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dingo,
DateNum()>1000301 is true dor dates after the March 1, 2000.
As for the OUT3, as you may see from the construction code
/*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);
we ask a stock out of the Keltner channel for 3 consecutive days.
Y<=2 means less than 3 stocks out of Keltner Channel for 3
consecutive days.
Y<=2 is an interesting additive for various "buy" conditions in a
bearish market like N100 the last 30 months.
DT
--- In amibroker@xxxx, "dingo" <dingo@xxxx> wrote:
> Dimitris,
>
> Thanks for the suggestion!
>
> Could you help me understand what the "D=DateNum()>1000301;" does?
>
> What date is 1000301?
>
> From your title "OUT3", does this make the long or short last only 3
> days?
>
> dingo
>
> -----Original Message-----
> From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
> Sent: Saturday, July 20, 2002 7:52 AM
> To: amibroker@xxxx
> Subject: [amibroker] StoRSI - Try someting different!!!
>
>
> 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 <mailto:tsokakis@x...> 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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