TREND FOLLOWING SIGNAL CONFIRMATION

USING NON-PRICE INDICATORS

David Serbin

WIJOPA Investments, LLC

ABSTRACT

This paper relates to the use of mechanical timing signals for trading securities. In

particular, it concerns the combination of price based and non-price based signals to form

composite signals having increased performance compared to the use of either type of

signal standing alone. The composite signals are particularly adapted for trading actively

managed mutual funds and exchange traded funds (ETFs) on an intermediate term (one or

several weeks) basis.

BACKGROUND

Mechanical timing signals are defined as specific buy and sell instructions

generated by applying a computer algorithm to one or more financial vector time series.

The vector can be the price of a security such as a stock or mutual fund, or it can be a

non-price indicator such as a market index internal. The latter include new highs/new

lows, advancing/declining issues and up/down volume. As the vector changes value over

time, the computer algorithm evaluates the changes and presents the trader with a

1
decision on whether or not to own a particular security. The term mechanical refers to the

non-discretionary aspect of these signals, thus the buys and sells are generated strictly by

the computer algorithm, with no discretionary decision input by the trader.

Timing signals can be based on any time frame, from intraday tick data to

monthly data. This paper is confined to timing signals based on daily data, aka end of

day or EOD data. Daily signals tell the trader to own a particular security on a

particular day or not to own it on that particular day. All results presented herein are based

on next day trading, that is, the timing signals are generated using the current days

closing prices, and the trades take place at the next days closing. The computer

algorithms are written in AmiBroker (www.amibroker.com). However, the ideas presented

in this paper can be readily adapted to other programs.

Timing signals are used in an attempt to beat the performance of buy and hold,

either on an absolute return or risk adjusted basis. The following example conceptually

illustrates the use of a simple timing strategy. FIG. 1 is a chart of SPY, the Exchange Traded

Fund (ETF) for the S&P 500 Depository Receipts (SPDR). The average buy and hold annual

return for SPY for the past 17 years has been slightly less than 8%, with a maximum

drawdown (peak to trough) of about 55%. This 55% drawdown occurred in 2008-2009.

A drawdown of 46% occurred in 2000-2002. Most would agree that periodic 45-55%

drawdowns are a steep price to pay for such a relatively low annual return.

2
 Now lets compare the buy and hold performance of SPY with a timing strategy

using a 233 day and an 89 day simple moving average (SMA) crossover. Those familiar

with Fibonacci numbers will recognize 233 and 89 as members of the Fibonacci sequence.

This crossover is a slight variation on the well known Golden Cross strategy using a

50/200 day SMA, and yields similar results with slightly less whipsawing. The strategy is

to own SPY when the value of the 89 day SMA of SPY is above that of the 233 day SMA,

and to go to money market when the 89 day SMA is below the 233 day. Thus SPY is the

vector time series used to generate the timing signal, and the timing signal is used to trade

SPY. FIG. 1 illustrates the difference in performance between buy and hold (black equity

curve), and the 233/89 crossover strategy (red equity curve).

3
 FIG. 1

Compared to buy and hold, the 233/89 crossover strategy increases annual return,

from approximately 7.8% to 10.8%, and cuts maximum drawdown from 55% to 19%. Using

this strategy, the drawdown in 2008-09 would have been avoided almost entirely, as the

strategy went to a sell in February 2008 after a drawdown of 19% from the peak in

October, 2007.

While the 89/233 SMA crossover strategy is a tremendous improvement over buy

and hold, the performance is still unacceptable from the standpoint of the reward to risk,

commonly measured by the ratio of compound annual return (CAR) divided by maximum

drawdown (Mdd) for the same measurement period. Thus the CAR/Mdd for SPY buy and

hold from the start date of 1/23/1993 is 7.8/55 = 0.14. For the 89/233 SMA crossover

strategy, the CAR/Mdd ratio is 10.8/19 = 0.57. While opinions vary as to what is an

acceptable reward to risk ratio, many consider a CAR/Mdd of 1.0 to be a minimum for

any trading system. Thus, for a CAR/Mdd of at least 1.0, the compound annual return must

be at least as great as the maximum drawdown for the same period. Naturally, the higher

the CAR/Mdd of a trading system, the more attractive it is.

With a CAR/Mdd of 0.57, the 89/233 SMA crossover system clearly fails the 1.0

minimum threshold requirement for consideration. One solution is to tighten the SMA
4
parameters to enable the trader to exit SPY earlier, thus avoiding more of the drawdowns.

Tighter parameters, however, increase the risk of whipsawing. FIG. 2 illustrates this.

FIG. 2

The jagged red line in FIG. 2 confirms the presence of excessive trading due to the

tighter 21/89 SMA parameters. Moreover, although no single drawdown equals the 19%

drawdown using the 89/233 SMA, the overall maximum drawdown has increased to 35%

due to the cascading effect of successive smaller drawdowns. This occurred in both the

2000-2002 and 2008-2008 bear markets, and is due to periodic bear market rallies that

5
trigger a buy in the 21/89 SMA, followed by a quick reversal back down. On the other

hand, there was a buy signal on 4/20/09 which lasted until 2/17/2010 and resulted in a

34% profit, indicating that tighter SMA parameters do work when a security is trending

strongly.

SPY is typical of many securities, experiencing periods of strong trends and periods

of weak trends or trendless oscillation. Moving average crossover strategies with tight

parameters work well only in strongly trending markets, as shown above. The less trendy

the security over a given period, the broader or looser the parameters must be to

avoid whipsawing and cascading losses. However, looser parameters increase single

trade drawdown and decrease overall return. The trend trader is thus faced with the

dilemma of how to decrease system drawdown while maintaining an acceptable level of

whipsaws.

DETAILED DISCUSSION

By combining a moving average crossover with non-price indicators, it is possible in

many instances to decrease drawdown while maintaining an acceptable level of

whipsawing. In the following example, SPY is traded first with an exponential moving

average (Ema) crossover, then with a combination of an Ema crossover and non-price

indicators as detailed hereinafter. In both studies, a walk forward analysis was performed.

Below is a screen capture of the walk forward settings as implemented in AmiBroker. The

6
walk forward studies were performed using AmiBrokers built in particle swarm optimizer

(SPSO), which considerably speeds up the analysis.

FIG. 3

The in-sample period for initial optimization was 1/1/1995 to 1/1/2002 and was

anchored going forward. The walk forward was annually with re-optimization at the start
7
of each year beginning 1/1/2002. The optimization target (objective function) was

CAR/Mdd, that is, the out of sample parameters were chosen based on the best

CAR/Mdd for the previous in-sample period. FIG. 4 summarizes the results of the walk

forward using only the Ema crossover.

FIG. 4

As can be seen in FIG. 4, the highest annual drawdown was 9.92% in 2007, and

the total return (crudely summing up the Out of Sample annual returns from 1/1/2002 to

1/1/2010) was 51.26%.

In the second study, the same walk forward analysis was performed using an Ema

crossover with non-price confirmation. FIG. 5 summarizes the results.

8
 FIG. 5

As can be seen in FIG. 5, the highest annual drawdown was 7.59 in 2007, and the

total return was 54.2%. Thus, optimizing with confirmation signals both increased return

and decreased drawdown compared to optimizing with an Ema crossover alone.

CODE LOGIC

The non-price indicators used in the second study were NYSE and NASDAQ new

highs/new lows and up volume/down volume. The signals are generated by optimizing

Ema crossovers of the non-price indicators, with inverse Ema crossovers being used for

new lows and down volume.

9
 Initially it would seem counterintuitive to employ NASDAQ data to trade SPY, even

when its used in combination with NYSE data. Nevertheless, exhaustive back-testing and

trial and error with various combinations of indicators showed that the inclusion of

NASDAQ data yields significantly better results. Still more surprising is the manner in which

the signals are constructed to obtain the results. In bull markets, the best buy results occur

with a combination of new lows and down volume. In bear markets, the best buy results

are a confirmation of new highs/up volume and new lows/down volume. In other words,

new highs and up volume become significant for buys only during a countertrend rally in

bear markets. Sells are generated by either combination of new lows/down volume or

new highs/up volume. For determining a bull market for the NASDAQ, a long term Ema

crossover of the Russell 2000 is used, and for the NYSE, a long term crossover of SPY is

used. It is speculated that the Russell 2000 and SPY work better than NASDAQ or NYSE

data as long term bull/bear indicators because their equity curves are somewhat

smoother. The AmiBroker AFL code used to generate the confirmation signal is attached as

Appendix 1. A useful database is Fasttrack (www.fasttrack.net).

Trend trading SPY and many other ETFs is often difficult because of a lack of

trendiness in unmanaged index funds. On the other hand, many managed funds trade

very well using trend following techniques. Using confirmation signals can enhance results

further. The following example trades RYOTX (Royce Microcap) with a stand-alone Ema

crossover and in combination with non-price indicators. The AmiBroker AFL code used to
10
generate the results with RYOTX is attached as Appendix 2. Again, as with SPY, walk

forward studies were performed under the same conditions. FIG. 6 summarizes the walk

forward results using an optimized Ema crossover.

FIG. 6

The results in FIG. 6 show the highest annual drawdown in 2007 of 9.92%. The

total gain (again crudely summing up the annual CAR results) is 51.72%.

When the Ema crossover is confirmed by NASDAQ new highs/new lows and

up/down volume, performance is greatly enhanced, as shown in FIG. 7.

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 FIG. 7

Using the confirmation signal, the highest annual drawdown is 7.83% in 2009 and

the total gain jumps to 149.13%, nearly triple the gain using only the Ema crossover.

CONCLUSION

Non-price indicators can be a useful addition to trend trading signals when used in

confirmation. They can be particularly welcome for securities that are otherwise resistant to

trend trading, such as many of the index funds and ETFs. Further research will include using

custom non-price indicators generated for sectors other than the NASDAQ and NYSE,

such as the Russell 2000 and emerging markets. In addition, sensitivity studies using IO

12
(Intelligent Optimizer, available as an AmiBroker add on) will be conducted to measure

robustness.

APPENDIX 1

AmiBroker code for trading SPY

//----------------------------------------------------------------------------------
// *** IO Directives - Parsed As Comments
// To Disable a Directive, Mark As
//xIO
// UseDefault and SaveCancelled
allows seeding a run with a previous solution
//----------------------------------------------------------------------------------

//Standard IO Setup

// *** IO Fitness Directives page 18 - 20

//IO: Fitness: CAR * UPI

// ***Goal Directives page 21

//IO: Goal: CAR: >: 20: Bonus: 1.1

//IO: Goal: MDD: <: 10: Bonus: 1.1

// *** IO General Directives page 22 - 23

// *** IO Sensitivity Directives page 24 - 25

//IO: SenOptRanges: 3
//IO: SenOptRangeWt: 2
//IO: SenOptGoal%: 100

// *** IO In & Out of Sample Directives page 26 - 29

//xIO: BegISDate: 01/02/98

//xIO: EndISDate: 12/31/02
//xIO: BegOSReal: 01/02/03
//xIO: EndOSReal: 12/31/06
//xIO: WFAuto: Rolling: 3Months

// *** IO Expert Paramenters

// *** IO Options page 30 - 33

13
//IO: UseDefault: Y
//IO: SaveCancelled: Y

//----------------------------------------------------------------------------------

function MyEma(Ticker, Period)

{
res = AMA(Ticker, 2 / (Period + 1));
return res;
}

//----------------------------------------------------------------------------------
fund= Foreign("rut-i", "Close");
RUTS = Optimize("RUTS", 34, 13, 233, 1);
RUTL = Optimize("RUTL", 377, 89, 610, 1);
rutb = Cross(MyEma(fund, RUTS), MyEma(fund,RUTL));
ruts = Cross(MyEma(fund,RUTL), MyEma(fund,RUTS));

fund= Foreign("spy", "Close");

SPS = Optimize("SPS", 34, 13, 233, 1);
SPL = Optimize("SPL", 377, 89, 610, 1);
spb = Cross(MyEma(fund, SPS), MyEma(fund,SPL));
sps = Cross(MyEma(fund,SPL), MyEma(fund,SPS));

fund= Foreign("$nynl", "Close");

NYLS = Optimize("NSLS", 8, 3, 89, 1);
NYLL = Optimize("NSLL", 144, 13, 610, 1);
nynlb = Cross(MyEma(fund, NYLL), MyEma(fund,NYLS));
nynls = Cross(MyEma(fund,NYLS), MyEma(fund,NYLL));

fund= Foreign("$nynh", "Close");

NYHS = Optimize("NYHS", 8, 3, 89, 1);
NYHL = Optimize("NYHL", 144, 13, 610, 1);
nynhb = Cross(MyEma(fund, NYHS), MyEma(fund,NYHL));
nynhs = Cross(MyEma(fund,NYHL), MyEma(fund,NYHS));

fund= Foreign("$dvol", "Close");

NYDVS = Optimize("NYDVS", 34, 3, 89, 1);
NYDVL = Optimize("NYDVL", 144, 34, 610, 1);
nydvolb = Cross(MyEma(fund, NYDVL), MyEma(fund,NYDVS));
nydvols = Cross(MyEma(fund,NYDVS), MyEma(fund,NYDVL));

fund= Foreign("$uvol", "Close");

NYUVS = Optimize("NYUVS", 34, 3, 89, 2);
NYUVL = Optimize("NYUVL", 144, 34, 610, 1);
nyuvolb = Cross(MyEma(fund, NYUVS), MyEma(fund,NYUVL));
nyuvols = Cross(MyEma(fund,NYUVL), MyEma(fund,NYUVS));

fund= Foreign("NSNLQ", "Close");

NSLS = Optimize("NSLS", 8, 3, 89, 1);
NSLL = Optimize("NSLL", 144, 13, 610, 1);
nsnlb = Cross(MyEma(fund, NSLL), MyEma(fund,NSLS));
nsnls = Cross(MyEma(fund,NSLS), MyEma(fund,NSLL));

fund= Foreign("NSNHQ", "Close");

NSHS = Optimize("NSHS", 8, 3, 89, 1);
NSHL = Optimize("NSHL", 144, 13, 610, 1);
nsnhb = Cross(MyEma(fund, NSHS), MyEma(fund,NSHL));
nsnhs = Cross(MyEma(fund,NSHL), MyEma(fund,NSHS));

14
fund= Foreign("DVOLQ", "Close");
DVS = Optimize("DVS", 34, 3, 89, 1);
DVL = Optimize("DVL", 144, 34, 610, 1);
dvolb = Cross(MyEma(fund, DVL), MyEma(fund,DVS));
dvols = Cross(MyEma(fund,DVS), MyEma(fund,DVL));

fund= Foreign("UVOLQ", "Close");

UVS = Optimize("UVS", 34, 3, 89, 2);
UVL = Optimize("UVL", 144, 34, 610, 1);
uvolb = Cross(MyEma(fund, UVS), MyEma(fund,UVL));
uvols = Cross(MyEma(fund,UVL), MyEma(fund,UVS));

nynlemab = Flip(nynlb, nynls);

nynlemas = NOT(nynlemab);
BuynynlState = Flip(nynlemab,nynlemas);
SellnynlState = Flip(nynlemas,nynlemab);

nynhemab = Flip(nynhb, nynhs);

nynhemas = NOT(nynhemab);
BuynynhState = Flip(nynhemab,nynhemas);
SellnynhState = Flip(nynhemas,nynhemab);

nydvolemab = Flip(nydvolb, nydvols);

nydvolemas = NOT(nydvolemab);
BuynydvState = Flip(nydvolemab,nydvolemas);
SellnydvState = Flip(nydvolemas,nydvolemab);

nyuvolemab = Flip(nyuvolb, nyuvols);

nyuvolemas = NOT(nyuvolemab);
BuynyuvState = Flip(nyuvolemab,nyuvolemas);
SellnyuvState = Flip(nyuvolemas,nyuvolemab);

Buynya = BuynynlState AND BuynydvState;

Sellnya = SellnynlState AND SellnydvState;

BuynyaState = Flip(Buynya, Sellnya);

SellnyaState = Flip(Sellnya, Buynya);

BuynyaImp = ExRem(Buynya, Sellnya);

SellnyaImp = ExRem(Sellnya,Buynya);

Buynyb = BuynynhState AND BuynyuvState;

Sellnyb = SellnynhState AND SellnyuvState;

BuynybState = Flip(Buynyb, Sellnyb);

SellnybState = Flip(Sellnyb, Buynyb);

BuynybImp = ExRem(Buynyb, Sellnyb);

SellnybImp = ExRem(Sellnyb,Buynyb);

BuyspmktState = Flip(spb,sps);
SellspmktState = Flip(sps,spb);

BuyspmktImp = ExRem(spb,sps);
SellspmktImp = ExRem(sps,spb);

Buyny = IIf(BuyspmktState,BuynyaState, BuynybState);

15
Sellny = IIf(BuyspmktState,SellnyaState,SellnybState);

BuynyState = Flip(Buyny, Sellny);

SellnyState = Flip(Sellny, Buyny);

BuynyImp = ExRem(Buyny, Sellny);

SellnyImp = ExRem(Sellny,Buyny);

Buyny1 = BuynyState AND BuynyaState;

Sellny1 = SellnybImp OR SellnyaImp;

Buyny1State = Flip(Buyny1, Sellny1);

Sellny1State = Flip(Sellny1, Buyny1);

Buyny1Imp = ExRem(Buyny1, Sellny1);

Sellny1Imp = ExRem(Sellny1,Buyny1);

nsnlqemab = Flip(nsnlb, nsnls);

nsnlqemas = NOT(nsnlqemab);
BuynlState = Flip(nsnlqemab,nsnlqemas);
SellnlState = Flip(nsnlqemas,nsnlqemab);

nsnhqemab = Flip(nsnhb, nsnhs);

nsnhqemas = NOT(nsnhqemab);
BuynhState = Flip(nsnhqemab,nsnhqemas);
SellnhState = Flip(nsnhqemas,nsnhqemab);

dvolqemab = Flip(dvolb, dvols);

dvolqemas = NOT(dvolqemab);
BuydvState = Flip(dvolqemab,dvolqemas);
SelldvState = Flip(dvolqemas,dvolqemab);

uvolqemab = Flip(uvolb, uvols);

uvolqemas = NOT(uvolqemab);
BuyuvState = Flip(uvolqemab,uvolqemas);
SelluvState = Flip(uvolqemas,uvolqemab);

rutmktb = Flip(rutb, ruts);

rutmkts = NOT(rutmktb);
BuyrutmktState = Flip(rutmktb,rutmkts);
SellrutmktState = Flip(rutmkts,rutmktb);

BuyrutmktImp = ExRem(rutmktb, rutmkts);

SellrutmktImp = ExRem(rutmkts, rutmktb);

Buynsa = (BuynlState AND BuydvState);

Sellnsa = (SellnlState AND SelldvState);

BuynsaState = Flip(Buynsa, Sellnsa);

SellnsaState = Flip(Sellnsa, Buynsa);

BuynsaImp = ExRem(Buynsa, Sellnsa);

SellnsaImp = ExRem(Sellnsa,Buynsa);

Buynsb = (BuynhState AND BuyuvState);

Sellnsb = (SellnhState AND SelluvState);

BuynsbState = Flip(Buynsb, Sellnsb);

16
SellnsbState = Flip(Sellnsb, Buynsb);

BuynsbImp = ExRem(Buynsb, Sellnsb);

SellnsbImp = ExRem(Sellnsb,Buynsb);

Buyns1 = IIf(BuyrutmktState,BuynsaState, BuynsbState);

Sellns1 = IIf(BuyrutmktState,SellnsaState,SellnsbState);

Buyns1State = Flip(Buyns1, Sellns1);

Sellns1State = Flip(Sellns1, Buyns1);

Buyns1Imp = ExRem(Buyns1, Sellns1);

Sellns1Imp = ExRem(Sellns1,Buyns1);

Buyns2 = Buyns1State AND BuynsaState;

Sellns2 = SellnsbImp OR SellnsaImp;

Buyns2State = Flip(Buyns2, Sellns2);

Sellns2State = Flip(Sellns2, Buyns2);

Buyns2Imp = ExRem(Buyns2, Sellns2);

Sellns2Imp = ExRem(Sellns2,Buyns2);

Buynsspy = Buyns2Imp OR Buyny1Imp;

Sellnsspy = Sellns2State AND Sellny1State;

BuynsspyState = Flip(Buynsspy,Sellnsspy);
SellnsspyState = Flip(Sellnsspy,Buynsspy);

BuynsspyImp = ExRem(Buynsspy,Sellnsspy);
SellnsspyImp = ExRem(Sellnsspy,Buynsspy);

fund= Foreign("spy", "Close");

S2 = Optimize("S2", 34, 34, 89, 1);

L2 = Optimize("L2", 233, 144, 377, 1);
emab2 = Cross(MyEma(fund, S2), MyEma(fund,L2));
emas2 = Cross(MyEma(fund,L2), MyEma(fund,S2));

emabuy2 = Flip(emab2, emas2);

emasell2 = NOT(emabuy2);

Buyema2State = Flip(emabuy2, emasell2);

Sellema2State = Flip(emasell2, emabuy2);

Buyema2Imp = ExRem(emabuy2, emasell2);

Sellema2Imp = ExRem(emasell2,emabuy2);

Buyspysig = BuynsspyState AND Buyema2State;

Sellspysig = SellnsspyImp OR Sellema2Imp;

BuyspysigState = Flip(Buyspysig,Sellspysig);
SellspysigState = Flip(Sellspysig,Buyspysig);

Buy = Flip(BuyspysigState,SellspysigState);

17
Sell = Flip(SellspysigState,BuyspysigState);

Plot( Buy, "AB Signal spysig: Buy ", colorGreen, styleHistogram);

Plot( -Sell, "Sell ", colorRed, styleHistogram);

OptimizerSetEngine("spso");
OptimizerSetOption("Runs",2);
OptimizerSetOption("MaxEval",1000);

Bars = LastValue(Cum(Status("barinrange")));
Barsreq = bars + 512;
SetBarsRequired(barsreq,0);

18
 APPENDIX 2

AmiBroker Code for trading RYOTX

//----------------------------------------------------------------------------------
// *** IO Directives - Parsed As Comments
// To Disable a Directive, Mark As
//xIO
// UseDefault and SaveCancelled
allows seeding a run with a previous solution
//----------------------------------------------------------------------------------

//Standard IO Setup

// *** IO Fitness Directives page 18 - 20

//IO: Fitness: CAR * UPI

// ***Goal Directives page 21

//IO: Goal: CAR: >: 20: Bonus: 1.1

//IO: Goal: MDD: <: 10: Bonus: 1.1

// *** IO General Directives page 22 - 23

// *** IO Sensitivity Directives page 24 - 25

//IO: SenOptRanges: 3
//IO: SenOptRangeWt: 2
//IO: SenOptGoal%: 100

// *** IO In & Out of Sample Directives page 26 - 29

//xIO: BegISDate: 01/02/98

//xIO: EndISDate: 12/31/02
//xIO: BegOSReal: 01/02/03
//xIO: EndOSReal: 12/31/06
//xIO: WFAuto: Rolling: 3Months

// *** IO Expert Paramenters

19
// *** IO Options page 30 - 33

//IO: UseDefault: Y
//IO: SaveCancelled: Y

//----------------------------------------------------------------------------------

function MyEma(Ticker, Period)

{
res = AMA(Ticker, 2 / (Period + 1));
return res;
}

//----------------------------------------------------------------------------------
fund= Foreign("ryotx", "Close");
RUTS = Optimize("RUTS", 34, 13, 233, 1);
RUTL = Optimize("RUTL", 377, 89, 610, 1);
rutb = Cross(MyEma(fund, RUTS), MyEma(fund,RUTL));
ruts = Cross(MyEma(fund,RUTL), MyEma(fund,RUTS));

fund= Foreign("spy", "Close");

SPS = Optimize("SPS", 34, 13, 233, 1);
SPL = Optimize("SPL", 377, 89, 610, 1);
spb = Cross(MyEma(fund, SPS), MyEma(fund,SPL));
sps = Cross(MyEma(fund,SPL), MyEma(fund,SPS));

fund= Foreign("$nynl", "Close");

NYLS = Optimize("NSLS", 8, 3, 89, 1);
NYLL = Optimize("NSLL", 144, 13, 610, 1);
nynlb = Cross(MyEma(fund, NYLL), MyEma(fund,NYLS));
nynls = Cross(MyEma(fund,NYLS), MyEma(fund,NYLL));

fund= Foreign("$nynh", "Close");

NYHS = Optimize("NYHS", 8, 3, 89, 1);
NYHL = Optimize("NYHL", 144, 13, 610, 1);
nynhb = Cross(MyEma(fund, NYHS), MyEma(fund,NYHL));
nynhs = Cross(MyEma(fund,NYHL), MyEma(fund,NYHS));

fund= Foreign("$dvol", "Close");

NYDVS = Optimize("NYDVS", 34, 3, 89, 1);
NYDVL = Optimize("NYDVL", 144, 34, 610, 1);
nydvolb = Cross(MyEma(fund, NYDVL), MyEma(fund,NYDVS));
nydvols = Cross(MyEma(fund,NYDVS), MyEma(fund,NYDVL));

fund= Foreign("$uvol", "Close");

NYUVS = Optimize("NYUVS", 34, 3, 89, 2);
NYUVL = Optimize("NYUVL", 144, 34, 610, 1);
nyuvolb = Cross(MyEma(fund, NYUVS), MyEma(fund,NYUVL));
nyuvols = Cross(MyEma(fund,NYUVL), MyEma(fund,NYUVS));

fund= Foreign("NSNLQ", "Close");

NSLS = Optimize("NSLS", 8, 3, 89, 1);
NSLL = Optimize("NSLL", 144, 13, 610, 1);
nsnlb = Cross(MyEma(fund, NSLL), MyEma(fund,NSLS));
nsnls = Cross(MyEma(fund,NSLS), MyEma(fund,NSLL));

fund= Foreign("NSNHQ", "Close");

NSHS = Optimize("NSHS", 8, 3, 89, 1);
NSHL = Optimize("NSHL", 144, 13, 610, 1);

20
nsnhb = Cross(MyEma(fund, NSHS), MyEma(fund,NSHL));
nsnhs = Cross(MyEma(fund,NSHL), MyEma(fund,NSHS));

fund= Foreign("DVOLQ", "Close");

DVS = Optimize("DVS", 34, 3, 89, 1);
DVL = Optimize("DVL", 144, 34, 610, 1);
dvolb = Cross(MyEma(fund, DVL), MyEma(fund,DVS));
dvols = Cross(MyEma(fund,DVS), MyEma(fund,DVL));

fund= Foreign("UVOLQ", "Close");

UVS = Optimize("UVS", 34, 3, 89, 2);
UVL = Optimize("UVL", 144, 34, 610, 1);
uvolb = Cross(MyEma(fund, UVS), MyEma(fund,UVL));
uvols = Cross(MyEma(fund,UVL), MyEma(fund,UVS));

nynlemab = Flip(nynlb, nynls);

nynlemas = NOT(nynlemab);
BuynynlState = Flip(nynlemab,nynlemas);
SellnynlState = Flip(nynlemas,nynlemab);

nynhemab = Flip(nynhb, nynhs);

nynhemas = NOT(nynhemab);
BuynynhState = Flip(nynhemab,nynhemas);
SellnynhState = Flip(nynhemas,nynhemab);

nydvolemab = Flip(nydvolb, nydvols);

nydvolemas = NOT(nydvolemab);
BuynydvState = Flip(nydvolemab,nydvolemas);
SellnydvState = Flip(nydvolemas,nydvolemab);

nyuvolemab = Flip(nyuvolb, nyuvols);

nyuvolemas = NOT(nyuvolemab);
BuynyuvState = Flip(nyuvolemab,nyuvolemas);
SellnyuvState = Flip(nyuvolemas,nyuvolemab);

Buynya = BuynynlState AND BuynydvState;

Sellnya = SellnynlState AND SellnydvState;

BuynyaState = Flip(Buynya, Sellnya);

SellnyaState = Flip(Sellnya, Buynya);

BuynyaImp = ExRem(Buynya, Sellnya);

SellnyaImp = ExRem(Sellnya,Buynya);

Buynyb = BuynynhState AND BuynyuvState;

Sellnyb = SellnynhState AND SellnyuvState;

BuynybState = Flip(Buynyb, Sellnyb);

SellnybState = Flip(Sellnyb, Buynyb);

BuynybImp = ExRem(Buynyb, Sellnyb);

SellnybImp = ExRem(Sellnyb,Buynyb);

BuyspmktState = Flip(spb,sps);
SellspmktState = Flip(sps,spb);

BuyspmktImp = ExRem(spb,sps);
SellspmktImp = ExRem(sps,spb);

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Buyny = IIf(BuyspmktState,BuynyaState, BuynybState);

Sellny = IIf(BuyspmktState,SellnyaState,SellnybState);

BuynyState = Flip(Buyny, Sellny);

SellnyState = Flip(Sellny, Buyny);

BuynyImp = ExRem(Buyny, Sellny);

SellnyImp = ExRem(Sellny,Buyny);

Buyny1 = BuynyState AND BuynyaState;

Sellny1 = SellnybImp OR SellnyaImp;

Buyny1State = Flip(Buyny1, Sellny1);

Sellny1State = Flip(Sellny1, Buyny1);

Buyny1Imp = ExRem(Buyny1, Sellny1);

Sellny1Imp = ExRem(Sellny1,Buyny1);

nsnlqemab = Flip(nsnlb, nsnls);

nsnlqemas = NOT(nsnlqemab);
BuynlState = Flip(nsnlqemab,nsnlqemas);
SellnlState = Flip(nsnlqemas,nsnlqemab);

nsnhqemab = Flip(nsnhb, nsnhs);

nsnhqemas = NOT(nsnhqemab);
BuynhState = Flip(nsnhqemab,nsnhqemas);
SellnhState = Flip(nsnhqemas,nsnhqemab);

dvolqemab = Flip(dvolb, dvols);

dvolqemas = NOT(dvolqemab);
BuydvState = Flip(dvolqemab,dvolqemas);
SelldvState = Flip(dvolqemas,dvolqemab);

uvolqemab = Flip(uvolb, uvols);

uvolqemas = NOT(uvolqemab);
BuyuvState = Flip(uvolqemab,uvolqemas);
SelluvState = Flip(uvolqemas,uvolqemab);

rutmktb = Flip(rutb, ruts);

rutmkts = NOT(rutmktb);
BuyrutmktState = Flip(rutmktb,rutmkts);
SellrutmktState = Flip(rutmkts,rutmktb);

BuyrutmktImp = ExRem(rutmktb, rutmkts);

SellrutmktImp = ExRem(rutmkts, rutmktb);

Buysob5a = (BuynlState AND BuydvState);

Sellsob5a = (SellnlState AND SelldvState);

Buysob5aState = Flip(Buysob5a, Sellsob5a);

Sellsob5aState = Flip(Sellsob5a, Buysob5a);

Buysob5aImp = ExRem(Buysob5a, Sellsob5a);

Sellsob5aImp = ExRem(Sellsob5a,Buysob5a);

Buysob5b = (BuynhState AND BuyuvState);

Sellsob5b = (SellnhState AND SelluvState);

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Buysob5bState = Flip(Buysob5b, Sellsob5b);
Sellsob5bState = Flip(Sellsob5b, Buysob5b);

Buysob5bImp = ExRem(Buysob5b, Sellsob5b);

Sellsob5bImp = ExRem(Sellsob5b,Buysob5b);

Buysob5 = IIf(BuyrutmktState,Buysob5aState, Buysob5bState);

Sellsob5 = IIf(BuyrutmktState,Sellsob5aState,Sellsob5bState);

Buysob5State = Flip(Buysob5, Sellsob5);

Sellsob5State = Flip(Sellsob5, Buysob5);

Buysob5Imp = ExRem(Buysob5, Sellsob5);

Sellsob5Imp = ExRem(Sellsob5,Buysob5);

Buysob6 = Buysob5State AND Buysob5aState;

Sellsob6 = Sellsob5bImp OR Sellsob5aImp;

Buysob6State = Flip(Buysob6, Sellsob6);

Sellsob6State = Flip(Sellsob6, Buysob6);

Buysob6Imp = ExRem(Buysob6, Sellsob6);

Sellsob6Imp = ExRem(Sellsob6,Buysob6);

Buysobspy = Buysob6Imp OR Buyny1Imp;

Sellsobspy = Sellsob6Imp OR Sellny1Imp;

BuysobspyState = Flip(Buysobspy,Sellsobspy);
SellsobspyState = Flip(Sellsobspy,Buysobspy);

BuysobspyImp = ExRem(Buysobspy,Sellsobspy);
SellsobspyImp = ExRem(Sellsobspy,Buysobspy);

fund= Foreign("ryotx", "Close");

S2 = Optimize("S2", 34, 34, 89, 1);

L2 = Optimize("L2", 233, 144, 377, 1);
emab2 = Cross(MyEma(fund, S2), MyEma(fund,L2));
emas2 = Cross(MyEma(fund,L2), MyEma(fund,S2));

emabuy2 = Flip(emab2, emas2);

emasell2 = NOT(emabuy2);

Buyema2State = Flip(emabuy2, emasell2);

Sellema2State = Flip(emasell2, emabuy2);

Buyema2Imp = ExRem(emabuy2, emasell2);

Sellema2Imp = ExRem(emasell2,emabuy2);

Buysob6r = BuysobspyState AND Buyema2State;

Sellsob6r = SellsobspyImp OR Sellema2Imp;

Buysob6rState = Flip(Buysob6r,Sellsob6r);

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Sellsob6rState = Flip(Sellsob6r,Buysob6r);

Buy = Flip(Buysob6rState,Sellsob6rState);
Sell = Flip(Sellsob6rState,Buysob6rState);

Plot( Buy, "AB Signal sob6r: Buy ", colorGreen, styleHistogram);

Plot( -Sell, "Sell ", colorRed, styleHistogram);

OptimizerSetEngine("spso");
OptimizerSetOption("Runs",2);
OptimizerSetOption("MaxEval",1000);

Bars = LastValue(Cum(Status("barinrange")));
Barsreq = bars + 512;

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