Category Archives: trading strategy

Zero In On The MACD

EDS, Stocks & Commodities traders tips, technical indicator, trading strategy
The AIQ code based on Barbara Star’s article in May issue of Stocks and Commodities “Zero In On The MACD,” is provided at www.TradersEdgeSystems.com/traderstips.htm, and is also shown below.
Sample Chart

FIGURE 7: AIQ. Here is a sample chart of VIAB with MACDhist, the color bars, and the 34- and 55-bar EMAs.
Figure 7 shows the MACD histogram on a chart of Viacom (VIAB) with the color bars and the 34- and 55-bar exponential moving averages (EMA). Note that I did not code the weighted moving average (WMA) but substituted the EMA for the WMA. I chose to view the chart of VIAB by running the EDS “Zero MACD.eds” on 3/14/2016 and examining the alert messages on the report “List.” VIAB is the only one on that date that showed a cross up on the MACDhist (see Figure 8 for a look at part of this report for 3/14/2016).
Sample Chart

FIGURE 8: AIQ. This shows part of the EDS custom report “List” that shows the MACDhist values on 3/14/2016, the color status, and any alerts that were generated for that day.
! ZERO IN ON THE MACD

! Author: Barbara Star, TASC May 2016

! Coded by: Richard Denning 3/14/16

! www.TradersEdgeSystems.com



! INPUTS:

macd1  is  12.

macd2  is  26.

macdSig is  1.



! INDICATORS:

emaST  is expavg([Close],macd1).

emaLT  is expavg([Close],macd2).

MACD  is emaST - emaLT.  ! MACD line

SigMACD is expavg(MACD,macdSig). ! MACD Signal line

MACDosc is MACD - SigMACD. ! MACD Oscillator



HD if hasdatafor(macd2) = macd2.

MACDhist is MACD.                                 ! plot as historigram

MACDblue if MACDhist > 0.  ! use these rules to color MACDhist

MACDred  if MACDhist < 0.  ! use these rules to color MACDhist

MACDcolor is iff(MACDblue and HD,"Blue",iff(MACDred and HD,"Red","White")). !for report list

List if 1.



!ALERTS:

EMA1 is expavg([close],34).

EMA2 is expavg([close],55).

xupEMA1 if [close] > EMA1 and valrule([close] < EMA1,1).

xdnEMA1 if [close] < EMA1 and valrule([close] > EMA1,1).

xupEMA2 if [close] > EMA2 and valrule([close] < EMA2,1).

xdnEMA2 if [close] < EMA2 and valrule([close] > EMA2,1).

xupMACD if MACDhist > 0 and valrule(MACDhist < 0,1).

xdnMACD if MACDhist < 0 and valrule(MACDhist > 0,1).

UpAlerts is iff(xupEMA1,"xupEMA1",iff(xupEMA2,"xupEMA2",iff(xupMACD,"xupMACD"," "))).

DnAlerts is iff(xdnEMA1,"xdnEMA1",iff(xdnEMA2,"xdnEMA2",iff(xdnMACD,"xdnMACD"," "))).
The code and EDS file can be downloaded from www.TradersEdgeSystems.com/traderstips.htm.

ADX Breakouts

back testing, EDS, Stocks & Commodities traders tips, technical indicator, trading strategy
The AIQ code based on Ken Calhoun’s article in the March 2016 issue of Stocks and Commodities, “ADX Breakouts,” is provided at www.TradersEdgeSystems.com/traderstips.htm.
Since I mainly work with daily bar strategies, I wanted to test the ADX concept from the article on a daily bar trading system. So I set up a system that buys after a stock has based around the 200-day simple moving average (Basing200). Basing200 is coded in the system as:
  • The stock closing above the 200-SMA only 19 bars or less out of the last 100 bars, and
  • The stock closing greater than two bars above the 200-SMA in the last 10 bars.
For exits, I used the following built-in exits: a capital-protect exit set at 80% and a profit-protect exit set at 80% once profit reaches 5% or more.
I ran this system on the NASDAQ 100 list of stocks in the EDS backtester over the period 12/31/1999 to 1/11/2016. I then ran a second test on the system using the ADX filter (ADX must be greater than 40 at the time of the signal to buy). I used the same list of stocks, exits, and test period.
Figure 8 shows the first test without the filter: 883 trades, 1.84% average profit per trade, 1.51 reward/risk. Figure 9 shows the second test with the filter: 151 trades, 2.12% average profit per trade, 1.66 reward/risk.
Sample Chart
FIGURE 8: AIQ, WITHOUT FILTER. Here are the EDS test results for the example system without the ADX filter.
Sample Chart

FIGURE 9: AIQ, WITH FILTER. Here are the EDS test results for the example system with the ADX filter.
Although all of the key metrics are better with the filter, there is a significant reduction in the number of trades. In fact, 151 trades would not be sufficient for a trading system over this long test period. If one wanted to use the filter, then the list of stocks would need to be increased to about 2,000 stocks.
!ADX BREAKOUTS
!Author: Ken Calhoun, TASC March 2016
!Coded by: Richard Denning, 1/11/2016
!www.TradersEdgeSystems.com

!NOTE; THIS SAMPLE SYSTEM IS FOR 
           !DAILY BAR TESTING OF ADX FILTER ONLY

SMA200 is simpleavg([close],200).
HD is hasdatafor(250).
Above200 if ( [close] > SMA200 ) .
Basing200 if CountOf(Above200,10) >2
 and CountOf(Above200,100) 200. 
ADXhi if [ADX] >= 40.
BuyADX if Buy and ADXhi.
This code and EDS file can be downloaded from www.TradersEdgeSystems.com/traderstips.htm.
—Richard Denning
info@TradersEdgeSystems.com
for AIQ Systems