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Dimitris,
I agree with you completely. The only question that
remains is the following: Is it better to buy the entire market when a buy
signal occurs (i.e. you would buy QQQ if your market is NDX; some other index
stock or something might exist for other markets; for example I run regularly a
group of stocks from the semiconductor field which make my "Semicond
market") or would it be better to then go into individual stocks in that
market and see which ones behave best according to the entire market behavior.
This basically would look for stocks which move in sync with the market. Did you
do such tests?
Testing the entire market index is somewhat easier of
course than to find the stocks in that market that behave best.
Al
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dtsokakis
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, May 01, 2002 1:19
PM
Subject: [amibroker] Re: Fw: The past and
the future of the MeanRSI
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 thatyou
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 properlyin
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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