S&C 2006-11 Automatic Trendlines (Siligardos)
Author: dsicking
Creation Date: 4/4/2014 9:12 AM
profile picture

dsicking

#1

I have been looking at the automatic trend lines system shown in the referenced strategy.

Unfortunately I can't quite determine how to make those lines into a tradeable strategy.

Can you give me a few pointers?

profile picture

Cone

#2
Programming a backtestable trendline strategy isn't for the faint of heart. it's a somewhat complex programming task. For each line, you need to keep track of the bar on which it was identified and extend its values forward, testing crossings along the way. Once a line has been crossed, do you use it again or is it discarded? etc. etc.,

That said, I created several backtestable trendline strategies last year for the Trading System Lab spot in ActiveTrader Magazine. I've been delinquent in posting those and other strategies for 2013, so I'll work on that now,

As I recall, the strategies use the ZigZag Class (click) to identify the points of the lines in most cases. It's a very handy class and is something that you can look at and get familiar with right now.
profile picture

Cone

#3
I've uploaded the Strategies. Actually only "Trendline Bounces" uses the ZigZag class, but at the heart of each of them is a TTrendline class, which was probably modified a bit between each strategy based on the needs of each one.