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Assuming that they are.. the closest I've been able to get is the
attached - much better looking than the original!
This test was run from 12/30/1999 - 7/19/2002 (using intraday on the
19th). The reason for 12/30/1999 is that is the latest date I could use
in order for the long on 1/6/200 to show on the graph...??
Here's the code I used:
------------------------------------------------------------------------
--------------------------------------------------
/* CCT StochRSI For qqq**
** Originally developed by Steve Karnish
** <http://www.cedarcreektrading.com> http://www.cedarcreektrading.com
**
** AFL translation by Tomasz Janeczko **
** Set scaling: Custom 0..100 */
Period = 8;
Blevel = 17;
Slevel = 100 - Blevel;
//ApplyStop(2,1,Optimize("Stop %",15,5,20,1),0);
Buy = Cross(Blevel,EMA((RSI(period)-LLV(RSI(period),period))/
(HHV(RSI(period),period)- (LLV(RSI(period),period))),3)*100);
Sell = Cross(EMA((RSI(period)-LLV(RSI(period),period))/
(HHV(RSI(period),period)- (LLV(RSI(period),period))),3)*100, Slevel);
Short = Sell;
Cover = Buy;
------------------------------------------------------------------------
--------------------------------------------------
BTW - I personally couldn't live without some sort of stoploss and the
above applystop optimized out at 15% but that's still too high for me..
so I'll have to tinker.
Thanks for all of your discussion on this board - I've learned a lot
after reading all of the messages on this board.
dale (dingo)
-----Original Message-----
From: Steve Karnish [mailto:kernish@x...]
Sent: Friday, July 19, 2002 12:52 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] StoRSI
dingo,
Most people trade the Q's from both the long and short side. There is
no penalty (uptick rule) trading this issue. Factoring in the short
trades should straighten out your equity curve.
Take care,
Steve Karnish, CTA
Cedar Creek Trading
www.cedarcreektrading.com
1-877-668-1125
----- Original Message -----
From: dingo <mailto:dingo@x...>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 19, 2002 10:31 AM
Subject: RE: [amibroker] StoRSI
Hi Steve!
What are the beginning and ending dates of your backtest?
I've got my version of your system matching your trade arrows exactly
but my equity curve is nothing like your smooth one. I presume you have
no stops in your test and let each trade run its course? And you are
long only?
Can someone please explain the difference?
dingo
-----Original Message-----
From: Steve Karnish [mailto:kernish@x...]
Sent: Friday, July 19, 2002 11:24 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] StoRSI
List,
Last December, I presented my StoRSI indicator to the Fort Collins
Market Technicians Association (a group that gets together to drink beer
and eat Mexican food...at an Irish Pub). At the time, I had been
trading the system for approximately a year. It has continued to trade
profitably during the past six months "slide to hell". For those who
might of missed previous post, the guts of the system are attached.
Sorry, but I can only provide MetaStock code. All trades are initiated
on the opening, the day following the signal.
Take care,
Steve Karnish, CTA
Cedar Creek Trading
www.cedarcreektrading.com
1-877-668-1125
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<HTML><HEAD>
<META HTTP-EQUIV=3D"Content-Type" CONTENT=3D"text/html; charset=3Dus-ascii"=
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<TITLE>Message</TITLE>
<META content=3D"MSHTML 6.00.2716.2200" name=3DGENERATOR>
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<BODY bgColor=3D#ffffff>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial color=3D#0000ff si=
ze=3D2>I=20
understand that but you don't seem to have shorts on the gif's you attached=
or=20
are they "implied"? </FONT></SPAN></DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial color=3D#0000ff=20
size=3D2>Assuming that they are.. the closest I've been able to get is the=
=20
attached - much better looking than the original!</FONT></SPAN></DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial color=3D#0000ff si=
ze=3D2>This=20
test was run from 12/30/1999 - 7/19/2002 (using intraday on the 19th). The=
=20
reason for 12/30/1999 is that is the latest date I could use in order for t=
he=20
long on 1/6/200 to show on the graph...??</FONT></SPAN></DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial color=3D#0000ff si=
ze=3D2>Here's=20
the code I used:</FONT></SPAN></DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial color=3D#0000ff=20
size=3D2>------------------------------------------------------------------=
--------------------------------------------------------</FONT></SPAN></DIV=
>
<DIV><SPAN class=3D597435716-19072002><FONT face=3D"Courier New" size=3D2>/=
* CCT=20
StochRSI For qqq** <BR>** Originally developed by Steve Karnish <BR>** </FO=
NT><A=20
href=3D"http://www.cedarcreektrading.com";><FONT face=3D"Courier New"=20
size=3D2>http://www.cedarcreektrading.com</FONT></A><FONT face=3D"Courier N=
ew"=20
size=3D2> ** <BR>** AFL translation by Tomasz Janeczko ** <BR>** Set scalin=
g:=20
Custom 0..100 */ </FONT></SPAN></DIV>
<DIV><FONT face=3D"Courier New" size=3D2></FONT> </DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3D"Courier New" size=3D2>P=
eriod =3D 8;=20
<BR>Blevel =3D 17;<BR>Slevel =3D 100 - Blevel;</FONT></SPAN></DIV>
<DIV><FONT face=3D"Courier New" size=3D2></FONT> </DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3D"Courier New"=20
size=3D2>//ApplyStop(2,1,Optimize("Stop %",15,5,20,1),0);</FONT></SPAN></DI=
V>
<DIV><FONT face=3D"Courier New" size=3D2></FONT> </DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3D"Courier New" size=3D2>B=
uy =3D=20
Cross(Blevel,EMA((RSI(period)-LLV(RSI(period),period))/=20
(HHV(RSI(period),period)- (LLV(RSI(period),period))),3)*100);=20
</FONT></SPAN></DIV>
<DIV><FONT face=3D"Courier New" size=3D2></FONT> </DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3D"Courier New" size=3D2>S=
ell =3D=20
Cross(EMA((RSI(period)-LLV(RSI(period),period))/ (HHV(RSI(period),period)-=
=20
(LLV(RSI(period),period))),3)*100, Slevel); </FONT></SPAN></DIV>
<DIV><FONT face=3D"Courier New" size=3D2></FONT> </DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3D"Courier New" size=3D2>S=
hort =3D=20
Sell;<BR>Cover =3D Buy;<BR>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial color=3D#0000ff=20
size=3D2>------------------------------------------------------------------=
--------------------------------------------------------</FONT></SPAN></DIV=
>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial=20
color=3D#0000ff></FONT></SPAN> </DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial color=3D#0000ff>BT=
W - I=20
personally couldn't live without some sort of stoploss and the above applys=
top=20
optimized out at 15% but that's still too high for me.. so I'll have to=20
tinker.</FONT></SPAN></DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial=20
color=3D#0000ff></FONT></SPAN> </DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial color=3D#0000ff>Th=
anks for=20
all of your discussion on this board - I've learned a lot after reading all=
of=20
the messages on this board.</FONT></SPAN></DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial=20
color=3D#0000ff></FONT></SPAN> </DIV>
<DIV><SPAN class=3D597435716-19072002><FONT face=3DArial color=3D#0000ff>da=
le=20
(dingo)</FONT></SPAN></DIV></FONT></SPAN></DIV>
<BLOCKQUOTE style=3D"MARGIN-RIGHT: 0px">
<DIV></DIV>
<DIV class=3DOutlookMessageHeader lang=3Den-us dir=3Dltr align=3Dleft><FO=
NT=20
face=3DTahoma size=3D2>-----Original Message-----<BR><B>From:</B> Steve K=
arnish=20
[mailto:kernish@x...] <BR><B>Sent:</B> Friday, July 19, 2002 12:5=
2=20
PM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> Re: [amibro=
ker]=20
StoRSI<BR><BR></FONT></DIV>
<DIV><FONT face=3DArial size=3D2>dingo,</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=3DArial size=3D2>Most people trade the Q's from both the =
long and=20
short side. There is no penalty (uptick rule) trading this issue.&n=
bsp;=20
Factoring in the short trades should straighten out your equity=20
curve.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=3DArial size=3D2>Take care,</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=3DArial size=3D2>Steve Karnish, CTA<BR>Cedar Creek Tradin=
g<BR><A=20
href=3D"http://www.cedarcreektrading.com";>www.cedarcreektrading.com</A><B=
R>1-877-668-1125</FONT></DIV>
<BLOCKQUOTE=20
style=3D"PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-=
LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
<DIV style=3D"FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV=20
style=3D"BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>F=
rom:</B>=20
<A title=3Ddingo@xxxx href=3D"mailto:dingo@xxxx";>dingo<=
/A>=20
</DIV>
<DIV style=3D"FONT: 10pt arial"><B>To:</B> <A title=3Damibroker@xxxx=
oups.com=20
href=3D"mailto:amibroker@xxxxxxxxxxxxxxx";>amibroker@xxxxxxxxxxxxxxx</A>=
</DIV>
<DIV style=3D"FONT: 10pt arial"><B>Sent:</B> Friday, July 19, 2002 10:3=
1=20
AM</DIV>
<DIV style=3D"FONT: 10pt arial"><B>Subject:</B> RE: [amibroker] StoRSI<=
/DIV>
<DIV><BR></DIV>
<DIV><SPAN class=3D760391716-19072002><FONT face=3DArial color=3D#0000f=
f size=3D2>Hi=20
Steve!</FONT></SPAN></DIV>
<DIV><SPAN class=3D760391716-19072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D760391716-19072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2>What are the beginning and ending dates of your=20
backtest?</FONT></SPAN></DIV>
<DIV><SPAN class=3D760391716-19072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D760391716-19072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2>I've got my version of your system matching your=20
trade arrows exactly but my equity curve is nothing like your=
=20
smooth one. I presume you have no stops in your test and let =
each=20
trade run its course? And you are long only?</FONT></SPAN></DIV>
<DIV><SPAN class=3D760391716-19072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D760391716-19072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2>Can someone please explain the difference?</FONT></SPAN></DIV>
<DIV><SPAN class=3D760391716-19072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D760391716-19072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2>dingo </FONT></SPAN></DIV>
<BLOCKQUOTE style=3D"MARGIN-RIGHT: 0px">
<DIV></DIV>
<DIV class=3DOutlookMessageHeader lang=3Den-us dir=3Dltr align=3Dleft=
><FONT=20
face=3DTahoma size=3D2>-----Original Message-----<BR><B>From:</B> Ste=
ve=20
Karnish [mailto:kernish@x...] <BR><B>Sent:</B> Friday, July 1=
9,=20
2002 11:24 AM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:<=
/B>=20
[amibroker] StoRSI<BR><BR></FONT></DIV>
<DIV><FONT face=3DArial size=3D2>
<DIV><FONT face=3DArial size=3D2>List,</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=3DArial size=3D2>Last December, I presented my StoRSI=
=20
indicator to the Fort Collins Market Technicians Association (a group=
that=20
gets together to drink beer and eat Mexican food...at an Irish Pub).&=
nbsp;=20
At the time, I had been trading the system for approximately a=20
year. It has continued to trade profitably during the past six=
=20
months "slide to hell". For those who might of missed previous =
post,=20
the guts of the system are attached. Sorry, but I can only prov=
ide=20
MetaStock code. All trades are initiated on the opening, the da=
y=20
following the signal.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=3DArial size=3D2>Take care,</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=3DArial size=3D2>Steve Karnish, CTA<BR>Cedar Creek=20
Trading<BR><A=20
href=3D"http://www.cedarcreektrading.com";>www.cedarcreektrading.com</=
A><BR>1-877-668-1125</FONT></DIV></FONT></DIV><BR><BR><TT>Your=20
use of Yahoo! Groups is subject to the <A=20
href=3D"http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A=
>.</TT>=20
<BR></BLOCKQUOTE><BR><BR><TT>Your use of Yahoo! Groups is subject to =
the <A=20
href=3D"http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A>.=
</TT>=20
<BR></BLOCKQUOTE><BR><BR><TT>Your=20
use of Yahoo! Groups is subject to the <A=20
href=3D"http://docs.yahoo.com/info/terms/";>Yahoo! Terms of Service</A>.</=
TT>=20
<BR></BLOCKQUOTE></BODY></HTML>
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