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Dimitris,
My point was that RSI average based systems work
best on trending stocks. Nothing more.
After looking closer at optimization results of your system
on different stocks I have noticed that best combinations of
X1, Dbuy, Dsell optimization variables vary significantly.
This brings the question of curve-fitting brought by David.
The system is very sensitive to the changes of X1, Dbuy, Dsell
variables.
The problem is that once we optimize for single stock we get "perfect"
parameters but only for this one stock and the history we just used to
optimize. What is needed is "out-of-sample" testing to verify the results.
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, October 10, 2001 5:08 PM
Subject: [amibroker] Re: Volatile Stocks
> Hi Tomasz,
> If this trend is nice, then what is not nice. An example, if possible?
> Best Regards
> Dimitris Tsokakis
> --- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> > Hi Dimitris,
> >
> > Still, your "most volatile" stock is nicely trending and the trends
> last
> > for at least one month (usually 2-3 months), and that's why you get
> good results.
> >
> > Best regards,
> > Tomasz Janeczko
> > amibroker.com
> > ----- Original Message -----
> > From: Dimitris Tsokakis
> > To: amibroker@xxxx
> > Sent: 09 October, 2001 21:45
> > Subject: [amibroker] Volatile Stocks
> >
> >
> > Dear Tomasz,
> > I tried one of the most volatile stocks.
> > The results were nearly excellent.
> > The stock lost th 90% of its value.
> > The optimum selection was
> > X1=17
> > Dbuy=0
> > Dsell=9
> > (Settings Delay 1 day, 1% commission)
> > Total trades 5
> > Winners 5, Loosers 0
> > +71.5%, +22.9%, +2.8%, +95.4%, +3.8%
> > Total net profit +339.21%
> > If you say to a Greek fellow that you gained 300%
> > from KLONK, he will think that you are joking.!!
> > Two important details:
> > a] Look at various points A how "gently" the RSI
> > avoids a premature buy.
> > b] At B1, B2, B3, whre the stock had great damage,
> > loosing the 50% of its value, you were totally OUT of
> > the Market.
> > I agree that there is a delay in reaction, but this means
> > that instead of a +110% you take +72%, which is not too
> > bad for the situation and especially for the certain stock.
> > For the comparison, with
> >
> > Buy=Cross(RSI(),30);
> > Sell=Cross(70,RSI());
> > you simply loose -56% and with
> >
> > Buy=Cross(RSI(),35);
> > Sell=Cross(65,RSI());
> > you loose -67.75% and you have a sad open trade loosing
> > until now -43%
> >
> > I think that the profit is poor not for choppy stocks but for
> > the trading ones. I will check it out and revert.
> > Thank you once again for trading comments.
> > Best Regards
> > Dimitris Tsokakis
> >
> >
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> >
> >
> >
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> Service.
>
>
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