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Dimitris,
Thanks for posting the system. QQQ results are very impressive for
this specific period.
It returns even more than 750% for period 2000-current with EMA
period = 2, Period = 8, BLevel = 12, and Y <= 2.
Good luck,
Mike
--- In amibroker@xxxx, "dtsokakis" <TSOKAKIS@xxxx> wrote:
> Try also the
>
> Period =15;
> Blevel =30;
> Slevel = 100 - Blevel;
> Y=Foreign("~OUT3","V");
> XX=Foreign("~COUNT","V");
> D=DateNum()>1000301;
> Buy = Cross(Blevel,EMA((RSI(period)-LLV(RSI(period),period))/ (HHV
(RSI
> (period),period)- (LLV(RSI(period),period))),3)*100) AND Y<=2;
> Buy=D*Buy;
> Sell = Cross(EMA((RSI(period)-LLV(RSI(period),period))/ (HHV(RSI
> (period),period)- (LLV(RSI(period),period))),3)*100, Slevel);
> Sell=D*Sell;
> Short = Sell;
> Cover = Buy;
>
> which takes the final profits to +630% for the same period and
> settings.
> Since the period is increased we have only 24 trades, 19 winners, 5
> losers.
> Without the magic OUT3, this system would remain nearly +120%.
> This level of +600% to +650% for total Net profit, is satisfactory
> for QQQ. Various conditional oscillators converge to this
interesting
> limit.
> Dimitris Tsokakis
> --- In amibroker@xxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx> wrote:
> >
> > ----- Original Message -----
> > From: Dimitris Tsokakis
> > To: amibroker@xxxx
> > Sent: Saturday, July 20, 2002 2:51 PM
> > Subject: Fw: The Magic OUT3 [and the STOCHRSI]
> >
> >
> > Since it was to be continued, here is the application on QQQ
> StochRSI.
> > Apply the magic Y<=2 to improve profitability from +242% to
> +474% !!!
> > Just with the magic OUT3.
> > Settings
> > buy, sell, short, cover at open, delay +1
> > commission 0.5%, all stops disabled
> > Application QQQ
> > period March 01, 2000 till now.
> > /*StochRSI system*/
> > Period = 8;Blevel = 17;Slevel = 100 - Blevel;
> > D=DateNum()>1000301;
> > Buy = Cross(Blevel,EMA((RSI(period)-LLV(RSI(period),period))/ (HHV
> (RSI(period),period)- (LLV(RSI(period),period))),3)*100);
> > Buy=D*Buy;
> > Sell = Cross(EMA((RSI(period)-LLV(RSI(period),period))/ (HHV(RSI
> (period),period)- (LLV(RSI(period),period))),3)*100, Slevel);
> > Sell=D*Sell;
> > Short = Sell;
> > Cover = Buy;
> > 56 trades, +242%
> > /*Improved StochRSI system with the Magic OUT3 additive*/
> > Period = 8;
> > Blevel = 17;
> > Slevel = 100 - Blevel;
> > Y=Foreign("~OUT3","V");
> > D=DateNum()>1000301;
> > Buy = Cross(Blevel,EMA((RSI(period)-LLV(RSI(period),period))/ (HHV
> (RSI(period),period)- (LLV(RSI(period),period))),3)*100) AND Y<=2;
> > Buy=D*Buy;
> > Sell = Cross(EMA((RSI(period)-LLV(RSI(period),period))/ (HHV(RSI
> (period),period)- (LLV(RSI(period),period))),3)*100, Slevel);
> > Sell=D*Sell;
> > Short = Sell;
> > Cover = Buy;
> >
> > 34 trades, +474%
> > Not bad at all...
> > Dimitris Tsokakis
> > PS. Applying the simple STOCHRSI system on the bloody WCOME you
end
> with a -87% for the same period.
> > With the magic OUT3 additive, you are at a nice +23% and, if you
> are a WCOME fun, you may keep on trading this stock
> >
> > ----- Original Message -----
> > From: Dimitris Tsokakis
> > To: amibroker@xxxx
> > Sent: Wednesday, June 26, 2002 4:06 PM
> > Subject: The Magic OUT3
> >
> >
> > Are you disappointed from your trading system ?
> > Apply the magic condition and you will be surprised !!
> > Create first the "~OUT3" artificial ticker.
> > Scan the whole N100 with
> >
> > /*OUT 1, 2, 3*/
> > KUP=EMA((H+L+C)/3,10)+EMA(H-L,10);
> > KDOWN=EMA((H+L+C)/3,10)-EMA(H-L,10);
> > OUT1=C<KDOWN AND Ref(C,-1)>Ref(KDOWN,-1);
> > OUT2=C<KDOWN AND Ref(OUT1,-1);
> > OUT3=C<KDOWN AND Ref(OUT2,-1);
> > AddToComposite(OUT3,"~OUT3","V");
> > Buy=0;
> >
> > The "magic" ticker is Y, defined from the relation
> > Y=Foreign("~OUT3","V");
> > Let us see some applications.
> > a. The MACD() crossover.
> > We all know that MACD crossover fails in bearish markets.
> > Except if we add the magic OUT3 Y==0 or Y==1.
> >
> > The MACD crossover, after March1, 2000 is
> >
> > D=DateNum()>1000301;
> > Buy=D*(Cross(MACD(),Signal()));
> > Sell=D*(Cross(Signal(),MACD()));
> > Short=Sell;Cover=Buy;
> >
> > On QQQ gives a -67%.
> > Magic OUT3 may change it to +9.36% with
> > /*Magic 1*/
> > Y=Foreign("~OUT3","V");
> > D=DateNum()>1000301;
> > Buy=D*(Cross(MACD(),Signal()) AND Y==1);
> > Sell=D*(Cross(Signal(),MACD()));
> > Short=Sell;Cover=Buy;
> >
> > or to +60% with
> >
> > /*Magic 2*/
> > Y=Foreign("~OUT3","V");
> > D=DateNum()>1000301;
> > Buy=D*(Cross(MACD(),Signal()) AND Y==0);
> > Sell=D*(Cross(Signal(),MACD()));
> > Short=Sell;Cover=Buy;
> >
> > For the whole N100, the simple MACD() crossover is "extreme
> game" : -61%
> > with 5 profitable and 96 not profitable stocks !!!
> > With the magic OUT3 may rise to +3% or +9% for the respective
> additions.
> >
> > B. The Stochastics 30/70 system
> > Another nice but suffering system
> > For the whole N100, the "traditional" 30/70
> >
> > D=DateNum()>1000301;
> > Buy=D*(Cross(StochD(),30));
> > Sell=D*(Cross(70,StochD()));
> > Short=Sell;Cover=Buy;
> >
> > gives a -30%.
> > Touch it with the magic OUT3 and you change from -30% to +30% !!
> >
> > Y=Foreign("~OUT3","V");
> > D=DateNum()>1000301;
> > Buy=D*(Cross(StochD(),30) AND Y==1);
> > Sell=D*(Cross(70,StochD()));
> > Short=Sell;Cover=Buy;
> > For example, YHOO changes from +32% to +250%.
> >
> > So, if you still use loosing systems, you may improve their
> performance, adding Y==0 or
> > Y==1 or Y<2 etc to the previous Buy condition.
> >
> > Dimitris Tsokakis
> > PS Are you curious for the respective magic Sell additive ?
> > [to be continued]
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