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<FONT face=Verdana color=#800000
size=2>You're right, I mean "lower than 30"
<FONT face=Verdana color=#800000
size=2>
<FONT face=Verdana color=#800000
size=2>Waz
<FONT face=Tahoma
size=2>-----Original Message-----From: dtsokakis
[mailto:TSOKAKIS@xxxx]Sent: mardi 30 avril 2002
14:39To: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: Indicator Values at BuysThank 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 interpretationfor
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 decreasesthe
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@xxxx]> 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 tillnow,
^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@xxxx]> > 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, April28,
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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ADVERTISEMENT> >>
>> >> >>
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