StockFetcher Forums · Filter Exchange · Triple Momentum ROC<< 1 2 3 4 5 ... 7 >>Post Follow-up
glgene
534 posts
msg #72330
Ignore glgene
3/9/2009 4:01:45 PM

Gerald Appel (creator of the MACD Signal) has created a Triple Momentum signal, which he says is a great broad-based signal -- at least for Nasdaq.

Using QQQQ, he adds up the ROC(5), ROC(15) and ROC(25), and when the summation of these three ROCs shoots from below 4% to above 4%, that's a Buy for QQQQ. Same addition, and when it goes from above 4% to below 4%, that's a Sell.

Found this in one of his recent books. He backtests 1981 thru 2004 (part) with nearly 20% compounded yield per year over that long time frame. In the market only 46% of the time; the remainder in cash. Only one (minor) negative year from 81 thru 04. Did superbly well 2000-2002.

Don't know how the numbers look from 2004-2009.

Don't know how to put this into SF query languag. Any help, here?


Zack







chetron
2,817 posts
msg #72333
Ignore chetron
modified
3/9/2009 4:27:20 PM

MAYBE...

OOPS.....

Fetcher[

SET{VAR1,ROC(5) + ROC(15)}
SET{VAR2,ROC(25) + VAR1}

SET{VAR3,INDPOSITION(VAR2,60) * 100}


DRAW VAR3
DRAW VAR2
ADD COLUMN VAR3
ADD COLUMN VAR2



CLOSE ABOVE .1
VOLUME ABOVE 1000000


]



glgene
534 posts
msg #72339
Ignore glgene
3/9/2009 4:45:33 PM

Tried your suggestion, but got no matches. Did you find any matches?

Zack

chetron
2,817 posts
msg #72342
Ignore chetron
3/9/2009 5:37:11 PM

YEAH, ABOUT 1285ISH?????????????????? = )

chetron
2,817 posts
msg #72349
Ignore chetron
modified
3/10/2009 6:46:58 AM

how about.....

Fetcher[



SET{VAR1,ROC(5) + ROC(15)}
SET{VAR2,ROC(25) + VAR1}

SET{VAR3,INDPOSITION(VAR2,60) * 100}


DRAW VAR3
DRAW VAR2
ADD COLUMN VAR3
ADD COLUMN VAR2

var2 above var2 2 day ago
var2 1 day ago below -99
var3 crossed above 1
CLOSE ABOVE .1
VOLUME ABOVE 1000000



]




or even....



Fetcher[
SET{VAR1,ROC(5) + ROC(15)}
SET{VAR2,ROC(25) + VAR1}

SET{VAR3,INDPOSITION(VAR2,60) * 100}


DRAW VAR3
DRAW VAR2
ADD COLUMN VAR3
ADD COLUMN VAR2

var2 1 day ago below -99
var3 crossed above 20
CLOSE ABOVE .1
VOLUME ABOVE 1000000


]



glgene
534 posts
msg #72352
Ignore glgene
3/10/2009 8:51:09 AM

Chetron,

Many thanks for your continued help.

What is INDPOSITION?



Zack


chetron
2,817 posts
msg #72353
Ignore chetron
3/10/2009 8:55:13 AM

IT IS A FUNCTION THAT BASICALLLY MAKES AN OSCILLATOR OUT OF ANY THING.


************************


IndPosition

--------------------------------------------------------------------------------


Parameters Indicator
Length
Usage indposition(indicator,length)

Description This measure returns the current position of an indicator with respect to the min and max of the measure over the specified number of days.
The value returned will be between 0 and 1. Values closer to 0 indicate the measure is closer to the lower bound in the given period of time. Values closer to 1 indicator the current value of the measure is closer to making a high over the specified period of time.




glgene
534 posts
msg #72409
Ignore glgene
3/10/2009 4:29:24 PM

Chetron,

Does this produce only those stocks that (xroc) went below 4 on the day of search? That's what I want.

Again, xroc would be the sum of the 5-day, 15-day, and 25-day ROCs.

Thanks, again.


Zack

chetron
2,817 posts
msg #72411
Ignore chetron
3/10/2009 4:45:56 PM

crossed below 4.....


Fetcher[


SET{VAR1,ROC(5) + ROC(15)}
SET{xroc,ROC(25) + VAR1}

SET{xroc_osc,INDPOSITION(xroc,60) * 100}


DRAW xroc_osc
DRAW xroc
ADD COLUMN xroc_osc
ADD COLUMN xroc

xroc crossed below 4
CLOSE ABOVE .1
VOLUME ABOVE 1000000



]



glgene
534 posts
msg #72413
Ignore glgene
3/10/2009 5:22:31 PM

Great! How many variables can you put in one "set" command? Is it only 2?

Zack

StockFetcher Forums · Filter Exchange · Triple Momentum ROC<< 1 2 3 4 5 ... 7 >>Post Follow-up

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