 0)+
If(pd>21, Cos(360*(21/pd))*Ref(pr,-21), 0)+
If(pd>22, Cos(360*(22/pd))*Ref(pr,-22), 0)+
If(pd>23, Cos(360*(23/pd))*Ref(pr,-23), 0)+
If(pd>24, Cos(360*(24/pd))*Ref(pr,-24), 0)
Name: H ip sum 3
pd:=Int(Fml("Hilbert cycle period - final-a"));
pr:=(H+L)/2;
If(pd>25, Cos(360*(25/pd))*Ref(pr,-25), 0)+
If(pd>26, Cos(360*(26/pd))*Ref(pr,-26), 0)+
If(pd>27, Cos(360*(27/pd))*Ref(pr,-27), 0)+
If(pd>28, Cos(360*(28/pd))*Ref(pr,-28), 0)+
If(pd>29, Cos(360*(29/pd))*Ref(pr,-29), 0)+
If(pd>30, Cos(360*(30/pd))*Ref(pr,-30), 0)+
If(pd>31, Cos(360*(31/pd))*Ref(pr,-31), 0)+
If(pd>32, Cos(360*(32/pd))*Ref(pr,-32), 0)+
If(pd>33, Cos(360*(33/pd))*Ref(pr,-33), 0)+
If(pd>34, Cos(360*(34/pd))*Ref(pr,-34), 0)
Name: H rp sum 1
pd:=Int(Fml("Hilbert cycle period - final-a"));
pr:=(H+L)/2;
(Sin(0)*pr)+
(Sin(360*(1/pd))*Ref(pr,-1))+
(Sin(360*(2/pd))*Ref(pr,-2))+
(Sin(360*(3/pd))*Ref(pr,-3))+
(Sin(360*(4/pd))*Ref(pr,-4))+
(Sin(360*(5/pd))*Ref(pr,-5))+
If(pd>6, Sin(360*(6/pd))*Ref(pr,-6), 0)+
If(pd>7, Sin(360*(7/pd))*Ref(pr,-7), 0)+
If(pd>8, Sin(360*(8/pd))*Ref(pr,-8), 0)+
If(pd>9, Sin(360*(9/pd))*Ref(pr,-9), 0)+
If(pd>10, Sin(360*(10/pd))*Ref(pr,-10), 0)+
If(pd>11, Sin(360*(11/pd))*Ref(pr,-11), 0)+
If(pd>12, Sin(360*(12/pd))*Ref(pr,-12), 0)+
If(pd>13, Sin(360*(13/pd))*Ref(pr,-13), 0)+
If(pd>14, Sin(360*(14/pd))*Ref(pr,-14), 0)
Name: H rp sum 2
pd:=Int(Fml("Hilbert cycle period - final-a"));
pr:=(H+L)/2;
If(pd>15, Sin(360*(15/pd))*Ref(pr,-15), 0)+
If(pd>16, Sin(360*(16/pd))*Ref(pr,-16), 0)+
If(pd>17, Sin(360*(17/pd))*Ref(pr,-17), 0)+
If(pd>18, Sin(360*(18/pd))*Ref(pr,-18), 0)+
If(pd>19, Sin(360*(19/pd))*Ref(pr,-19), 0)+
If(pd>20, Sin(360*(20/pd))*Ref(pr,-20), 0)+
If(pd>21, Sin(360*(21/pd))*Ref(pr,-21), 0)+
If(pd>22, Sin(360*(22/pd))*Ref(pr,-22), 0)+
If(pd>23, Sin(360*(23/pd))*Ref(pr,-23), 0)+
If(pd>24, Sin(360*(24/pd))*Ref(pr,-24), 0)
Name: H rp sum 3
pd:=Int(Fml("Hilbert cycle period - final-a"));
pr:=(H+L)/2;
If(pd>25, Sin(360*(25/pd))*Ref(pr,-25), 0)+
If(pd>26, Sin(360*(26/pd))*Ref(pr,-26), 0)+
If(pd>27, Sin(360*(27/pd))*Ref(pr,-27), 0)+
If(pd>28, Sin(360*(28/pd))*Ref(pr,-28), 0)+
If(pd>29, Sin(360*(29/pd))*Ref(pr,-29), 0)+
If(pd>30, Sin(360*(30/pd))*Ref(pr,-30), 0)+
If(pd>31, Sin(360*(31/pd))*Ref(pr,-31), 0)+
If(pd>32, Sin(360*(32/pd))*Ref(pr,-32), 0)+
If(pd>33, Sin(360*(33/pd))*Ref(pr,-33), 0)+
If(pd>34, Sin(360*(34/pd))*Ref(pr,-34), 0)
Name: H TL sum 1
value:=Int(Fml("Hilbert cycle period - final-a"));
If(value=6, Mov((H+L)/2,8,S),0) +
If(value=7, Mov((H+L)/2,9,S),0) +
If(value=8, Mov((H+L)/2,10,S),0) +
If(value=9, Mov((H+L)/2,11,S),0) +
If(value=10, Mov((H+L)/2,12,S),0) +
If(value=11, Mov((H+L)/2,13,S),0) +
If(value=12, Mov((H+L)/2,14,S),0) +
If(value=13, Mov((H+L)/2,15,S),0) +
If(value=14, Mov((H+L)/2,16,S),0) +
If(value=15, Mov((H+L)/2,17,S),0)
Name: H TL sum 2
value:=Int(Fml("Hilbert cycle period - final-a"));
If(value=16, Mov((H+L)/2,18,S),0) +
If(value=17, Mov((H+L)/2,19,S),0) +
If(value=18, Mov((H+L)/2,20,S),0) +
If(value=19, Mov((H+L)/2,21,S),0) +
If(value=20, Mov((H+L)/2,22,S),0) +
If(value=21, Mov((H+L)/2,23,S),0) +
If(value=22, Mov((H+L)/2,24,S),0) +
If(value=23, Mov((H+L)/2,25,S),0) +
If(value=24, Mov((H+L)/2,26,S),0) +
If(value=25, Mov((H+L)/2,27,S),0)
Name: H TL sum 3
value:=Int(Fml("Hilbert cycle period - final-a"));
If(value=26, Mov((H+L)/2,28,S),0) +
If(value=27, Mov((H+L)/2,29,S),0) +
If(value=28, Mov((H+L)/2,30,S),0) +
If(value=29, Mov((H+L)/2,31,S),0) +
If(value=30, Mov((H+L)/2,32,S),0) +
If(value=31, Mov((H+L)/2,33,S),0) +
If(value=32, Mov((H+L)/2,34,S),0) +
If(value=33, Mov((H+L)/2,35,S),0) +
If(value=34, Mov((H+L)/2,36,S),0) +
If(value=35, Mov((H+L)/2,37,S),0)
Name: Hilbert cycle period - 1a
value1:=((H+L)/2) - Ref(((H+L)/2),-6);
value2:= Ref(value1,-3);
value3:=0.75*(value1-Ref(value1,-6)) +
0.25*(Ref(value1,-2)-Ref(value1,-4));
inphase:= 0.33 * value2 + (0.67 * PREV);
quad:= 0.2 * value3 + ( 0.8 * PREV);
p1:=Atan(Abs(quad+Ref(quad,-1)),Abs(inphase+Ref(inphase,-1)));
phase:=If(inphase<0 AND quad>0, 180-p1,
If(inphase<0 AND quad<0, 180+p1,
If(inphase>0 AND quad<0, 360-p1,p1)));
dp:=If(Ref(phase,-1)<90 AND phase>270,
360+Ref(phase,-1)-phase,Ref(phase,-1)-phase);
dp2:=If(dp < 1, 1,
If(dp > 60, 60, dp));
dp2
Name: Hilbert cycle period - final-a
c1:= Fml( "H cycle count 1a") + Fml( "H cycle count 2a") + Fml(
"H cycle count 3a") ;
c2:=If(c1=0,PREV,c1);
(0.25*c2) + (0.75*PREV)
Name: Instantaneous Trend Line
pr:=(H+L)/2;
(Fml("H TL sum 1") + Fml("H TL sum 2") + Fml("H TL sum 3"));
0.33*(pr + (0.5*(pr-Ref(pr,-3)))) + (0.67*PREV)
Name: Sinewave Indicator
pd:=Int(Fml("Hilbert cycle period - final-a"));
cp:=Fml("Hilbert cycle period - final-a");
ip:=Fml( "H ip sum 1") + Fml( "H ip sum 2") +
Fml( "H ip sum 3");
rp:=Fml( "H rp sum 1") + Fml( "H rp sum 2") +
Fml( "H rp sum 3");
dc1:=If(Abs(ip)>0.001, Atan(rp/ip,1), 90*If(rp>=0,1,-1));
dc2:=If(pd<30 AND cp>0,dc1+((6.818/cp - 0.227)*360),dc1);
dc3:=If(ip<0, dc2+270, dc2+90);
dcp:=If(dc3>315, dc3-360, dc3);
Sin(dcp);
Sin(dcp+45)
(Go
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INSYNC Index
The formula from Equis: Insync Index (rev. 01/06/97)
The interpretation for the following formulas came from the
article "The Insync Index", by Norm North, in Technical Analysis
of Stocks & Commodities Jan 1995.
All of these formulas are necessary for the last one, Insync
Index to run properly. They are listed in the order in which
they should be copied and pasted into the MetaStock Formula
Builder
BOLInSLB
Mov( C ,20 ,S ) - 2 * ( Std( C ,20 ) )
BOLInSUB
Mov( C ,20 ,S ) + 2 * ( Std( C ,20 ) )
BOLInS2
( C - Fml( "BOLInSLB" ) ) / ( Fml( "BOLInSUB" ) - Fml(
"BOLInSLB" ) )
BOLInSLL
If( Fml( "BOLInS2" ) ,< , .05 ,-5 ,If( Fml( "BOLInS2" ) ,> ,.95
,5 ,0 ) )
CCIInS
If( CCI(14 ) ,> ,100 ,5 ,If ( CCI(14 ) ,< ,-100 ,-5 ,0 ) )
EMVInS2
EMV(10 ,S ) - Mov( EMV(10 ,S) ,10 ,S )
EMVInSB
If( Fml( "EMVInS2" ) ,< ,0 ,If( Mov( EMV(10 ,S ) ,10 ,S ) ,< ,0
,-5 ,0 ) ,0 )
EMVInSS
If( Fml( "EMVInS2" ) ,> ,0 ,If( Mov( EMV(10 ,S ) ,10 ,S ) ,> ,0
,5 ,0 ) ,0 )
MACDInS2
MACD( ) - Mov( MACD( ) ,10 ,S )
MACDinSB
If( Fml( "MACDInS2" ) ,< ,0 ,If( Mov( MACD( ) ,10 ,S ) ,< ,0 ,-5
,0 ) ,0 )
MACDInSS
If( Fml( "MACDInS2" ) ,> ,0 ,If( Mov( MACD( ) ,10 ,S) ,> ,0 ,5
,0 ) ,0 )
MFIInS
If( MFI( 20 ) ,> ,80 ,5 , If( MFI( 20 ) ,< ,20 ,-5 ,0 ) )
PDOInS2
DPO( 18 ) - Mov( DPO( 18 ) ,10 ,S )
PDOInSB
If( Fml( "PDOInS2" ) ,< ,0 ,If( Mov( DPO( 18 ) ,10 , S) ,< ,0
,-5 ,0 ) ,0 )
PDOInSS
If( Fml( "PDOInS2" ) ,> ,0 ,If( Mov( DPO ( 18 ) ,10 ,S) ,> ,0 ,5
,0 ) ,0 )
ROCInS2
ROC( C ,10 ,$ ) - Mov( ROC( C ,10 ,$ ) ,10 ,S )
ROCInSB
If( Fml( "ROCInS2" ) ,< ,0 ,If( Mov( ROC( C ,10 ,$ ) ,10 ,S ) ,<
,0 ,-5 ,0 ) ,0 )
ROCInSS Index
If( Fml( "ROCInS2" ) ,> ,0 ,If( Mov( ROC( C ,10 ,$ ) ,10 ,S ) ,>
,0 ,5 ,0 ) ,0 )
RSIInS
If( RSI(14 ) ,> ,70 ,5 ,If( RSI(14 ), < ,30 ,-5 ,0 ) )
STO%dInS
If( Stoch(14 ,3 ) ,> ,80 ,5 ,If( Stoch(14 ,3 ) ,< ,20 ,-5 ,0 ) )
STO%kInS
If( Stoch(14 ,1) ,> ,80 ,5 ,If( Stoch(14 ,1 ) ,< ,20 ,-5 ,0 ) )
InSync Index
50 + Fml( "CCIInS" ) + Fml( "BOLInSLL" ) + Fml( "RSIInS" ) +
Fml( "STO%kInS " ) + Fml( "STO%dInS" ) + Fml( "MFIInS" ) + Fml(
"EMVInSB" ) + Fml( "EMVInSS" ) + Fml( "ROCInSS" ) + Fml(
"ROCInSB" ) + Ref (Fml( "PDOInSS" ) ,-10 ) + Ref (Fml( "PDOInSB"
) ,-10 ) + Fml( "MACDInS S" ) + Fml( "MACDInSB" )
These formulas were provided by Barry Millman. All questions
should be addressed to him at 73374.1364@Compuserve.com.
Mr. Millman wrote these formulas using many Custom Formula slots
for clarity and ease of understanding. Please note that the
final formula `InSync Index' requires all of the previous
formulas to be correct.(Go
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| Investor
Preference Index
This indicator was discussed in the December 1997
Technical Analysis of Stocks & Commodities magazine, page
19. The article was written by Cyril V. Smith Jr.
"This indicator, a long - term stock market investment tool,
compares the performance of the S&P 500 to the New York Stock
Exchange index to measure sentiment. The theory is that
investors have a preference for certain types of investments,
blue chips versus mid-cap, during phases of a bull market."
To plot this in MetaStock for Windows, follow these
instructions. When complete, if you save this as a chart, you
will simply need to load the chart and it will recalculate using
the newest data.
- Open a chart of the S&P 500.
- Open a chart of the New York Stock Exchange index.
- Drag the S&P 500 price plot into the NYSE chart.
- Drop the indicator listed below on the plot of the S&P
500. The plot will turn a different color when you are
pointing at it.
- The resultant plot is the Investor Preference Index.
Formula: Investor Preference Index:
(Sum(Mov(ROC(Log(C),24,%)-ROC(Log(P),24,%),15,S)-Mov(ROC(Log(C),24,%)-ROC(Log(P),24,%),38,S),54)+1)*100
System test:
Enter Long
C=HHV(C,26)
Close Long
Fml("Investor Preference Index")<97.6 AND ROC(Fml("Investor
Preference Index"),2,$)<=(-.04)
(Go
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