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Dimitris,
Thank you for posting the code for your OUT123 composite (based on
the N100 stocks). I have played around with it with the stoRSI on
the QQQ and the ^NDX. The ^NDX was used to see how the QQQ likely
would have behaved prior to its creation in March 1999. Here are my
observations:
1. It really does well since mid 2000 for QQQ and ^NDX data.
2. It did very poorly from 1998 to mid-2000. This was tested on the
^NDX data from Yahoo. The drawdown was about 50%.
3. From 1990-1997, it's equity curve moves in a range of -20% to
+20% with some minor trending.
Unless I have missed something (which is possible), it appears that
the stoRSI system with the MagicOut123 addition is GREAT for trading
in a BURST BURST period (ie, the current bear market), but it is
equally POOR for trading during a bubble building phase (1998-1999).
For more "normal" periods of 1990-1998 (not bubble building or
bursting), it is more or less random. Although it does display some
trending results within that period, it ended with about the same
equity it started with.
b
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