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Subject: Re: Blending at a Whole New Level  Date: 7/22/2008 4:11 PM 
Author: mungofitch  Number: 211399 of 263254 
Like KBGlenn, I didn't understand your high/low signal construction at first. But, incomprehension can be good too. This spurred me to try out several different ways to do this, and they all work to some extent. All figures using Nasdaq composite 1978present, both for the highs and lows and for the trading on those highs and lows. Signal at close, assuming trading the index that moment at close, no friction. i.e., not very realistic, but probably OK for signal development if the number of signals per year is small enough. EMA of daily highlow number > 0 Bull: 20.8% Bear: 6.6% Signals/year 9.62 Bullish 66% of the time Do two EMA's of the daily highlow number, a longer one and a shorter one. shorter EMA > longer EMA Bull: 26.6% Bear: 5.6% Signals/year 18.29 Bullish 55% of the time MACD of highlow number (take EMA1, EMA2, difference of those, EMA of difference, and check diff>EMA(diff)) Bull: 22.4% Bear: 8.4% Signals/year 8.83 Bullish 66% of the time Trickier one: Build a high/low line. Start at 0 on day 1. Value on day 2 = value on day 1 + highs on day 2  lows on day 2. Then, create an SMA on that line. Then, bullish if the high/low line is above SMA(high/low line) Bull: 20.4% Bear: 6.0% Signals/year 8.7 Bullish 67% of the time And, just for fun, YATS on all the above: take a vote on the subsignals. Simply sum the four signals above. If any are bullish be bullish, else bearish. Bull: 21.3% Bear: 17.6% Signals/year 10.0 Bullish 76% of the time Alternative YATS: bullish if 1 or more of the subsignals are bullish. Bull: 22.0% Bear: 9.7% Signals/year 9.36 Bullish 68% of the time And lastly, as above, but with whipsaw reduction to reduce signal count. If 3 or more of the 4 are bullish today, go bullish. If 0 are bullish today, go bearish. Otherwise, stay with previous day's state. Bull: 22.8% Bear: 10.5% Signals/year 6.41 Bullish 67% of the time Just for interest's sake, here are the last few signals for the last version. Bullish at close 20060818, Nasdaq at 2163.95 Bearish at close 20070302, 2368 Bullish at close 20070322, 2451.74 (prior bear signal was wrong) Whipsaw: one day of bearishness triggered at close 20070627, loss .12% Bearish at close 20070720, 2687.6 Bullish at close 20070904, 2630.24 Bearish at close 20071019, 2725.16 Index now is 2285. Ignoring the oneday whipsaw, that's 5 out of 6 good. If you could have traded the index with this long & short without friction, you'd 