DetrendedPriceOsc_System

Im working a DetrendedPriceOsc system.
it's not ready to be released yet, but it's interesting.

the base code is this,

function DetrendedPriceOsc( Periods )
{
return Hc - AMA(Ref( MA( Hc, Periods ), -( 1 + Periods/2 ) ),0.5);
}
_SECTION_END();

and with running a stoploss of 2.5% with/or without profittarget/trailing stop yield interesting results!
Still I would like to see more consistence, these results are simple form a cross of 2 lines. No more!

Anyway here's a pic


winrate is around 50% of a total trades of about 500 back from 2000
displayed is the number of points you would have won on the dutch AEX, starting from 1000
I expect this code to be looking into the future. As periods I use value 1
But with the bar-replay is doesn't seem to look forward.
Anyway later more!

here's a pic how it's coming up and how it's performing with profit/trailingstop

a new trade is caculated from the open of next day, since the signals arrive after trading

3.0% stoploss
2.5% profitstop
3.5% trailingstop
all trades are closed instantly on hit

showed first pic, is december 2011 till now, made about 23 points, each 200 euro each when trading futures.
2nd is points grow ( not equity)

the system refers on a periodes-value, and pds-value.
both are set to 1

Now we have 511 trades since 2000, with a winratio of 57.34%

Entty criteria is still simple, a cross of lines means action!

Didn't find the time anymore to dive into this, so I publish it as is.
It can act as a base to be build upon.

The two things which matters are the values used for periods and pds, and those can be optimized.

_SECTION_BEGIN("DetrendedPriceOsc_System");

Hc=(O+H+L+O)/4; // CLOSE REPLACED BY OPEN
Ho = AMA( Ref( Hc, -1 ), 0.5 );
pds = Optimize("pds ",Param("pds ",1,1,14,1),1,14,1);//4
period = Optimize("period ",Param("period ",1,1,14,1),1,14,1);


function DetrendedPriceOsc( Periods )
{
return Hc - AMA(Ref( MA( Hc, Periods ), -( 1 + Periods/2 ) ),0.5);
}

myArray1 = ( RSIa( DetrendedPriceOsc( period ),pds ) + Ref(RSIa(DetrendedPriceOsc( period ),pds),-1) + Ref(RSIa(DetrendedPriceOsc( period ),pds),-2) +Ref(RSIa(DetrendedPriceOsc( period ),pds),-3))/4 ;
myArray2 = ( RSIa( Ho,pds )+ Ref(RSIa( Ho,pds ),-1) +Ref(RSIa( Ho,pds ),-2) + Ref(RSIa(Ho,pds),-3))/4 ;


Plot( myArray1 , " RSI_myArray1 ", IIf( myArray1 >Ref(myArray1 ,-1), colorGreen, colorRed ));
Plot( myArray2 , " RSI_myArray2 ", IIf( myArray2 >Ref(myArray2 ,-1), colorGreen, colorRed ));

Plot(80,"RESISTENCE",colorRed, styleLine|styleDashed | styleThick);
Plot(50,"",colorBlack, styleLine|styleDashed | styleThick);
Plot(20,"SUPPORT",colorBlue, styleLine|styleDashed | styleThick);

Buy=Cover=Cross(myarray1,myarray2) ;
Short=Sell=Cross(myarray2,myarray1) ;

Plot ( 2, "", IIf( Buy , colorGreen, IIf( Short, colorRed, colorPink )), styleOwnScale|styleArea|styleNoLabel, -0.5, 100 );

ExRem(Buy,Sell);
ExRem(Short,Cover);

PlotShapes( Buy * shapeUpTriangle, colorBrightGreen, 0);
PlotShapes( Short * shapeDownTriangle, colorOrange, 0);
PlotShapes( Sell * shapeSmallCircle, colorRed, 0,myarray1,Offset=25);
PlotShapes( Cover * shapeSmallCircle, colorDarkGreen, 0,myarray1,Offset=-25);

ApplyStop(stopTypeLoss, stopModePercent, Optimize( "stopTypeLoss", 3.0, 2.5, 2.5, 0.5 ) ,1, True );
ApplyStop(stopTypeProfit , stopModePercent, Optimize( "stopTypeProfit ", 2.5, 2.5, 2.5, 0.5 ) ,1, True );
ApplyStop(stopTypeTrailing , stopModePercent, Optimize( "stopTypeProfit ", 3.5, 2.5, 2.5, 0.5 ) ,1, True );

// change the questionmarks the the value which is used to plot the indicator
base_array=myarray1;

////////////////////////////// HIGHLY IMPORTANT ////////////////////

//ACTIVATE STOPS IN SETTINGS
e = Equity(1,0); /* Highly Important!!. "Removes all extra signals, evaluates
stops AND writes BACK signals to Sell/Cover arrays". As it should be!!*/

PlotShapes( Buy* shapeUpArrow , colorBlack, 0);
PlotShapes( Short* shapeDownArrow , colorBlack, 0);

/*
1 - regular exit
2 - Max. loss
3 - profit target
4 - trailing
5 - ruin stop
6 - n-bar stop
*/

PlotShapes(IIf(Ref(Cover==2,-1), shapeCircle, shapeNone),colorRed,0,base_array,0); //stoploss
PlotShapes(IIf(Ref(Cover==3,-1), shapeCircle, shapeNone),colorGreen,0,base_array,0); //profit target

PlotShapes(IIf(Ref(Sell==2,-1), shapeCircle, shapeNone),colorRed,0,base_array,0); //stoploss
PlotShapes(IIf(Ref(Sell==3,-1), shapeCircle, shapeNone),colorGreen,0,base_array,0); //profit target

////////////////////////////////////////////////////////////////////////////////
OffsetBuy = Param("Offset_Buy (green)", -9, -25, 25, 1 );
OffsetSell = Param("Offset_Sell (blue)", 2, -25, 25, 1 );
OffsetShort = Param("Offset_Short (red)", 7, -25, 25, 1 );
OffsetCover = Param("Offset_Cover (orange)", -4, -25, 25, 1 );

OND=Ref(O,1); //OPEN NEXT DAY
base_arrayBUY=base_array+OffsetBuy ; //just for offset
base_arraySELL=base_array+OffsetSell ; //just for offset
base_arraySHORT=base_array+OffsetShort ; //just for offset
base_arrayCOVER=base_array+OffsetCover ; //just for offset

for( i = 0; i < BarCount; i++ )
{
if( Buy ) PlotText( "EL " + OND[ i ], i, base_arrayBUY[ i ], colorGreen );
if( Sell AND NOT Short ) PlotText( "LE " + OND[ i ], i, base_arraySELL[ i ], colorBlue);
if( Short ) PlotText( "ES " + OND[ i ], i, base_arraySHORT[ i ], colorRed);
if( Cover AND NOT Buy ) PlotText( "SE " + OND[ i ], i, base_arrayCOVER[ i ], colorOrange);
}
_SECTION_END();

_SECTION_BEGIN("trending ribbon");
GraphXSpace=15;
uptrend=Buy;
downtrend=Short;
Plot( 2, "ribbon",IIf( uptrend, colorGreen, IIf( downtrend, colorRed, colorLavender )), styleOwnScale|styleArea|styleNoLabel, -0.5, 100 );
_SECTION_END();

//////////////////////////////////////////////////////////////////////////////