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In his article ďLong-Term Trading Using Exchange Traded FundsĒ, Sylvain Vervoort analyzed Exchange Traded Funds with Long-Term Trading techniques.

Using Tradecisionís Function Builder, one needs to create the HACOLT function:

HACOLT function:

function (avg:numeric=55,CandleSize:Numeric=1.1, LTAverage:Numeric=60):Numeric;

var
hacOpen:=0;
hacC:=0;
hacOpenPrev:=0;
ZlHa:=0;
ZlCl:=0;
keep1:=0;
keep2:=0;
keeping:=0;
keepall:=0;
keep3:=0;
utr:=0;
keep1_byconvertor_1:=0;
keep2_byconvertor_1:=0;
keep3_byconvertor_1:=0;
keeping_byconvertor_1:=0;
keepall_byconvertor_1:=0;
dtr:=0;
upw:=0;
dnw:=0;
Result:=0;
LTSell:=0;
LTResult:=0;
LTResultPrev:=0;
end_var


if HISTORYSIZE > avg then

hacOpenPrev:=(O\2\ + H\2\ + L\2\ + C\2\)/4;
hacOpen:=((O\1\ + H\1\ + L\1\ + C\1\)/4) + 
hacOpenPrev / 2;
hacC:=((O + H + L + C) / 4 + 
haOpen + Max(H, haOpen) + 
Min(L, haOpen)) / 4;
ZlHa:=Tema(haC, avg) + (Tema(haC, avg) - 
(Tema(Tema(haC, avg), avg)));
ZlCl:=Tema((H + L) / 2, avg) + 
(Tema((H + L) / 2, avg) - 
(Tema(Tema((H + L) / 2, avg), avg)));

if hacC >= hacOpen and BarsSince(hacC >= hacOpen) 
< 3 then keep1:=1;
else keep1:=0;
keep1:= iff(C >= haC, 1, iff(H >Ref(H, -1) 
or L >Ref(L, -1), 1, 0));
keep2:= iff((ZlCl - ZlHa) >= 0,1,0);

if keep1=1 then keeping:=1; else keeping:=0;
if keep2=1 then keeping:=1; else keeping:=0;
if keeping=1 then keepall:=1; else keepall:=0;
if keeping\1\=1 and (C >= O or C >= C\1\) 
then keepall:=1; else keepall:=0;
if (Abs(C - O) < (H - L) * CandleSize) 
and H >= L\1\ then keep3:=1; else keep3:=0;
if keepall=1 or (keepall\1\=1 and keep3=1)
then utr:=1; else utr:=0;


if haC < haOpen and BarsSince(haC < haOpen) 
< 2 then keep1:=1;
else keep1:=0;
if (ZlCl - ZlHa) < 0 then keep2_byconvertor_1:=1; 
else keep2_byconvertor_1:=0;
if ((Abs(C - O) < (H - L) * CandleSize) and 
L <= H\1\) 
then keep3_byconvertor_1:=1;  
else keep3_byconvertor_1:=0;
if keep1_byconvertor_1=1 
or keep2_byconvertor_1=1  
then keeping_byconvertor_1:=1; 
else keeping_byconvertor_1:=0;
if keeping_byconvertor_1=1 
or keeping_byconvertor_1\1\=1 and ((C < O) 
or (C < C\1\)) then keepall_byconvertor_1:=1;  
else keepall_byconvertor_1:=0;


if(keepall_byconvertor_1=1 
or (keepall_byconvertor_1\1\=1 
and keep3_byconvertor_1=1)) 
then dtr:= 1;  else dtr:=0;
upw:= iff((dtr=0 and dtr\1\=1 and utr=1),1,0);
dnw:= iff((utr=0 and utr\1\=1 and dtr=1),1,0);

Result:=iff(upw=1, 1, iff(dnw=1, 0, 
NthValueWhen(1, upw + dnw > 0, iff(upw=1, 1, 0))));
LTSell:=iff(C < Mov(C, LTAverage, E),1,0);

LTResultPrev:=LTResult\1\;

if Result = 1 then LTResult:=1;
   else if(Result = 0 and LTSell = 1) 
   sthen LTResult:=0;
       else  LTResult:=LTResult\1\;


return iff(Result = 1, 100, 
iff(Result = 0 and LTResult = 1, 50, 
iff(Result = 0 and LTResult = 0, 0, this\1\)));

Using Tradecisionís Indicator Builder, one needs to create the HACOLT indicator:

HACOLT indicator:

return HACOLT(55,1.1,60);

Using Tradecisionís Strategy Builder, one needs to create the HACOLT strategy:

HACOLT strategy:

Entry Long:
if  HACOLT(55,1.1,60) = 100 then return true;
return false;

Exit Long:
if  HACOLT(55,1.1,60) = 50 
or HACOLT(55,1.1,60)=0 then return true;
return false;

Entry Short:
if  HACOLT(55,1.1,60) = 0 then return true;
return false;

Exit Short:
if  HACOLT(55,1.1,60) = 100 then return true;
return false;



Download to import into Tradecision.

How to use this indicator in Tradecision:
  1. Click Download.
  2. Save this indicator in a safe location on your hard drive.
  3. Open Tradecision and in the Tools menu click Indicator Builder.
  4. In the Indicator Builder dialog, click Import, locate the saved file and then click OK.
The indicator will be added to the Custom Indicators list.
 
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