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Herman,
...Would you care to step me thru them? Perhaps share how you made them
and how to interpret them?
[Herman van den Bergen]
Disclaimer: I am just an amateur number cruncher, I am not an expert on
trading stocks.
The charts were made in Excel. When you perform an optimization the result
tables displayed will have columns for the parameters that were varied to
find the optimum performance. They are the right-most columns in the report.
When you optimize two (only two!) parameters you can use the Export Button
to export the result table to a .csv file and make 3D charts. First you
export the results using the Export button and then you import it into
Excel.
To make it easy to make 3D charts you should install the 3D Charting
plugin for Excel attached. Instructions on how to do it are in the text
file. If you have problems email me privately, perhaps I will be able to
help.
The flat chart [ TradeLimiting1.jpg ] plots the Long durations along the
Horizontal axis and the Short durations along the Vertical axis on your
screen. The profit at any point where two durations cross is given by color.
For example, look up ShLim (Short Limit) = 5 bars follow its line to the
left until you reach LLim (Long Limit) = 23, the color at that point is
light blue. Going to the color table to the right of the plot you can see
that the gain at that point is 1100% to 1200% (Excel plotted this in
integers, % is *100. Sorry I forgot over what period that was). This means
that if you limit your trade durations with something like this:
LLim = Optimize("LLim",9,1,30,1);
ShLim = Optimize("Sh:im",1,1,30,1);
Sell = (BarsSince(Ref(Buy,-1)) > LLim) OR Sell;
Cover = (BarsSince(Ref(Short,-1)) > ShLim) OR Cover;
to 23 Days for long trades and to 5 days for Short trades, you'll get the
highest gain possible for the formula used. An extra advantage is that you
are more time in cash, your exposure to risk is less.
The 3D chart works the same except here the gain is plotted in 3D format.
Not as easy to see here but in Excel you can rotate the chart and you can
clearly see that there is a high gain ridge at ShLim=5, beyond that point
the gains drop. The completely flat (light blue) area shows that there were
no trades with those durations; the gain didn't change. One would have to
further analyze this to see why it happens, it could mean out Long signal is
late.
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?
[Herman van den Bergen]
How about simply reversing the position when a certain profit is reached
:-)
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:
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)
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...?
3. Assuming we can achieve 1 and 2 I'd then appreciate some guidance on
how we migh incorporate "money management" techniques into this discussion.
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.
Sincerely,
dingo
-----Original Message-----
From: Herman van den Bergen [mailto:psytek@x...]
Sent: Saturday, July 20, 2002 7:52 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] StoRSI - Try someting different!!!
Hello dingo, great to see the new ADX angle introduced! Has somebody
charted it yet?
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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<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> Saturday, July 20, 2002 11:40=
=20
AM<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=3D692231515-20072002><FONT face=3DArial=20
size=3D2>Herman,</FONT></SPAN></DIV>
<DIV><SPAN class=3D692231515-20072002><FONT face=3DArial=20
size=3D2></FONT></SPAN> </DIV>
<DIV><FONT size=3D2><FONT face=3DArial><SPAN class=3D692231515-20072002><=
SPAN=20
class=3D910504718-20072002>...</SPAN>Would you care to step me thru them?=
=20
Perhaps share how you made them and how to interpret them? <BR><SPAN=20
class=3D910504718-20072002></SPAN></SPAN></FONT></FONT></DIV>
<DIV><FONT size=3D2><FONT color=3D#0000ff><FONT face=3DArial><SPAN=20
class=3D692231515-20072002><SPAN class=3D910504718-20072002>[Herman van d=
en=20
Bergen]</SPAN></SPAN></FONT></FONT></FONT></DIV>
<DIV><FONT size=3D2><FONT color=3D#0000ff><FONT face=3DArial><SPAN=20
class=3D692231515-20072002><SPAN=20
class=3D910504718-20072002></SPAN></SPAN></FONT></FONT></FONT> </DIV=
>
<DIV><FONT size=3D2><FONT color=3D#0000ff><FONT face=3DArial><SPAN=20
class=3D692231515-20072002><SPAN class=3D910504718-20072002>Disclaimer: I=
am just=20
an amateur number cruncher, I am not an expert on trading=20
stocks.</SPAN></SPAN></FONT></FONT></FONT></DIV>
<DIV><FONT size=3D2><FONT color=3D#0000ff><FONT face=3DArial><SPAN=20
class=3D692231515-20072002><SPAN=20
class=3D910504718-20072002></SPAN></SPAN></FONT></FONT></FONT> </DIV=
>
<DIV><FONT size=3D2><FONT color=3D#0000ff><FONT face=3DArial><SPAN=20
class=3D692231515-20072002><SPAN class=3D910504718-20072002>The charts we=
re made=20
in Excel. When you perform an optimization the result tables displayed wi=
ll=20
have columns for the parameters that were varied to find the optimum=20
performance. They are the right-most columns in the report. When you opti=
mize=20
two (only two!) parameters you can use the Export Button to export the re=
sult=20
table to a .csv file and make 3D charts. First you export the results usi=
ng=20
the Export button and then you import it into=20
Excel.</SPAN></SPAN></FONT></FONT></FONT></DIV>
<DIV><FONT size=3D2><FONT color=3D#0000ff><FONT face=3DArial><SPAN=20
class=3D692231515-20072002><SPAN=20
class=3D910504718-20072002></SPAN></SPAN></FONT></FONT></FONT> </DIV=
>
<DIV><FONT size=3D2><FONT color=3D#0000ff><FONT face=3DArial><SPAN=20
class=3D692231515-20072002><SPAN class=3D910504718-20072002>To make it ea=
sy to=20
make 3D charts you should install the 3D Charting plugin for Excel attach=
ed.=20
Instructions on how to do it are in the text file. If you have problems e=
mail=20
me privately, perhaps I will be able to=20
help.</SPAN></SPAN></FONT></FONT></FONT></DIV>
<DIV><FONT size=3D2><FONT color=3D#0000ff><FONT face=3DArial><SPAN=20
class=3D692231515-20072002><SPAN=20
class=3D910504718-20072002></SPAN></SPAN></FONT></FONT></FONT> </DIV=
>
<DIV><FONT size=3D2><FONT color=3D#0000ff><FONT face=3DArial><SPAN=20
class=3D692231515-20072002><SPAN class=3D910504718-20072002>The flat char=
t [=20
TradeLimiting1.jpg ] plots the Long durations along the Horizontal axis a=
nd=20
the Short durations along the Vertical axis on your screen. The profit at=
any=20
point where two durations cross is given by color. For example, look up S=
hLim=20
(Short Limit) =3D 5 bars follow its line to the left until you reach LLim=
(Long=20
Limit) =3D 23, the color at that point is light blue. Going to the color =
table=20
to the right of the plot you can see that the gain at that point is 1100%=
to=20
1200% (Excel plotted this in integers, % is *100. Sorry I forgot over wha=
t=20
period that was). This means that if you limit your trade durations with=
=20
something like this:</SPAN></SPAN></FONT></FONT></FONT></DIV>
<DIV><FONT size=3D2><FONT color=3D#0000ff><FONT face=3DArial><SPAN=20
class=3D692231515-20072002><SPAN class=3D910504718-20072002><FONT color=
=3D#000000=20
face=3D"Courier New" size=3D1>
<P>LLim =3D </FONT><FONT color=3D#008000 face=3D"Courier New"=20
size=3D1>Optimize("LLim",9,1,30,1);<BR></FONT><FONT color=3D#000000=20
face=3D"Courier New" size=3D1>ShLim =3D </FONT><FONT color=3D#008000=
=20
face=3D"Courier New" size=3D1>Optimize("Sh:im",1,1,30,1);<BR></FONT><B><F=
ONT=20
color=3D#000000 face=3D"Courier New" size=3D1>Sell</B> =3D (</FONT><FONT =
color=3D#0000ff=20
face=3D"Courier New" size=3D1>BarsSince</FONT><FONT color=3D#000000=20
face=3D"Courier New" size=3D1>(</FONT><FONT color=3D#0000ff face=3D"Couri=
er New"=20
size=3D1>Ref</FONT><FONT color=3D#000000 face=3D"Courier New"=20
size=3D1>(<B>Buy</B>,-</FONT><FONT color=3D#ff00ff face=3D"Courier New"=20
size=3D1>1</FONT><FONT color=3D#000000 face=3D"Courier New" size=3D1>)) &=
gt; LLim)=20
<B>OR</B> <B>Sell</B>;<BR><B>Cover</B> =3D (</FONT><FONT color=3D#0000ff=
=20
face=3D"Courier New" size=3D1>BarsSince</FONT><FONT color=3D#000000=20
face=3D"Courier New" size=3D1>(</FONT><FONT color=3D#0000ff face=3D"Couri=
er New"=20
size=3D1>Ref</FONT><FONT color=3D#000000 face=3D"Courier New"=20
size=3D1>(<B>Short</B>,-</FONT><FONT color=3D#ff00ff face=3D"Courier New"=
=20
size=3D1>1</FONT><FONT color=3D#000000 face=3D"Courier New" size=3D1>)) &=
gt; ShLim)=20
<B>OR</B> <B>Cover</B>;</P></FONT></SPAN></SPAN></FONT></FONT></FONT></DI=
V>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN class=3D910504718-=
20072002>to=20
23 Days for long trades and to 5 days for Short trades, you'll get the hi=
ghest=20
gain possible for the formula used. An extra advantage is that you are mo=
re=20
time in cash, your exposure to risk is less. </SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D910504718-20072002></SPAN></FONT> </DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN class=3D910504718-=
20072002>The=20
3D chart works the same except here the gain is plotted in 3D format. Not=
as=20
easy to see here but in Excel you can rotate the chart and you can clearl=
y see=20
that there is a high gain ridge at ShLim=3D5, beyond that point the =
gains=20
drop. The completely flat (light blue) area shows that there were no trad=
es=20
with those durations; the gain didn't change. One would have to further=20
analyze this to see why it happens, it could mean out Long signal is=20
late.</SPAN></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D910504718-20072002></SPAN></FONT> </DIV>
<DIV><FONT size=3D2><FONT face=3DArial><SPAN class=3D692231515-20072002>R=
egarding=20
the "parabolic" idea.. I have been researching the SAR function and it se=
ems=20
to have an implied "parabolic" incorporated in it. Is there anther functi=
on=20
that you are referring to?<BR><FONT color=3D#0000ff><SPAN=20
class=3D910504718-20072002></SPAN></FONT></SPAN></FONT></FONT></DIV>
<DIV><FONT size=3D2><FONT face=3DArial><SPAN class=3D692231515-20072002><=
FONT=20
color=3D#0000ff><SPAN class=3D910504718-20072002>[Herman van den=20
Bergen] </SPAN></FONT></SPAN></FONT></FONT></DIV>
<DIV><FONT size=3D2><FONT face=3DArial><SPAN class=3D692231515-20072002><=
FONT=20
color=3D#0000ff><SPAN class=3D910504718-20072002>How about simply reversi=
ng the=20
position when a certain profit is reached :-)=20
</SPAN></FONT></SPAN></FONT></FONT></DIV>
<DIV> </DIV>
<DIV><SPAN class=3D692231515-20072002><FONT face=3DArial size=3D2>Unzippi=
ng my=20
gorilla suit and stepping out of it for a moment (Mad Magazine circa 1959=
) to=20
get some perspective, it seems to me that we have a number of areas to pe=
rsue=20
in order to fine tune the StochRSI (or ocillator)=20
approach:</FONT></SPAN></DIV>
<DIV><SPAN class=3D692231515-20072002><FONT face=3DArial=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D692231515-20072002><FONT face=3DArial size=3D2>1. Get =
better at=20
the entry process (by adding something (ADX) to encourage the entry to be=
=20
consistent with the direction of the price movement)</FONT></SPAN></DIV>
<DIV><SPAN class=3D692231515-20072002><FONT face=3DArial=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D692231515-20072002><FONT face=3DArial size=3D2>2. Get =
better at=20
the exit process and at the same time better at reducing losses. I t=
hink=20
we have to do these 2 in tandem...?</FONT></SPAN></DIV>
<DIV><SPAN class=3D692231515-20072002><FONT face=3DArial=20
size=3D2></FONT></SPAN> </DIV>
<DIV><FONT size=3D2><FONT face=3DArial><SPAN class=3D692231515-20072002>3=
. Assuming=20
we can achieve 1 and 2 I'd then appreciate some guidance on how we migh=20
incorporate "money management" techniques into this discussion.<BR>=
<FONT=20
color=3D#0000ff><SPAN=20
class=3D910504718-20072002></SPAN></FONT></SPAN></FONT></FONT></DIV>
<DIV><SPAN class=3D692231515-20072002><FONT face=3DArial size=3D2>I reall=
y=20
appreciate the fact that Steve started this discussion! I am at the=
=20
point in my learning curve that I'd like to try to use all of the reading=
and=20
experimenting that I've been doing for the last month to develop an appro=
ach=20
for assembling a "system" that would be a model for me to follow in the=20
future. I also appreciate the fact that you others have joined=
in=20
on this thread and would encourage anyone that wants to jump in to do=20
so.</FONT></SPAN></DIV>
<DIV><SPAN class=3D692231515-20072002><FONT face=3DArial=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D692231515-20072002><FONT face=3DArial=20
size=3D2>Sincerely,</FONT></SPAN></DIV>
<DIV><SPAN class=3D692231515-20072002><FONT face=3DArial=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D692231515-20072002><FONT face=3DArial=20
size=3D2>dingo</FONT></SPAN></DIV>
<DIV><SPAN class=3D692231515-20072002><FONT face=3DArial=20
size=3D2></FONT></SPAN> </DIV>
<BLOCKQUOTE style=3D"MARGIN-RIGHT: 0px">
<DIV></DIV>
<DIV align=3Dleft class=3DOutlookMessageHeader dir=3Dltr lang=3Den-us><=
FONT=20
face=3DTahoma size=3D2>-----Original Message-----<BR><B>From:</B> Herma=
n van den=20
Bergen [mailto:psytek@x...] <BR><B>Sent:</B> Saturday, July 20, 2=
002=20
7:52 AM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B>=20
[amibroker] StoRSI - Try someting different!!!<BR><BR></FONT></DIV>
<DIV><FONT color=3D#0000ff face=3DArial size=3D2><SPAN=20
class=3D950462011-20072002>Hello dingo, great to see the new ADX a=
ngle=20
introduced! Has somebody charted it 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=
=20
optimum max trade duration for the StoRSI (for most osc systems in fact=
).=20
This phenomena can be charted in many ways, try making a bar chart for =
each,=20
the Long and Short positions...Not only does it improve profits; it als=
o=20
reduces exposure. Also, because we are not tinkering with the basic tim=
ing=20
system the chance for over-optimization would appear less... Perh=
aps a=20
statistician can comment 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=20
class=3D950462011-20072002>Now on to the ADX :-) I haven't worked with =
that=20
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=20
class=3D950462011-20072002>Best 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=20
class=3D950462011-20072002>PS. Your PSAR idea has promise too ;-) but d=
rop the=20
Parabolic idea; just keep it 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=
=3DTahoma=20
size=3D2>-----Original Message-----<BR><B>From:</B> dingo=20
[mailto:dingo@x...]<BR><B>Sent:</B> Friday, July 19, 2002 9:2=
0=20
PM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> RE:=20
[amibroker] StoRSI - Try someting different!!!<BR><BR></DIV></FONT>
<DIV><SPAN class=3D525501701-20072002><FONT color=3D#0000ff face=3DAr=
ial=20
size=3D2>Good news!</FONT></SPAN></DIV>
<DIV><SPAN class=3D525501701-20072002><FONT color=3D#0000ff face=3DAr=
ial=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D525501701-20072002><FONT color=3D#0000ff face=3DAr=
ial=20
size=3D2>I'm still hunting snipe out in parabolic SAR land.. been=20
experimenting but nothing to report other than I think somebody's mes=
sing=20
with my head..</FONT></SPAN></DIV>
<DIV><SPAN class=3D525501701-20072002><FONT color=3D#0000ff face=3DAr=
ial=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D525501701-20072002><FONT color=3D#0000ff face=3DAr=
ial=20
size=3D2>I presume you optimized the ADX values...?</FONT></SPAN></DI=
V>
<DIV><SPAN class=3D525501701-20072002><FONT color=3D#0000ff face=3DAr=
ial=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></D=
IV>
<DIV><FONT face=3DTahoma><FONT size=3D2><FONT face=3DArial><FONT=20
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=20
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=20
side of the equation using ADX(14) and made a significant increase =
in=20
returns with fewer trades between 30/12/1999 and 19/07/02. Th=
ere=20
was also an article in ActiveTrader Magazine May 2002 that=20
discussed using MACD as 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=
=20
color=3D#000000 size=3D1>((</FONT><FONT color=3D#0000ff=20
size=3D1>scRSI</FONT><FONT color=3D#000000 size=3D1>(<B>C</B>,</FON=
T><FONT=20
color=3D#ff00ff size=3D1>8</FONT><FONT color=3D#000000 size=3D1>) -=
</FONT><FONT=20
color=3D#0000ff size=3D1>LLV</FONT><FONT color=3D#000000 size=3D1>(=
</FONT><FONT=20
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><F=
ONT=20
color=3D#000000 size=3D1>),</FONT><FONT color=3D#ff00ff size=3D1>8<=
/FONT><FONT=20
color=3D#000000 size=3D1>))/</P>
<P>(</FONT><FONT color=3D#0000ff size=3D1>HHV</FONT><FONT color=3D#=
000000=20
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 colo=
r=3D#ff00ff=20
size=3D1>8</FONT><FONT color=3D#000000 size=3D1>) - </FONT><FONT co=
lor=3D#0000ff=20
size=3D1>LLV</FONT><FONT color=3D#000000 size=3D1>(</FONT><FONT col=
or=3D#0000ff=20
size=3D1>scRSI</FONT><FONT color=3D#000000 size=3D1>(<B>C</B>,</FON=
T><FONT=20
color=3D#ff00ff size=3D1>8</FONT><FONT color=3D#000000 size=3D1>),<=
/FONT><FONT=20
color=3D#ff00ff size=3D1>8</FONT><FONT color=3D#000000 size=3D1>)),=
</FONT><FONT=20
color=3D#ff00ff size=3D1>3</FONT><FONT color=3D#000000 size=3D1>)*<=
/FONT><FONT=20
color=3D#ff00ff 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><F=
ONT=20
color=3D#000000 size=3D1>(</FONT><FONT color=3D#ff00ff size=3D1>17<=
/FONT><FONT=20
color=3D#000000 size=3D1>,StoRSI) <B>AND</B> </FONT><FONT color=3D#=
0000ff=20
size=3D1>ADX</FONT><FONT color=3D#000000 size=3D1>(</FONT><FONT col=
or=3D#ff00ff=20
size=3D1>14</FONT><FONT color=3D#000000 size=3D1>)></FONT><FONT=
=20
color=3D#ff00ff 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><F=
ONT=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=20
color=3D#ff00ff size=3D1>"StoRSI"</FONT><FONT color=3D#000000=20
size=3D1>,</FONT><FONT color=3D#ff00ff size=3D1>1</FONT><FONT color=
=3D#000000=20
size=3D1>,</FONT><FONT color=3D#ff00ff size=3D1>1</FONT><FONT color=
=3D#000000=20
size=3D1>);<SPAN class=3D525501701-20072002><FONT color=3D#0000ff f=
ace=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></B=
LOCKQUOTE><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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