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Hi,
I tried adding another condition to the buy sideof the
equation using ADX(14) and made a significant increase in returns with fewer
trades between 30/12/1999 and 19/07/02. There was also an article in
ActiveTrader Magazine May 2002 that discussed using MACD as an additional
trigger.
Greg
/* Stochastic - RSI , and ADX*/
StoRSI = EMA<FONT color=#000000
size=1>((scRSI<FONT color=#000000
size=1>(C,8<FONT color=#000000
size=1>) - LLV<FONT color=#000000
size=1>(scRSI<FONT color=#000000
size=1>(C,8<FONT color=#000000
size=1>),8<FONT color=#000000
size=1>))/
(HHV<FONT color=#000000
size=1>(scRSI<FONT color=#000000
size=1>(C,8<FONT color=#000000
size=1>),8)
- LLV<FONT color=#000000
size=1>(scRSI<FONT color=#000000
size=1>(C,8<FONT color=#000000
size=1>),8<FONT color=#000000
size=1>)),3<FONT color=#000000
size=1>)*100<FONT color=#000000
size=1>;
Buy = Cross<FONT color=#000000
size=1>(17<FONT color=#000000
size=1>,StoRSI) AND ADX<FONT
color=#000000 size=1>(14<FONT
color=#000000 size=1>)>20<FONT
color=#000000 size=1>;
Sell= Cross<FONT color=#000000
size=1>(StoRSI,83<FONT color=#000000
size=1>) ;
Short = Sell;
Cover = Buy;
//Plot(Equity(),"Equity",1,1);<FONT color=#000000
size=1>
Plot(StoRSI,<FONT color=#ff00ff
size=1>"StoRSI",<FONT color=#ff00ff
size=1>1,<FONT color=#ff00ff
size=1>1);
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dingo
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 19, 2002 8:18 PM
Subject: RE: [amibroker] StoRSI - Try
someting different!!!
That
might well and good but at the moment I don't know the difference betwee PSAR
and PSHAW! But, I will soon.. I off to hunt PSAR's.. Hope they're
nothing like snipe huntin'
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>dingbat
<FONT
face=Tahoma size=2>-----Original Message-----From: Richard Alford
[mailto:richard.alford@xxxx] Sent: Friday, July 19, 2002 7:15
PMTo: <A
href="">amibroker@xxxxxxxxxxxxxxxSubject:
Re: [amibroker] StoRSI - Try someting different!!!
Sounds to me like Herman is hinting ata PSAR
approach..
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dingo
To: <A
title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 19, 2002 6:05
PM
Subject: RE: [amibroker] StoRSI - Try
someting different!!!
<FONT face=Arial color=#0000ff
size=2>That seems very counter intuitive to me. Rather than just
arbitrarily close a trade after x days wouldn't it make better sense to
try and combine / modify the oscillator with something else? What? I have
no idea.. but that's what "seems" to be intuitive to
me..
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Or how about a smarter way to apply stops?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>dingo
<FONT
face=Tahoma size=2>-----Original Message-----From: Herman van
den Bergen [mailto:psytek@xxxx] Sent: Friday, July19,
2002 6:54 PMTo: amibroker@xxxxxxxxxxxxxxxSubject:
RE: [amibroker] StoRSI - Try someting different!!!
<SPAN
class=090570122-19072002>Nobody is making any gain improvement <FONT
color=#000080 size=4><IMG height=18
src="" width=18
border=0 NOSEND="1">
<SPAN
class=090570122-19072002>
<SPAN
class=090570122-19072002>Why not check out if all your trades are
"efficient", i.e. do they earn money for everyday the position is open?
Oscilators have tendency to get stuck; the longer you are in a position
the greater the damage could be. Perhaps you might as
well close your positions after a certain number of days? Yourgain
might go up and your exposure might go down, ... wouldn't be bad
would it <IMG height=18
src="" width=18
border=0 NOSEND="1">
<SPAN
class=090570122-19072002>
<SPAN
class=090570122-19072002>Herman.
<SPAN
class=090570122-19072002>
<FONT face=Arial color=#0000ff
size=2>--------------------------------------------------------------------------------------------------------------------------
<FONT face="Courier New"
size=2>/* CCT StochRSI For qqq** ** Originally developed by
Steve Karnish ** <A
href=""><FONT face="CourierNew"
size=2>http://www.cedarcreektrading.com<FONT
face="Courier New" size=2> ** ** AFL translation by Tomasz
Janeczko ** ** Set scaling: Custom 0..100 */
<FONT face="Courier New"
size=2>Period = 8; Blevel = 17;Slevel = 100 -
Blevel;
<FONT face="Courier New"
size=2>//ApplyStop(2,1,Optimize("Stop
%",15,5,20,1),0);
<FONT face="Courier New"
size=2>Buy = Cross(Blevel,EMA((RSI(period)-LLV(RSI(period),period))/
(HHV(RSI(period),period)- (LLV(RSI(period),period))),3)*100);
<FONT face="Courier New"
size=2>Sell = Cross(EMA((RSI(period)-LLV(RSI(period),period))/
(HHV(RSI(period),period)- (LLV(RSI(period),period))),3)*100,
Slevel);
<FONT face="Courier New"
size=2>Short = Sell;Cover = Buy;
<FONT face=Arial color=#0000ff
size=2>--------------------------------------------------------------------------------------------------------------------------
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