This example enhances the Trading Strategy used in the Sine and LeadSine example by adding the TrendVigor indicator to filter trading signals to periods when cycle trading is most effective. The Trading Strategy adds a Long Entry rule that looks for the TrendVigor indicator to be in the 0 to 1 range, and a Short Entry rule that sets a range from 0 to -1. The ranges are not optimized.
As we did in the Sine and LeadSine Strategy example, the Θ parameter in the Sine and LeadSine indicators are optimized. We also linked the LP and HP parameters in the entire Trading Strategy to insure the dominant cycle was the same for all calculations.
The resulting Trading Strategy traded less frequently and improved profits considerably.
