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Ken,
What are you waitng from an oscillator. To stay at 37 for the next 10
years ?
The oscillator oscillates and if it is down it will go up.
The interesting detail is about the turning time.
Frankly speaking I pay respect to 36 for the MeanRSI of ^NDX.
The narrow band [36,38] is anyway profitable.
The probable dead-cat-bounce will bring the MeanRSI below 36 and I
will be more than happy, because the next uptrend will be more
sustainable. As we move lower and lower, it is not so easy to keep on
shorting. This is the reason why you do not see values falling at 15
or 10 or 0. The fear of quick Cover is always essential in a bearish
market. It is not an easy sport as some people say. If you do not
close your short positions, you may easily loose the, so sweet, short
profits.
A more conservative strategy is to split shares. A part for 38,
another for 37 and the rest for 36. [below 36 there is nothing
important with the up to now experience].
This is a way to materialize optimization.
As i wrote yesterday, I am not totally convinced that ^NDX have a
robudst support at the present level. I need more data and I have to
be patient.
In the case the market moves quickly to the sky, I will loose the
oportunity to open the new long 36 positions, but, I will gain the
wine !!
It sounds good.
DT
--- In amibroker@xxxx, "Ken Close" <closeks@xxxx> wrote:
> DT: some pundits and experts (who are wrong most of the time) say
that
> yesterday was simply end-of-month windowdressing and the rally was
a clear
> "dead-cat bounce". I tend to agree. If the rally continues for
some time,
> at least until the MeanRSI indicator travels to the top of its
range, then I
> will be most impressed and will lobby for the rest of the
membership to ship
> you a bottle of your favorite (virtual) wine or beer.
>
> We will see!!
>
> Ken
> -----Original Message-----
> From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
> Sent: Wednesday, May 01, 2002 5:29 AM
> To: amibroker@xxxx
> 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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