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Hi DT and other,
I just spent several hours running the rsi code over my fav asx
stocks pretty amazing results to date,
I will have alook at it on some trending and downward stocks to
understand a little more about its performance
One thing comes to mind , does the optimization on a single stock
fall into the world of curve fitting ?
I guess the only way to truely tell is to trade it live and the see
the results after serveral months and trades over different stocks
keep up the magic coding
Regards David
--- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> Dear Dimitris,
>
> Two years ago I experimented also with averaged RSI and it really
worked
> fine but only for nicely trending stocks. For volatile, choppy ones
the system
> was to slow to react.
>
> Anyway, thank you for your constant contributions to this e-mail
list.
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxx
> Sent: Tuesday, October 09, 2001 6:23 PM
> Subject: [amibroker] Modified RSI
>
>
> RSI is a very popular indicator and in any book or internet T/A
site
> you will read the traditional [30,70] buy-sell system.
> The result is that very few stocks fall below 30 or exceed 70.
Buyers
> try to buy when RSI drops from 35 to 30 and sellers try to sell
before
> 70. If you see ^NDX graph the last two years, RSI was not out of
the [30,70]
> zone, except the last September irregular period.
> I tried to build up a system with RSI ans I applied the moving
buy-sell level
> method, already exposed in # 5161 message.
> RSI was a little noisy, especially around the medium levels, so I
smoothed it
> by a 3-day average. Through optimization I search the best
combination for
> days X1, Dbuy and Dsell around the average value of RSI.
> (I found better results using AVRSI=ma(RSI,50) instead of ma100
used in
> stochastic. I have not optimized average days yet).
> Some interesting results:
> a] At least I found a way to use RSI.
> b] In many examples I had 5 trades, 5 winners, 0 losers or 7
trades, 6 winners,
> 1 looser
> c] Comparison with traditional [30,70] system is out of topic for
many stocks
> which do not trade anymore out of [30,70] band
> d] Days in the market are reduced to reasonable time intervals.
> e] Delays are insignificant.
>
> So, in Automatic Analysis paste the
>
> /*Modified RSI variable buy-sell levels*/
> X1=Optimize("X1",10,10,20,1);
> Dbuy=Optimize("Dbuy",10,0,20,1);
> Dsell=Optimize("Dsell",10,0,20,1);
> s1=MA(RSI(X1),3);
> AVRSI=MA(s1,50);
> Buy = Cross( s1,AVRSI-DBuy);
> Sell = Cross( AVRSI+Dsell,s1);
>
> Optimize a current stock for All quotations.
>
> In indicator Builder, paste the following formula,
> replacing X1, Dbuy, Dsell with the results of optimization.
>
> /*Modified RSI variable buy-sell levels Graph*/
> X1=20;
> Dbuy=3;
> Dsell=11;
> MaxGraph=12;
> s1=MA(RSI(X1),3);
> Graph0=s1;
> AVRSI=MA(s1,50);
> Graph9=AVRSI-Dbuy;
> Graph10=AVRSI+Dsell;
> Graph8=AVRSI;
> Graph8Style=8;
> Graph8BarColor=2;
> Graph9Style=Graph10Style=8;
> Graph9BarColor=Graph10BarColor=1;
>
> Try it. For some stocks it is nice.
> Dimitris Tsokakis
>
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>
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