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I've got to be seeing things, this looks like it is
a tradeable system!
Is it?
I've got to follow
this for awhile to see how it behaves.
Greg
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Listes
trading
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, April 30, 2002 9:28
AM
Subject: RE: [amibroker] Re: Indicator
Values at Buys
<FONT face=Verdana color=#800000
size=2>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).
<FONT face=Verdana color=#800000
size=2>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.
<FONT face=Verdana color=#800000
size=2>Attached EXCEL sheet gives the results as the cumulative
probability.
<FONT face=Verdana color=#800000
size=2>
<FONT face=Verdana color=#800000
size=2>From that, we can draw the following conclusions:
<FONT face=Verdana color=#800000
size=2>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)
<FONT face=Verdana color=#800000
size=2>RSI is not a leading indicator as the percentage decreases very fast
with the time lag
<SPAN
class=483561619-29042002>but a 1 day
delay does not decreases the performance, so that you can enter on the open
next day.
<FONT face=Verdana color=#800000
size=2><FONT face=Verdana color=#800000
size=2>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.
<FONT face=Verdana color=#800000
size=2><SPAN
class=483561619-29042002><SPAN
class=483561619-29042002><SPAN
class=483561619-29042002><FONT
face=Verdana color=#800000 size=2>
<FONT face=Verdana color=#800000
size=2>AFL code used for the test:
<FONT face=Verdana color=#800000
size=2>
Buy = <FONT color=#ff0000
size=2>L==<FONT color=#3cb371
size=2>Trough(<FONT color=#ff0000
size=2>L,<FONT color=#282828
size=2>5);<FONT color=#ff0000
size=2>
Short = <FONT color=#ff0000
size=2>H==<FONT color=#3cb371
size=2>Peak(<FONT color=#ff0000
size=2>H,<FONT color=#282828
size=2>5);<FONT color=#ff0000
size=2>
Sell = <FONT color=#ff0000
size=2>Short;<FONT color=#ff0000
size=2>
Cover = <FONT color=#ff0000
size=2>Buy;<FONT color=#ff0000
size=2>
Buy=<FONT color=#3cb371
size=2>ExRem(<FONT color=#ff0000
size=2>Buy,<FONT color=#ff0000
size=2>Sell);<FONT color=#ff0000
size=2>Sell=<FONT color=#3cb371
size=2>ExRem(<FONT color=#ff0000
size=2>Sell,<FONT color=#ff0000
size=2>Buy);<FONT color=#ff0000
size=2>
Short=<FONT color=#3cb371
size=2>ExRem(<FONT color=#ff0000
size=2>Short,<FONT color=#ff0000
size=2>Cover);<FONT color=#ff0000
size=2>Cover=<FONT color=#3cb371
size=2>ExRem(<FONT color=#ff0000
size=2>Cover,<FONT color=#ff0000
size=2>Short);<FONT color=#ff0000
size=2>
Filter = <FONT
face="Lucida Console" color=#ff0000 size=2>Short<FONT color=#0000ff
size=2>;
AddColumn(<FONT color=#3cb371
size=2>IIf(<FONT color=#ff0000
size=2>Buy,<FONT color=#282828
size=2>1,<FONT color=#3cb371
size=2>IIf(<FONT color=#ff0000
size=2>Short,-<FONT color=#282828
size=2>1,<FONT color=#282828
size=2>0)),<FONT color=#ff00ff
size=2>"Signal",<FONT color=#282828
size=2>1.0);<FONT color=#3cb371
size=2>
AddColumn(<FONT color=#3cb371
size=2>RSI(<FONT color=#282828
size=2>10),<FONT color=#ff00ff
size=2>"<FONT face="Lucida Console" color=#ff00ff
size=2>RSI"<FONT color=#0000ff
size=2>,1.2<FONT color=#0000ff
size=2>);
AddColumn(<FONT color=#3cb371
size=2>Ref(<FONT color=#3cb371
size=2>RSI(<FONT color=#282828
size=2>10),-<FONT color=#282828
size=2>1),<FONT color=#ff00ff
size=2>"RSI",<FONT color=#282828
size=2>1.2);<FONT color=#3cb371
size=2>
AddColumn(<FONT color=#3cb371
size=2>Ref(<FONT color=#3cb371
size=2>RSI(<FONT color=#282828
size=2>10),-<FONT color=#282828
size=2>2),<FONT color=#ff00ff
size=2>"RSI",<FONT color=#282828
size=2>1.2);<FONT color=#3cb371
size=2>
AddColumn(<FONT color=#3cb371
size=2>Ref(<FONT color=#3cb371
size=2>RSI(<FONT color=#282828
size=2>10),-<FONT color=#282828
size=2>3),<FONT color=#ff00ff
size=2>"RSI",<FONT color=#282828
size=2>1.2);<FONT color=#3cb371
size=2>
AddColumn(<FONT color=#3cb371
size=2>Ref(<FONT color=#3cb371
size=2>RSI(<FONT color=#282828
size=2>10),-<FONT color=#282828
size=2>4),<FONT color=#ff00ff
size=2>"RSI",<FONT color=#282828
size=2>1.2);<FONT color=#3cb371
size=2>
AddColumn(<FONT color=#3cb371
size=2>Ref(<FONT color=#3cb371
size=2>RSI(<FONT color=#282828
size=2>10),-<FONT color=#282828
size=2>5),<FONT color=#ff00ff
size=2>"RSI",<FONT color=#282828
size=2>1.2);
<FONT
size=2>-----Original Message-----From: dtsokakis
[mailto:TSOKAKIS@xxxx]Sent: lundi 29 avril 2002
10:01To: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: Indicator Values at Buys--- In amibroker@xxxxxxx,
"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@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, 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 Buyand
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.> >
> Yahoo! Groups
Sponsor>
ADVERTISEMENT> > > > > Your
use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.Your use of Yahoo! Groups is subject to
the Yahoo! Terms of
Service. Your use of Yahoo! Groups is
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