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CCY #483132
05/05/21 13:03
05/05/21 13:03
Joined: Feb 2015
Posts: 652
Milano, Italy
M
MatPed Offline OP
User
MatPed  Offline OP
User
M

Joined: Feb 2015
Posts: 652
Milano, Italy
Hi I have started to dig into this article on Financial Hacker:
https://financial-hacker.com/petra-on-programming-the-correlation-cycle-indicator/
I have downloaded the script and tried to reproduce step by step the article and I found relevant difference
Petra has used the #define pre-compiler command to change the behavior ( I've learned something new).

#define DO_SINE
//#define DO_PLOT
//#define DO_NOSTATE
//#define DO_STATE

Works a expected with similar pic as listed in the article
//#define DO_SINE
#define DO_PLOT
//#define DO_NOSTATE
//#define DO_STATE

Get a compilig error:

CCY compiling........
Error in 'line 87:
'CCIState' undeclared identifier
< plot("State",CCIState(Prices,14)*0.9,NEW|LINE,BLUE);
>.

Trained and tested the combination
//#define DO_SINE
//#define DO_PLOT
#define DO_NOSTATE
//#define DO_STATE

The result are aligned with the article and thanks to the months passed the analysis of the equity curve made in the blog are confirmed.
You can see the image in pic 1

The surprise arrives with:
//#define DO_SINE
//#define DO_PLOT
//#define DO_NOSTATE
#define DO_STATE

Trained and tested the result are aligned with the article up to the Apr/May 2020 than the system blows up as you can see in pic 2

Anybody can give an explanation of such behavior? I am very curious because it looks like the Luxor TS

Attached Files CCY_SPY 1.pngCCY_SPY 2.png
Re: CCY [Re: MatPed] #483160
05/06/21 14:05
05/06/21 14:05
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
Can happen with any system. The inefficiency disappeared or the CCY was a not so brilliant indicator after all.

Re: CCY [Re: jcl] #483170
05/06/21 21:42
05/06/21 21:42
Joined: Feb 2015
Posts: 652
Milano, Italy
M
MatPed Offline OP
User
MatPed  Offline OP
User
M

Joined: Feb 2015
Posts: 652
Milano, Italy
Yes definitely. II was asking myself which was the inefficiency exploited by Helers and how to prove that is disappeared for learning purposes, but it seems that nobody has dig into this.

Ciao


Moderated by  Petra 

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