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Herman, Dingo,
Here my penny contribution to trying something new. I have modified
the StoRSI so you can optimize "period" and "delta". Using this
modified AFL I have experimented with the ADX addition but the
results in general beco0me worse except for some volatile stocks.
Curious what you think.
Period = Optimize("Period", 6,2,40,2);
delta=Optimize("Delta",2,2,20,1);
Buy = Cross(delta, EMA((RSI(period)-LLV(RSI(period),period))/ (HHV(RSI
(period),period)- (LLV(RSI(period),period))),3)*100) ;
Sell = Cross(EMA((RSI(period)-LLV(RSI(period),period))/ (HHV(RSI
(period),period)- (LLV(RSI(period),period))),3)*100, 100-delta);
Short = Sell;
Cover = Buy;
Buy = ExRem( Buy, Sell );
Sell = ExRem( Sell, Buy );
Short = ExRem( Short, Cover );
Cover = ExRem( Cover, Short );
Filter = 1;
Willem Jan
--- In amibroker@xxxx, "Herman van den Bergen" <psytek@xxxx> wrote:
> Message-----Original Message-----
> From: dingo [mailto:dingo@x...]
> Sent: Saturday, July 20, 2002 11:40 AM
> To: amibroker@xxxx
> Subject: RE: [amibroker] StoRSI - Try someting different!!!
>
>
> 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@xxxx
> 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@xxxx
> 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@xxxx
> 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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