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Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos

Fotis

Quantitative Finance & Technical Trading

Improved Moving Average Code is available for download!

Hi everyone,

in the last few days we have received great feedback from you. Due to increasing demand we have made a short version of the original code available for personal use. Please let us know of your comments, thoughts and suggestions.

http://www.quantf.com/ima-code

The main function that does most of the things follows. Here is an output on SPY.

The green line denotes our improved rule in its original form we have used in the papers.

Graphs and full downloads can be found in the above link.

</pre>

<pre class="brush: python; gutter: true; first-line: 1"># Explicit code for improved MA signals

ma.trading.improved {

# Keep attributes for later use, need next day as well,

# although this is done for convenience, it does not

# have to be the next trading day and its not used for

# anything thereafter…

dates# Pass the data as a matrix; this strips all other attributes

x# Select correctly the closing price if OHLC is loaded

if(NCOL(x) > 1) x# Cross-checks

# Fotis ok, Dec. 07, 2011

if ((k1 k2) & (k2 > 0))) { stop("k1,k2 must both be positive and k1 < k2") }# Full sample

Nobs# Daily return

ret# Initialize moving average values

ma.values# Initialize signal storage

signals.ma1 signals.ma2 signals.mac signals.im1 signals.im2 signals.imc signals.iv1 signals.iv2signals.ivc# Initialize markers of entries for improved MA

mark1 mark2 markc pentry1 pentry2pentryc# Do things via a standard loop to maintain consistency

for (i in seq(k2,Nobs,1)) # fotis change/edit

{

# Compute the moving averages # fotis change/edit

if (mtype == "simple")

{

ma1ma2# Save the MA values # fotis change/edit

ma.values[i,]}

if (mtype == "weighted")

{

ma1ma2# Save the MA values # fotis change/edit

ma.values[i,] }# fotis add, Dec. 07, 2011

if (mtype=="exponential")

{

# Get the starting signal to be used in the EMA calc., fotis

if(i==k2)

{

ma1ma2# Save the MA values # fotis change/edit

ma.values[i,] }

else

{

ma1ma2# Save the MA values

ma.values[i,] }

}# Get the last observed price

plast# Version AB of improved MA: once you exit you wait for next signal;

# exiting is controlled by the exit threshold

#

# Stay

# Fotis ok, Dec. 07, 2011

if ((mark1 > 0) & (pentry1 > 0) & (plast >= pentry1)) { signals.im1[i+1] if ((mark2 > 0) & (pentry2 > 0) & (plast >= pentry2)) { signals.im2[i+1] if ((markc > 0) & (pentryc > 0) & (plast >= pentryc)) { signals.imc[i+1] # Exit

# Fotis check, Dec. 06, 2011

if ((pentry1 > 0) & (plast < pentry1*(1-exitt))) { signals.im1[i+1] if ((pentry2 > 0) & (plast < pentry2*(1-exitt))) { signals.im2[i+1]if ((pentryc > 0) & (plast < pentryc*(1-exitt))) { signals.imc[i+1]# Version BB of improved MA: once you exit you can re-enter when above the current

# entry price; exiting is controlled by the exit threshold

#

# Fotis ok, Dec. 07, 2011

# Stay

if ((pentry1 > 0) & (plast >= pentry1) & (plast > ma1)) { signals.iv1[i+1] if ((pentry2 > 0) & (plast >= pentry2) & (plast > ma2)) { signals.iv2[i+1] if ((pentryc > 0) & (plast >= pentryc) & (ma1 > ma2)) { signals.ivc[i+1] # Exit

# Fotis ok, Dec. 07, 2011

if ((pentry1 > 0) & (plast < pentry1*(1-exitt))) { signals.iv1[i+1] if ((pentry2 > 0) & (plast < pentry2*(1-exitt))) { signals.iv2[i+1]if ((pentryc > 0) & (plast < pentryc*(1-exitt))) { signals.ivc[i+1]# Here are the standard MA signals

if (plast > ma1) { signals.ma1[i+1] if (plast > ma2) { signals.ma2[i+1]if (ma1 > ma2) { signals.mac[i+1]# Here are the initializations of the improved MAs, both versions

# Fotis ok, Dec. 07, 2011

if (signals.ma1[i+1] > signals.ma1[i]) { pentry1 if (signals.ma2[i+1] > signals.ma2[i]) { pentry2if (signals.mac[i+1] > signals.mac[i]) { pentryc}

# Bind together and correctly aling things and returns

bind1 signals.im1,signals.im2,signals.imc,signals.iv1,signals.iv2,signals.ivc,c(ret,NA,NA))

bind2 matrix(c(ret,NA,NA),nrow=Nobs+1,ncol=9),c(ret,NA,NA))

colnames(bind1)colnames(bind2)bind3# Fotis ok, Dec. 07, 2011

# Convert to zoo objects

bind1 bind2bind3# Done!

return(list(values=bind1,returns=bind2,cumulative=bind3))

}

Quantitative Finance, Technical Trading & Analysis. Fotis Papailias, Dimitrios Thomakos

Fotis

Quantitative Finance & Technical Trading

Improved Moving Average Code is available for download!

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