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Al,
The index is not always the best representative of the group.
For example, system 1112 gives for the whole ^NDX market +1114% and
for ^NDX +530%.
6 stocks are loosing from -9% to -49%
16 stocks are profitable up to +100%
31 stocks from +100% up to +500%
16 from +500% up to +1000%
27 from +1000% up to +5000% and
5 more than +5000%
As you see, the index profits are not so expressive.
You may select your favorites among the winners.
In one way or another, the signals are unique for the market, the
number of trades is the same, the time you stay in the market is the
same.
For specific groups like Semiconductors, you may run a
separate "~meanRSIsem" and see if it is interesting for this group.
I hope it is more clear, the rest is backtesting.
As for "sync", it must be carefully defined and examined.
For the visual part, you may plot on the same window the MeanRSI and
the respective individual RSI and watch for your favorites when they
are above or below the mean. You may then discover interesting codes,
for example the % above the mean as a daily function and so many
other interesting arrays. AFL is so flexible and friendly to help
your research.
DT
--- In amibroker@xxxx, "Al" <tinki49@xxxx> wrote:
> 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
>
> ----- Original Message -----
> From: dtsokakis
> To: amibroker@xxxx
> 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 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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