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The following system gave some extem % net
profits.
See #50 at
<A
href="">http://groups.yahoo.com/group/amibroker-ts/messages/?expand=1
I constucted first RSI for High and Low instead of Close
price.
Then I tried, unsuccessfully, to create Keltner Channels for
RSI.
The result was not the expected one. RSI and its channel are
mixed
in a strange way.
I omitted this and examined the resulting cross between
(smoothed)
RSI and the average line
(KUP+KDOWN)/2.
Some results were impressive.
/*RSI H/L SYSTEM*/
/*Period Optimization*/
per=Optimize(<FONT
size=2>"per",20<FONT
size=2>,10,<FONT
size=2>24,1<FONT
size=2>);
/*RSI smoothing Optimization*/
X1=Optimize(<FONT
size=2>"X1",8<FONT
size=2>,3,<FONT
size=2>10,1<FONT
size=2>);
t=per;
/*RSI (High,12) calculation*/
QH=High;
UpH=IIf(QH><FONT
size=2>Ref(QH,-1<FONT
size=2>),abs(QH-<FONT
size=2>Ref(QH,-1<FONT
size=2>)),0);
DnH=IIf(QH<<FONT
size=2>Ref(QH,-1<FONT
size=2>),abs(QH-<FONT
size=2>Ref(QH,-1<FONT
size=2>)),0);
UtH=Wilders(UpH,t);DtH=<FONT
size=2>Wilders(DnH,t);
RSIHIGH12=100<FONT
size=2>*(UtH/(UtH+DtH));
/*RSI(Low,12) calculation*/
QL=Low;
UpL=IIf(QL><FONT
size=2>Ref(QL,-1<FONT
size=2>),abs(QL-<FONT
size=2>Ref(QL,-1<FONT
size=2>)),0);
DnL=IIf(QL<<FONT
size=2>Ref(QL,-1<FONT
size=2>),abs(QL-<FONT
size=2>Ref(QL,-1<FONT
size=2>)),0);
UtL=Wilders(UpL,t);DtL=<FONT
size=2>Wilders(DnL,t);
RSILOW12=100<FONT
size=2>*(UtL/(UtL+DtL));
/*KELTNER FORMULA APPLIED ON RSI*/
KUP=EMA<FONT
size=2>((RSIHIGH12+RSILOW12+RSI<FONT
size=2>(t))/3,<FONT
size=2>10)+EMA<FONT
size=2>(RSIHIGH12-RSILOW12,10);
KDOWN=EMA<FONT
size=2>((RSIHIGH12+RSILOW12+RSI<FONT
size=2>(t))/3,<FONT
size=2>10)-EMA<FONT
size=2>(RSIHIGH12-RSILOW12,10<FONT
size=2>);
/*RSI smoothing and KUP, KDOWN medium line*/<FONT
size=2>
C1=(KUP+KDOWN)/2;C2=<FONT
size=2>MA(RSI<FONT
size=2>(t),X1);
/*Buy-Sell Conditions*/
Buy=Cross(C2,C1);Sell=<FONT
size=2>Cross(C1,C2);
Optimize current stock for All
quotations.
Replace in "per" and "X1" the optimization results and scan.
Dimitris Tsokakis
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