|
PureBytes Links
Trading Reference Links
|
Hi David,
Interesting scan. It appears to do better with indexes than
individual stocks. I did a quick check with the Russell 3000 and got
a 71% win ratio with a 2.75 profit factor. This includes closing out
all trades on the last day.
My biggest gripe would be the long (for me) holding period. The
average trade was over 200 days.
Thanks for posting the code,
Schildroth
--- In amibroker@xxxx, "David Holzgrefe" <dtholz@xxxx> wrote:
> Hi Ami users I was sorting through little code snips and came
across this one
> mostlikely posted but one of the ami users ..
>
> anyway backtesting on the asx shows excellent results for the
medium term trader
> on the asx 50 asx 200 and the s&p all ords index .
>
> Maybe a few other could run it on there indexes to see if performs
the same ?
>
> an give me some feed back as the results seem a little to good ..
>
>
> Thanks David
>
> prevclose = ref( close, -1);
> signl = iif( close > prevclose , 1, 0 );
>
> BUY = CROSS(bbandbot(close, 15, 2),close) AND RSI(14) < 35 AND
signl = 1;
>
> SELL = CROSS(bbandtop(close, 15, 2),close) AND RSI(14) > 70;
|