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<FONT face=Arial color=#0000ff
size=2>Herman,
<FONT face=Arial color=#0000ff
size=2>
First
of all, what credit there is for introducing (in this thread at least) the ADX
goes to Greg.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Second, after waking up at 4:00am in the middle of a rather "ClockWork
Orange" type dream about ADX and not being able to get back to sleep, I've
concluded that I'm in need of some serious sleep and
counseling!
<FONT face=Arial color=#0000ff
size=2>
Third,
after seeing your graphing skills and your obvious experience with "Am I Broker(
now than when I first started? )" I urge you to slow down a bit so I don't burn
the rubber off my training wheels!
<FONT face=Arial color=#0000ff
size=2>
I
looked at your graphs and they are works of art to me... but that's about all at
the moment. Would you care to step me thru them? Perhaps share how you madethem
and how to interpret them? I (and probably countless lurkers) would really
appreciate it!
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Regarding the "parabolic" idea.. I have been researching the SAR function
and it seems to have an implied "parabolic" incorporated in it. Is there anther
function that you are referring to?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Unzipping my gorilla suit and stepping out of it for a moment (Mad
Magazine circa 1959) to get some perspective, it seems to me that we have a
number of areas to persue in order to fine tune the StochRSI (or ocillator)
approach:
<FONT face=Arial color=#0000ff
size=2>
1. Get
better at the entry process (by adding something (ADX) to encourage the entry to
be consistent with the direction of the price movement)
<FONT face=Arial color=#0000ff
size=2>
2. Get
better at the exit process and at the same time better at reducing losses.
I think we have to do these 2 in tandem...?
<FONT face=Arial color=#0000ff
size=2>
3.
Assuming we can achieve 1 and 2 I'd then appreciate some guidance on how wemigh
incorporate "money management" techniques into this
discussion.
<FONT face=Arial color=#0000ff
size=2>
I
really appreciate the fact that Steve started this discussion! I am at the
point in my learning curve that I'd like to try to use all of the reading and
experimenting that I've been doing for the last month to develop an approach for
assembling a "system" that would be a model for me to follow in the
future. I also appreciate the fact that you others have joined in on
this thread and would encourage anyone that wants to jump in to do
so.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Sincerely,
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>dingo
<FONT face=Arial color=#0000ff
size=2>
<FONT
face=Tahoma size=2>-----Original Message-----From: Herman van den
Bergen [mailto:psytek@xxxx] Sent: Saturday, July 20, 2002
7:52 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
StoRSI - Try someting different!!!
<SPAN
class=950462011-20072002>Hello dingo, great to see the new ADX angle
introduced! Has somebody charted it yet?
<SPAN
class=950462011-20072002>
<SPAN
class=950462011-20072002>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 systemthe
chance for over-optimization would appear less... Perhaps a statistician
can comment on this...
<SPAN
class=950462011-20072002>
Now
on to the ADX :-) I haven't worked with that for ages...
<SPAN
class=950462011-20072002>
Best
Regards,
<SPAN
class=950462011-20072002>Herman.
<SPAN
class=950462011-20072002>
PS.
Your PSAR idea has promise too ;-) but drop the Parabolic idea; just keepit
simple.
<SPAN
class=950462011-20072002>
<SPAN
class=950462011-20072002>
<FONT face=Tahoma
size=2>-----Original Message-----From: dingo
[mailto:dingo@xxxx]Sent: Friday, July 19, 2002 9:20
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE:
[amibroker] StoRSI - Try someting different!!!
<FONT face=Arial color=#0000ff
size=2>Good news!
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>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..
<FONT face=Arial color=#0000ff
size=2>
I
presume you optimized the ADX values...?
<FONT face=Arial color=#0000ff
size=2> <FONT
face=Arial color=#0000ff size=2>
<FONT
color=#0000ff>d<SPAN
class=525501701-20072002>ingo
<FONT
color=#0000ff><SPAN
class=525501701-20072002>
<FONT
color=#0000ff><SPAN
class=525501701-20072002> -----Original
Message-----From: Greg [mailto:greg.bean@xxxx]
Sent: Friday, July 19, 2002 9:04 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: 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<FONT
color=#000000 size=1>((scRSI<FONT
color=#000000 size=1>(C,<FONT color=#ff00ff
size=1>8) - <FONT color=#0000ff
size=1>LLV(<FONT color=#0000ff
size=1>scRSI(C,<FONT
color=#ff00ff size=1>8),<FONT
color=#ff00ff size=1>8))/
(HHV<FONT color=#000000
size=1>(scRSI<FONT color=#000000
size=1>(C,8<FONT
color=#000000 size=1>),8<FONT
color=#000000 size=1>) - LLV<FONT
color=#000000 size=1>(scRSI<FONT
color=#000000 size=1>(C,<FONT color=#ff00ff
size=1>8),<FONT color=#ff00ff
size=1>8)),<FONT color=#ff00ff
size=1>3)*<FONT color=#ff00ff
size=1>100;
Buy = Cross<FONT
color=#000000 size=1>(17<FONT
color=#000000 size=1>,StoRSI) AND <FONT color=#0000ff
size=1>ADX(<FONT color=#ff00ff
size=1>14)><FONT color=#ff00ff
size=1>20;
Sell= Cross<FONT
color=#000000 size=1>(StoRSI,<FONT color=#ff00ff
size=1>83) ;
Short = Sell;
Cover = Buy;
//Plot(Equity(),"Equity",1,1);<FONT color=#000000
size=1>
Plot(StoRSI,<FONT
color=#ff00ff size=1>"StoRSI"<FONT color=#000000
size=1>,1<FONT color=#000000
size=1>,1<FONT color=#000000
size=1>);<FONT face=Arial color=#0000ff
size=2>
<SPAN
class=525501701-20072002>
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class=525501701-20072002> Your
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