Comments on: New: Free Code section – and improved Vortex http://www.automated-trading-system.com/free-code-improved-vortex/ Systematic Trading research and development, with a flavour of Trend Following Tue, 07 Feb 2012 09:06:21 +0000 hourly 1 http://wordpress.org/?v=3.3.1 By: Jez http://www.automated-trading-system.com/free-code-improved-vortex/comment-page-1/#comment-257 Jez Thu, 18 Feb 2010 09:52:20 +0000 http://www.automated-trading-system.com/?p=1693#comment-257 @Troy I was planning to run a comparison with the ADX system in Trading Blox but realised that because of the scaling difference between the ADX and AVX, a true comparison test was not possible (ie the thresholds are different in both systems because the ADX goes from 0 to 100 whereas the AVX does not). However I seem to remember running tests on the ADX system on Trading Blox and unlike the AVX, the ADX filtering was adding some value to the system. Go figure ;-) I'll definitely try to keep the blog relevant to non-Trading Blox users. In any case, most of the more fundamental/theoritical discussions here should be software agnostic... Thanks Jez @Troy
I was planning to run a comparison with the ADX system in Trading Blox but realised that because of the scaling difference between the ADX and AVX, a true comparison test was not possible (ie the thresholds are different in both systems because the ADX goes from 0 to 100 whereas the AVX does not). However I seem to remember running tests on the ADX system on Trading Blox and unlike the AVX, the ADX filtering was adding some value to the system. Go figure ;-)

I’ll definitely try to keep the blog relevant to non-Trading Blox users. In any case, most of the more fundamental/theoritical discussions here should be software agnostic…

Thanks
Jez

]]> By: Troy S. http://www.automated-trading-system.com/free-code-improved-vortex/comment-page-1/#comment-256 Troy S. Thu, 18 Feb 2010 02:22:51 +0000 http://www.automated-trading-system.com/?p=1693#comment-256 Jez, I'm glad you figured out a way to fix the flaw in the Vortex. I wonder how AVX stacks up against the ADX in other trading systems that involve filtering for trend strength... how does the e-ratio of the TradingBlox ADX system compare? Continuing to prototype these indicators in Excel is very helpful for us non-TradingBlox owners :) Keep up the good work. Jez,

I’m glad you figured out a way to fix the flaw in the Vortex. I wonder how AVX stacks up against the ADX in other trading systems that involve filtering for trend strength… how does the e-ratio of the TradingBlox ADX system compare?

Continuing to prototype these indicators in Excel is very helpful for us non-TradingBlox owners :)

Keep up the good work.

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