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Thank you for the interesting job.
This type of statistics may give overoptimized results sometimes.
As for my previous comment, I was referring to a [probable] typo of
your mail : You write "buy when RSI is lower than 70" .Read it again.
Dimitris Tsokakis
--- In amibroker@xxxx, "Listes trading" <listes.trading@xxxx> wrote:
> Here is a quick interpretation for the RSI(10) tested over the 30
stocks of
> the DJIA plus the index since 1985 (about 3200 buy/sell signals).
> Optimal strategy is "buy on a 5% trough, short on a 5% peak". I
checked the
> values of the indicator on the 5 days before the signal.
> Attached EXCEL sheet gives the results as the cumulative
probability.
>
> From that, we can draw the following conclusions:
> a.. extreme values of RSI are unfrequent (^NDX birthday, as you
say): 3.8%
> lower than 20 on buy signals, 12.2% higher than 80 on short signals
(higher
> frequency for short signals because market is trending up,
decreasing the
> probability to reach lower values)
> b.. RSI is not a leading indicator as the percentage decreases
very fast
> with the time lag
> c.. but a 1 day delay does not decreases the performance, so that
you can
> enter on the open next day.
> For RSI, we cannot say that this is new information. But I think it
could be
> interesting to do this kind of analysis with your own indicators to
get a
> better understanding of their behaviour.
>
> AFL code used for the test:
>
> Buy = L==Trough(L,5);
>
> Short = H==Peak(H,5);
>
> Sell = Short;
>
> Cover = Buy;
>
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
>
> Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
>
> Filter = Short;
>
> AddColumn(IIf(Buy,1,IIf(Short,-1,0)),"Signal",1.0);
>
> AddColumn(RSI(10),"RSI",1.2);
>
> AddColumn(Ref(RSI(10),-1),"RSI",1.2);
>
> AddColumn(Ref(RSI(10),-2),"RSI",1.2);
>
> AddColumn(Ref(RSI(10),-3),"RSI",1.2);
>
> AddColumn(Ref(RSI(10),-4),"RSI",1.2);
>
> AddColumn(Ref(RSI(10),-5),"RSI",1.2);
>
> -----Original Message-----
> From: dtsokakis [mailto:TSOKAKIS@x...]
> Sent: lundi 29 avril 2002 10:01
> To: amibroker@xxxx
> Subject: [amibroker] Re: Indicator Values at Buys
>
>
> --- In amibroker@xxxx, "Listes trading" <listes.trading@xxxx>
wrote:
> > Another solution is:
> > Ind = RSI(10); // Define your indicator
> > Ind_Buy_Value = iif(Buy,Ind,0);
> > Ind_Short_Value = iif(Short,Ind,0);
> >
> > It will produce arrays with the value of the indicator on
buy/short
> bars and
> > 0 elsewhere.
> > You can tabulate it as stated by Steve using :
> > Filter = Ind_Buy_Value!=0 OR Ind_Short_Value!=0;
> >
> > Your mail gives me a idea I want to work on:
> > a.. create a "all-the-time-winning-system" (something like :
buy
> on
> > troughs and sell on peaks)
> > b.. record the value of any indicator on the buy/sell days
> > c.. compute statistics to identify efficient thresholds
> > A good way to test if old sayings like "buy when RSI is lower
than
> 70" have
> > some statistical soundness.
>
> !! From Jan 2000 till now, ^NDX RSI() was above 70 only on
19/11/2001
> [71.51]. The old saying is perhaps a bit different. [Except if at
60s
> they were buying everyday...].
> We could call 19/11 a birthday for ^NDX, but it is false.
Birthday is
> once a year, [except the Feb 29]
> Anyway, to be serious again, the idea is nice if we have an
> appropriate statistical method. Is there anything in mind?
> Dimitris Tsokakis
> >
> > Waz
> > -----Original Message-----
> > From: Steve Dugas [mailto:sjdugas@x...]
> > Sent: dimanche 28 avril 2002 23:38
> > To: amibroker@xxxx
> > Subject: Re: [amibroker] Indicator Values at Buys
> >
> >
> > Hi Ken,
> >
> > If you set
> >
> > Filter = BUY or SELL;
> >
> > and then use AddColumn to add a column for each indicator,
your
> > exploration results will contain one line for each trade signal,
> which will
> > contain the value of your indicators on that day. If the actual
> trade is
> > delayed, you can set up AddColumn as follows:
> >
> > AddColumn(Ref( Your Indicator Here, Periods To
Delay), "Header");
> >
> > Is this what you were looking for?
> >
> > Steve
> >
> >
> > ----- Original Message -----
> > From: Ken Close
> > To: AmiBroker List
> > Sent: Sunday, April 28, 2002 4:00 PM
> > Subject: [amibroker] Indicator Values at Buys
> >
> >
> > Can someone suggest a method and code to record and/or
display
> the value
> > of
> > one or more indicators when EACH Buy and Sell occurs. This
is
> not an
> > exploration on any one day or number of days in the past.
It
> seems like
> > it
> > is a Buy/Sell system with the desireability of recording
> conditions when
> > each B/S occurs. ValueWhen function requires that you
specify
> the nth
> > most
> > recent occurance of a "Condition". How do you record the
value
> over
> > every
> > occurance of the condition?
> >
> > RSICondition = ValueWhen(BUY,RSI(),??????);
> >
> > In this case RSICondition is a scalar and not an array,
correct?
> > How would I make it an array and find every occurance??
> >
> > Help!
> >
> > Ken
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service.
> >
> >
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> >
> >
> >
> >
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>
>
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