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Attached two charts to show that there is an optimum max trade duration for
the StoRSI (for most osc systems in fact). This phenomena can be charted in
many ways, try making a bar chart for each, the Long and Short
positions...Not only does it improve profits; it also reduces exposure.
Also, because we are not tinkering with the basic timing system the chance
for over-optimization would appear less... Perhaps a statistician can
comment on this...
Now on to the ADX :-) I haven't worked with that for ages...
Best Regards,
Herman.
PS. Your PSAR idea has promise too ;-) but drop the Parabolic idea; just
keep it simple.
-----Original Message-----
From: dingo [mailto:dingo@x...]
Sent: Friday, July 19, 2002 9:20 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] StoRSI - Try someting different!!!
Good news!
I'm still hunting snipe out in parabolic SAR land.. been experimenting but
nothing to report other than I think somebody's messing with my head..
I presume you optimized the ADX values...?
dingo
-----Original Message-----
From: Greg [mailto:greg.bean@x...]
Sent: Friday, July 19, 2002 9:04 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] StoRSI - Try someting different!!!
Hi,
I tried adding another condition to the buy side of 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((scRSI(C,8) - LLV(scRSI(C,8),8))/
(HHV(scRSI(C,8),8) - LLV(scRSI(C,8),8)),3)*100;
Buy = Cross(17,StoRSI) AND ADX(14)>20;
Sell= Cross(StoRSI,83) ;
Short = Sell;
Cover = Buy;
//Plot(Equity(),"Equity",1,1);
Plot(StoRSI,"StoRSI",1,1);
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<BODY bgColor=3D#ffffff>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN class=3D950462011-20=
072002>Hello=20
dingo, great to see the new ADX angle introduced! Has somebody charted=
it=20
yet? </SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D950462011-20072002></SPAN></FONT> </DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D950462011-20072002>Attached two charts to show that there is an opt=
imum=20
max trade duration for the StoRSI (for most osc systems in fact). This phen=
omena=20
can be charted in many ways, try making a bar chart for each, the Long and =
Short=20
positions...Not only does it improve profits; it also reduces exposure. Als=
o,=20
because we are not tinkering with the basic timing system the chance for=20
over-optimization would appear less... Perhaps a statistician can com=
ment=20
on this...</SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D950462011-20072002></SPAN></FONT> </DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN class=3D950462011-20=
072002>Now on=20
to the ADX :-) I haven't worked with that for ages...</SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D950462011-20072002></SPAN></FONT> </DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN class=3D950462011-20=
072002>Best=20
Regards,</SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D950462011-20072002>Herman.</SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D950462011-20072002></SPAN></FONT> </DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN class=3D950462011-20=
072002>PS.=20
Your PSAR idea has promise too ;-) but drop the Parabolic idea; just keep i=
t=20
simple.</SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D950462011-20072002></SPAN></FONT> </DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D950462011-20072002></SPAN></FONT> </DIV>
<BLOCKQUOTE>
<DIV align=3Dleft class=3DOutlookMessageHeader dir=3Dltr><FONT face=3DTah=
oma=20
size=3D2>-----Original Message-----<BR><B>From:</B> dingo=20
[mailto:dingo@x...]<BR><B>Sent:</B> Friday, July 19, 2002 9:20=20
PM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> RE: [amibro=
ker]=20
StoRSI - Try someting different!!!<BR><BR></DIV></FONT>
<DIV><SPAN class=3D525501701-20072002><FONT color=3D#0000ff face=3DArial =
size=3D2>Good=20
news!</FONT></SPAN></DIV>
<DIV><SPAN class=3D525501701-20072002><FONT color=3D#0000ff face=3DArial=
=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D525501701-20072002><FONT color=3D#0000ff face=3DArial =
size=3D2>I'm=20
still hunting snipe out in parabolic SAR land.. been experimenting but no=
thing=20
to report other than I think somebody's messing with my=20
head..</FONT></SPAN></DIV>
<DIV><SPAN class=3D525501701-20072002><FONT color=3D#0000ff face=3DArial=
=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D525501701-20072002><FONT color=3D#0000ff face=3DArial =
size=3D2>I=20
presume you optimized the ADX values...?</FONT></SPAN></DIV>
<DIV><SPAN class=3D525501701-20072002><FONT color=3D#0000ff face=3DArial=
=20
size=3D2></FONT></SPAN> </DIV><SPAN class=3D525501701-20072002><FONT=
=20
color=3D#0000ff face=3DArial size=3D2></FONT></SPAN>
<DIV></DIV>
<DIV><FONT face=3DTahoma><FONT size=3D2><FONT face=3DArial><FONT=20
color=3D#0000ff>d<SPAN=20
class=3D525501701-20072002>ingo</SPAN></FONT></FONT></FONT></FONT></DIV>
<DIV><FONT face=3DTahoma><FONT size=3D2><FONT face=3DArial><FONT color=3D=
#0000ff><SPAN=20
class=3D525501701-20072002></SPAN></FONT></FONT></FONT></FONT> </DIV=
>
<DIV><FONT face=3DTahoma><FONT size=3D2><FONT face=3DArial><FONT color=3D=
#0000ff><SPAN=20
class=3D525501701-20072002> </SPAN></FONT></FONT>-----Original=20
Message-----<BR><B>From:</B> Greg [mailto:greg.bean@xxxx]=20
<BR><B>Sent:</B> Friday, July 19, 2002 9:04 PM<BR><B>To:</B>=20
amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> Re: [amibroker] StoRSI - Try=
=20
someting different!!!<BR><BR></DIV></FONT></FONT>
<BLOCKQUOTE style=3D"MARGIN-RIGHT: 0px">
<DIV><FONT color=3D#000080>Hi,</FONT></DIV>
<DIV><FONT color=3D#000080></FONT> </DIV>
<DIV><FONT color=3D#000080>I tried adding another condition to the buy =
side of=20
the equation using ADX(14) and made a significant increase in returns w=
ith=20
fewer trades between 30/12/1999 and 19/07/02. There was also an=20
article in ActiveTrader Magazine May 2002 that discussed using MA=
CD as=20
an additional trigger.</FONT></DIV>
<DIV><FONT color=3D#000080></FONT> </DIV>
<DIV><FONT color=3D#000080>Greg</FONT></DIV>
<DIV> </DIV>
<DIV><FONT color=3D#000080><FONT color=3D#008000 size=3D1>
<P>/* Stochastic - RSI , and ADX*/</P></FONT><FONT color=3D#000000 size=
=3D1>
<P> </P>
<P>StoRSI =3D </FONT><FONT color=3D#0000ff size=3D1>EMA</FONT><FONT col=
or=3D#000000=20
size=3D1>((</FONT><FONT color=3D#0000ff size=3D1>scRSI</FONT><FONT colo=
r=3D#000000=20
size=3D1>(<B>C</B>,</FONT><FONT color=3D#ff00ff size=3D1>8</FONT><FONT=
=20
color=3D#000000 size=3D1>) - </FONT><FONT color=3D#0000ff size=3D1>LLV<=
/FONT><FONT=20
color=3D#000000 size=3D1>(</FONT><FONT color=3D#0000ff size=3D1>scRSI</=
FONT><FONT=20
color=3D#000000 size=3D1>(<B>C</B>,</FONT><FONT color=3D#ff00ff=20
size=3D1>8</FONT><FONT color=3D#000000 size=3D1>),</FONT><FONT color=3D=
#ff00ff=20
size=3D1>8</FONT><FONT color=3D#000000 size=3D1>))/</P>
<P>(</FONT><FONT color=3D#0000ff size=3D1>HHV</FONT><FONT color=3D#0000=
00=20
size=3D1>(</FONT><FONT color=3D#0000ff size=3D1>scRSI</FONT><FONT color=
=3D#000000=20
size=3D1>(<B>C</B>,</FONT><FONT color=3D#ff00ff size=3D1>8</FONT><FONT=
=20
color=3D#000000 size=3D1>),</FONT><FONT color=3D#ff00ff size=3D1>8</FON=
T><FONT=20
color=3D#000000 size=3D1>) - </FONT><FONT color=3D#0000ff size=3D1>LLV<=
/FONT><FONT=20
color=3D#000000 size=3D1>(</FONT><FONT color=3D#0000ff size=3D1>scRSI</=
FONT><FONT=20
color=3D#000000 size=3D1>(<B>C</B>,</FONT><FONT color=3D#ff00ff=20
size=3D1>8</FONT><FONT color=3D#000000 size=3D1>),</FONT><FONT color=3D=
#ff00ff=20
size=3D1>8</FONT><FONT color=3D#000000 size=3D1>)),</FONT><FONT color=
=3D#ff00ff=20
size=3D1>3</FONT><FONT color=3D#000000 size=3D1>)*</FONT><FONT color=3D=
#ff00ff=20
size=3D1>100</FONT><FONT color=3D#000000 size=3D1>;</P><B>
<P>Buy</B> =3D </FONT><FONT color=3D#0000ff size=3D1>Cross</FONT><FONT=
=20
color=3D#000000 size=3D1>(</FONT><FONT color=3D#ff00ff size=3D1>17</FON=
T><FONT=20
color=3D#000000 size=3D1>,StoRSI) <B>AND</B> </FONT><FONT color=3D#0000=
ff=20
size=3D1>ADX</FONT><FONT color=3D#000000 size=3D1>(</FONT><FONT color=
=3D#ff00ff=20
size=3D1>14</FONT><FONT color=3D#000000 size=3D1>)></FONT><FONT colo=
r=3D#ff00ff=20
size=3D1>20</FONT><FONT color=3D#000000 size=3D1>;</P><B>
<P>Sell</B>=3D </FONT><FONT color=3D#0000ff size=3D1>Cross</FONT><FONT=
=20
color=3D#000000 size=3D1>(StoRSI,</FONT><FONT color=3D#ff00ff=20
size=3D1>83</FONT><FONT color=3D#000000 size=3D1>) ;</P><B>
<P>Short</B> =3D <B>Sell</B>;</P><B>
<P>Cover</B> =3D <B>Buy</B>;</P></FONT><FONT color=3D#008000 size=3D1>
<P>//Plot(Equity(),"Equity",1,1);</P></FONT><FONT color=3D#000000=20
size=3D1></FONT><FONT color=3D#0000ff size=3D1>
<P>Plot</FONT><FONT color=3D#000000 size=3D1>(StoRSI,</FONT><FONT color=
=3D#ff00ff=20
size=3D1>"StoRSI"</FONT><FONT color=3D#000000 size=3D1>,</FONT><FONT co=
lor=3D#ff00ff=20
size=3D1>1</FONT><FONT color=3D#000000 size=3D1>,</FONT><FONT color=3D#=
ff00ff=20
size=3D1>1</FONT><FONT color=3D#000000 size=3D1>);<SPAN=20
class=3D525501701-20072002><FONT color=3D#0000ff face=3DArial=20
size=3D2> </FONT></SPAN></FONT></P>
<P><FONT color=3D#000000 size=3D1><SPAN=20
class=3D525501701-20072002></SPAN></FONT> </P>
<P><FONT color=3D#000000 size=3D1><SPAN=20
class=3D525501701-20072002> </SPAN></P></FONT></FONT></DIV></BLOCK=
QUOTE><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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