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Al,
MSFT was selected by chance.
The MeanRSI is one and unique for each market.
The same with the rest MeanIndicators or, in general, any composite
ticker.
Trading systems based on the MeanRSI are Trade-the-Market type.
As explained elsewhere, one unique buy, one unique sell.
Stocks of course behave in their own individual way.
But, they are not that independent.
If each stock was moving independently, any MeanIndicator would be an
almost flat line with small fluctuations around 50 [for 0,100
oscillators].
The charts proove exactly the opposite. The Market is directional
enough, the majority goes up, the majority goes down, no matter of
individual results and/or perspectives.
This observation is the step I.
The detailed study of some carefully selected MeanIndicators gives
ample documentation for Trade-the-Market systems design.
Backtesting for many systems of this type is most promissing.
Buy-the-Market when you have a buy signal from a MeanInsicator, Sell-
the-Market with the next signal.
Some systems exceed +500% or +1000% for the whole market for the last
two [mostly bearish] years.
Since they are based on [0,100] oscillators, the only question for
the unknown future is simlpe [but not easy] : shall the market be
uncertain as it was the last two years ?
[It sounds strange, but periods like 99 are not good for oscillator
systems. The market is sure enough about the uptrend and the width of
oscillation decreases.]
When you backtest a Trade-the-Market system, select "No trade list"
in settings and you will see the individual results per stock.
Dimitris Tsokakis
--- In amibroker@xxxx, "Al" <tinki49@xxxx> wrote:
> Dimitris,
> it appears to me a little confusing that you plot the MSFT chart
together with MeanRSI. Would it not be more meaningful to plot NDX
chart together with MeanRSI instead? Any individual stock may not
react exactly the same way.
>
> MeanRSI is a good indicator, but it is also important to note that
one should in addition check the individual stock chart whether it
behaves properly in line with MeanRSI.
>
> Al
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxx
> Sent: Wednesday, May 01, 2002 11:28 AM
> Subject: [amibroker] Fw: The past and the future of the MeanRSI
>
>
> Once again, the reaction occurred in the narrow band [36,38].
> the last values of the MeanRSI were
> 41.08
> 36.94
> 36.79
> 41.22
> The Market repeats its past behavior.
> DT
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxx
> Sent: Sunday, April 28, 2002 2:21 PM
> Subject: The past and the future of the MeanRSI
>
>
> For a group of n stocks, the MeanRSI is
> MeanRSI=(RSI1+RSI2+...+RSIn)/n.
> With the help of Addtocomposite() function it is easily
calculated from the scan
>
> R=IIf(RSI()>=0 AND RSI()<=100,RSI(),0);
> AddToComposite(R,"~SUMRSI","C");
> AddToComposite(1,"~COUNT","V");
> Buy=0;
>
> as the quantity
> MeanRSI=Foreign("~SUMRSI","C")/Foreign("~COUNT","V");
> which may be plotted or used in AA systems.
> For ^NDX group, the graph of the MeanRSI since early 2000 is in
the att. gif.
> For the lower band [36,38] and upper line [60], the MeanRSI gives
huge profits for the
> whole Market and the majority of the 101 stocks.
> My [reasonable] question is about the future of the MeanRSI.
> Will it oscillates in this zone ? Will it be more flat in the
future and oscillate for a long time, say, in the
> more narrow [40,55] band ?[this means that the ^NDX market will
change its "style" and behave more
> like S&P or other cool indexes].
> This is the main question about the UNKNOWN future of ^NDX market.
> Any bright idea ?
> Dimitris Tsokakis
> PS. Profits for [36,38]/60 band exceed +1000% for the whole
market for the last 2 years.
>
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