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Livermore Active Issues Index for Friday, Mar 5th

March 5, 2010

4 Comments leave one →
  1. bill permalink
    March 8, 2010 1:29 pm

    David,

    in your last post, if you use ROC of moving average results seems to be better

    Reason – ROC of 5 day is prone to sudden variation of volume ,but MA 5 day is much smoother.
    Whats your thought

    here is my code

    // Set system variables
    AvgVol5 = MA(V, 5);
    MA200 = MA(C, 200);

    //5dROC SPY volume >0, V 0 AND V 0 AND V < Ref(V,-1);

    Sell = 0;
    Short=0;
    Cover=0;

  2. bill permalink
    March 8, 2010 1:29 pm

    // Set system variables
    AvgVol5 = MA(V, 5);
    MA200 = MA(C, 200);

    //5dROC SPY volume >0, V 0 AND V 0 AND V < Ref(V,-1);

    Sell = 0;
    Short=0;
    Cover=0;

  3. bill permalink
    March 8, 2010 1:30 pm

    Buy = ROC(AvgVol5,5) > 0 AND V < Ref(V,-1);

  4. bill permalink
    March 8, 2010 1:36 pm

    this has even better success rate

    Buy = ROC(AvgVol5,5) > 0 AND C < Ref(C,-1) AND V < Ref(V,-1);

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