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/*StochRSI on the QQQ's with EMA
Courtesy: Steve Karnish
Optimized for 3/24/2000 - 7/22/2002
Settings: Buy/Sell/Short/Cover = Next Day Open
Long and Short
Commissions = 0
Stops and Targets = disabled
*/
StochRsi=EMA((RSI(8 )-LLV(RSI(8 ),8 ))/(HHV(RSI(8 ),8 )-LLV(RSI(8 ),8
)),3)*100;
Buy=Cross(17,StochRsi) AND EMA(C,30) < C;
Sell=Cross(StochRsi,83);
Short=Cross(StochRsi,83) AND EMA(C,30 ) > C;
Cover=Cross(17,StochRsi);
ApplyStop(2,1,9,0);
I've attached the html report. and a .gif showing the results.
dingo
-----Original Message-----
From: Steve Karnish [mailto:kernish@x...]
Sent: Monday, July 22, 2002 11:10 AM
To: metastock@xxxx; amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] StoRSI
List(s),
I will try to answer as many of the publicly posted messages later in
the day. We are in the middle of the most exciting grain markets in ten
years and my time is being "chewed up" by my grain producing traders.
A couple general comments on the StoRSI/QQQ approach:
1. This will not trade 1997, 1897, or any other distant history very
well. The things that you read in most books are utter bullshit
(pertaining to testing out of sample for 'x' number of years...going
back to 1957). I'm not picking a fight and I refuse to discuss or
defend my statement (we've been down that road before). It is what it
is. Always concentrate on what has happened during the last two years
and be flexible and inventive enough to monitor and understand how
market dynamics are changing.
2. One way to improve on the results of this "skeleton system" is to
apply a "filter". DT has provided excellent contributions on how one
might accomplish this. I'm a very "simple-minded" guy who applies very
basic approaches. I believe that makes my trading more robust than a
lot approaches with a lot of "whistles and bells" added
(over-optimizations).
Filter suggestions: Try only taking an "opening" position in the QQQ
when the 13 (21, or your number of choice) SMA is pointing in the
direction of your trade. Sounds too simple, right? You can apply the
same approach by using any number of linear regression tools. Pick a
"trend identifier" (and believe me, trend is the hardest thing to wrap
your arms around), and only trade in the direction of the trend. Yes,
it's that easy. Eliminate the "stinkin" trades that were initiated
against the trend. A 13 day SMA is a starting point and with the
ability to "optimize" using AB, you can identify many averages that
should improve the overall performance and keep you (most times) on the
right side of the market.
Sorry, must get back to the grains... they are cookin' in the fields and
cookin' on the CBOT.
Take care,
Steve Karnish, CTA
Cedar Creek Trading
www.cedarcreektrading.com
1-877-668-1125
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------=_NextPart_001_0101_01C231C9.C35302A0
Content-Type: text/html;
charset="US-ASCII"
Content-Transfer-Encoding: quoted-printable
<!DOCTYPE HTML PUBLIC "-//W3C//DTD HTML 4.0 Transitional//EN">
<HTML><HEAD>
<META HTTP-EQUIV=3D"Content-Type" CONTENT=3D"text/html; charset=3Dus-ascii"=
>
<TITLE>Message</TITLE>
<META content=3D"MSHTML 6.00.2716.2200" name=3DGENERATOR>
<STYLE></STYLE>
</HEAD>
<BODY bgColor=3D#ffffff>
<DIV><SPAN class=3D270104501-23072002><FONT face=3DArial color=3D#0000ff si=
ze=3D2>This=20
is my interpretation of the StoRSI/QQQ approach modified with an=20
EMA:</FONT></SPAN></DIV>
<DIV><SPAN class=3D270104501-23072002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D270104501-23072002><FONT face=3D"Courier New" color=3D#0=
08000=20
size=3D2>
<P>/*StochRSI on the QQQ's with EMA</P></FONT><FONT face=3D"Courier New"=20
color=3D#008000 size=3D2>
<P>Courtesy: Steve Karnish</P></FONT><FONT color=3D#008000>
<P><FONT face=3D"Courier New" size=3D2>Optimized for 3/24/2000 - 7/22/2002=
=20
</FONT></P>
<P><FONT face=3D"Courier New" size=3D2>Settings: Buy/Sell/Short/Cover =3D N=
ext Day=20
Open</FONT></P>
<P><FONT face=3D"Courier New" size=3D2>Long and Short</FONT></P>
<P><FONT face=3D"Courier New" size=3D2>Commissions =3D 0</FONT></P>
<P><FONT face=3D"Courier New" size=3D2>Stops and Targets =3D=20
disabled</FONT></P></FONT>
<P><FONT face=3D"Courier New" size=3D2>*/</FONT></P>
<P><FONT face=3D"Courier New" size=3D2>StochRsi=3D<FONT=20
color=3D#0000ff>EMA</FONT>((<FONT color=3D#0000ff>RSI</FONT>(<FONT=20
color=3D#ff00ff>8</FONT> )-<FONT color=3D#0000ff>LLV</FONT>(<FONT=20
color=3D#0000ff>RSI</FONT>(<FONT color=3D#ff00ff>8</FONT> ),<FONT=20
color=3D#ff00ff>8</FONT> ))/(<FONT color=3D#0000ff>HHV</FONT>(<FONT=20
color=3D#0000ff>RSI</FONT>(<FONT color=3D#ff00ff>8</FONT> ),<FONT=20
color=3D#ff00ff>8</FONT> )-<FONT color=3D#0000ff>LLV</FONT>(<FONT=20
color=3D#0000ff>RSI</FONT>(<FONT color=3D#ff00ff>8</FONT> ),<FONT=20
color=3D#ff00ff>8</FONT> )),<FONT color=3D#ff00ff>3</FONT>)*<FONT=20
color=3D#ff00ff>100</FONT>; </FONT></P>
<P><FONT face=3D"Courier New" size=3D2></FONT></P><B>
<P><FONT face=3D"Courier New" size=3D2>Buy</FONT></B><FONT face=3D"Courier =
New"=20
size=3D2>=3D<FONT color=3D#0000ff>Cross</FONT>(<FONT color=3D#ff00ff>17</FO=
NT>,StochRsi)=20
<B>AND</B> <FONT color=3D#0000ff>EMA</FONT>(<B>C</B>,<FONT=20
color=3D#ff00ff>30</FONT>) < <B>C</B>; </FONT></P><B>
<P><FONT face=3D"Courier New" size=3D2>Sell</FONT></B><FONT face=3D"Courier=
New"=20
size=3D2>=3D<FONT color=3D#0000ff>Cross</FONT>(StochRsi,<FONT=20
color=3D#ff00ff>83</FONT>); </FONT></P><B>
<P><FONT face=3D"Courier New" size=3D2>Short</FONT></B><FONT face=3D"Courie=
r New"=20
size=3D2>=3D<FONT color=3D#0000ff>Cross</FONT>(StochRsi,<FONT color=3D#ff00=
ff>83</FONT>)=20
<B>AND</B> <FONT color=3D#0000ff>EMA</FONT>(<B>C</B>,<FONT color=3D#ff00ff>=
30</FONT>=20
) > <B>C</B>; </FONT></P><B>
<P><FONT face=3D"Courier New" size=3D2>Cover</FONT></B><FONT face=3D"Courie=
r New"=20
size=3D2>=3D<FONT color=3D#0000ff>Cross</FONT>(<FONT=20
color=3D#ff00ff>17</FONT>,StochRsi);</FONT></P><FONT color=3D#0000ff>
<P><FONT face=3D"Courier New" size=3D2>ApplyStop</FONT></FONT><FONT=20
face=3D"Courier New" size=3D2>(<FONT color=3D#ff00ff>2</FONT>,<FONT=20
color=3D#ff00ff>1</FONT>,<FONT color=3D#ff00ff>9</FONT>,<FONT=20
color=3D#ff00ff>0</FONT>);</FONT></P>
<P></SPAN><FONT face=3DTahoma><FONT size=3D2><SPAN class=3D270104501-230720=
02><FONT=20
face=3DArial color=3D#0000ff><FONT face=3DTahoma=20
color=3D#000000></FONT></FONT></SPAN></FONT></FONT> </P>
<P><FONT face=3DTahoma><FONT size=3D2><SPAN class=3D270104501-23072002><FON=
T=20
face=3DArial color=3D#0000ff><FONT face=3DTahoma color=3D#000000>I've attac=
hed=20
the html report. and a .gif showing the=20
results.</FONT></FONT></SPAN></FONT></FONT></P>
<P><FONT face=3DTahoma><FONT size=3D2><SPAN=20
class=3D270104501-23072002>dingo</SPAN></FONT></FONT></P>
<P><FONT face=3DTahoma><FONT size=3D2><SPAN=20
class=3D270104501-23072002> </SPAN></FONT></FONT></P>
<P><FONT face=3DTahoma><FONT size=3D2><SPAN=20
class=3D270104501-23072002></SPAN></FONT></FONT> </P>
<P><FONT face=3DTahoma><FONT size=3D2><SPAN=20
class=3D270104501-23072002> </SPAN>-----Original Message-----<BR><B>Fr=
om:</B>=20
Steve Karnish [mailto:kernish@x...] <BR><B>Sent:</B> Monday, July 2=
2,=20
2002 11:10 AM<BR><B>To:</B> metastock@xxxx;=20
amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> [amibroker]=20
StoRSI<BR><BR></P></FONT></FONT></DIV>
<BLOCKQUOTE style=3D"MARGIN-RIGHT: 0px">
<DIV><FONT face=3DArial size=3D2>List(s),</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=3DArial size=3D2>I will try to answer as many of the publ=
icly=20
posted messages later in the day. We are in the middle of the most=
=20
exciting grain markets in ten years and my time is being "chewed up" by m=
y=20
grain producing traders.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=3DArial size=3D2>A couple general comments on the StoRSI/=
QQQ=20
approach: </FONT></DIV>
<DIV><FONT face=3DArial size=3D2></FONT> </DIV>
<DIV><FONT face=3DArial size=3D2>1. This will not trade 1997, 1897,=
or any=20
other distant history very well. The things that you read in most b=
ooks=20
are utter bullshit (pertaining to testing out of sample for 'x' number of=
=20
years...going back to 1957). I'm not picking a fight and I ref=
use=20
to discuss or defend my statement (we've been down that road before).&nbs=
p; It=20
is what it is. Always concentrate on what has happened during the l=
ast=20
two years and be flexible and inventive enough to monitor and understand =
how=20
market dynamics are changing. </FONT></DIV>
<DIV><FONT face=3DArial size=3D2></FONT> </DIV>
<DIV><FONT face=3DArial size=3D2>2. One way to improve on the resul=
ts of=20
this "skeleton system" is to apply a "filter". DT has provided exce=
llent=20
contributions on how one might accomplish this. I'm a very=20
"simple-minded" guy who applies very basic approaches. I believe th=
at=20
makes my trading more robust than a lot approaches with a lot of "whistle=
s and=20
bells" added (over-optimizations). </FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=3DArial size=3D2>Filter suggestions: Try only takin=
g an=20
"opening" position in the QQQ when the 13 (21, or your number of cho=
ice)=20
SMA is pointing in the direction of your trade. Sounds too simple,=
=20
right? You can apply the same approach by using any number of linea=
r=20
regression tools. Pick a "trend identifier" (and believe me, trend =
is=20
the hardest thing to wrap your arms around), and only trade in the direct=
ion=20
of the trend. Yes, it's that easy. Eliminate the "stinkin" tr=
ades=20
that were initiated against the trend. A 13 day SMA is a starting p=
oint=20
and with the ability to "optimize" using AB, you can identify many averag=
es=20
that should improve the overall performance and keep you (most times=
) on=20
the right side of the market.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=3DArial size=3D2>Sorry, must get back to the grains... th=
ey are=20
cookin' in the fields and cookin' on the CBOT.</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=3DArial size=3D2>Take care,</FONT></DIV>
<DIV> </DIV>
<DIV><FONT face=3DArial size=3D2>Steve Karnish, CTA<BR>Cedar Creek Tradin=
g<BR><A=20
href=3D"http://www.cedarcreektrading.com";>www.cedarcreektrading.com</A><B=
R>1-877-668-1125</FONT></DIV><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>
------=_NextPart_001_0101_01C231C9.C35302A0--
Attachment:
gif00419.gif
Description: GIF image
Title: AmiBroker System Test Report
Settings
Initial Equity:
10000
Periodicity/Positions:
Daily/Long Short
Commissions:
0.00 %
Annual interest rate:
0.00%
Range:
3/24/2000 - 7/22/2002
Apply to:
Current Symbol
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
1
Sell delay:
1
Short trades
Short price:
Open
Cover price:
Open
Short delay:
1
Cover delay:
1
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
0.00
Value:
0.00
Exit at stop?
no
Exit at stop?
no
Trailing stop:
disabled
Value:
0.00
Exit at stop?
no
Formula/*StochRSI on the QQQ's with EMA
Courtesy: Steve Karnish
Optimized for 3/24/2000 - 7/22/2002
Settings: Buy/Sell/Short/Cover = Next Day Open
Long and Short
Commissions = 0
Stops and Targets = disabled
*/
StochRsi=EMA((RSI(8 )-LLV(RSI(8 ),8 ))/(HHV(RSI(8 ),8 )-LLV(RSI(8 ),8 )),3)*100;
Buy=Cross(17,StochRsi) AND EMA(C,30) < C;
Sell=Cross(StochRsi,83);
Short=Cross(StochRsi,83) AND EMA(C,30 ) > C;
Cover=Cross(17,StochRsi);
ApplyStop(2,1,9,0);
Filter=1;
/* Below is an Equity Plot by the quarter
Copy this whole page into an indicator
window to make it work
Courtesy: Herman van den Bergen
*/
E = Equity();
Plot(E,"T3xx QQQ",1,1);
nm = 3; //number of months for equity breakdown >1
m = Cum(Month() != Ref(Month(),-1));
Ok = Cross(m/nm,int(m/nm));
E = ValueWhen(OK,E);
Plot(E,"Monthly Equity",6,1);
Overall performance summary
Total net profit:
19718.55
Total commissions paid:
0.00
Return on account:
197.19 %
Open position gain/loss
1689.68
Buy&Hold profit:
-7969.69
Bars (avg. days) in test:
582 (851)
Buy&Hold % return:
-79.70%
System to Buy&Hold index:
347.42%
Annual system % return:
59.55%
Annual B&H % return:
-49.53%
System drawdown:
-458.82
B&H drawdown:
-8034.39
Max. system drawdown:
-3919.94
B&H max. drawdown:
-8292.33
Max. system % drawdown:
-27.82%
B&H max. % drawdown:
-80.84%
Max. trade drawdown:
-3919.94
Max. trade % drawdown:
-27.82%
Trade drawdown:
-3121.83
Total number of trades:
22
Percent profitable:
68.2%
Number winning trades:
15
Number losing trades:
7
Profit of winners:
22405.27
Loss of losers:
-4376.40
Total # of bars in winners:
112
Total # of bars in losers:
44
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
3237.83
Largest losing trade:
-1677.33
# of bars in largest winner:
6
# bars in largest loser:
4
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
1493.68
Average losing trade:
-625.20
Avg. # of bars in winners:
7.5
Avg. # bars in losers:
6.3
Avg. commission paid in winner:
0.00
Avg. commission paid in loser:
0.00
Max consec. winners:
7
Max consec. losers:
2
Bars out of the market:
423
Interest earned:
0.00
Exposure:
27.3%
Risk adjusted ann. return:
217.96%
Ratio avg win/avg loss:
2.39
Avg. trade (win & loss):
819.49
Profit factor:
5.12
Performance for QQQ
Total net profit:
19718.55
Total commissions paid:
0.00
Return on account:
197.19 %
Open position gain/loss
1689.68
Buy&Hold profit:
-7969.69
Bars (days) in test:
582 (851)
Buy&Hold % return:
-79.70%
System to Buy&Hold index:
347.42%
Annual system % return:
59.55%
Annual B&H % return:
-49.53%
System drawdown:
-458.82
B&H drawdown:
-8034.39
Max. system drawdown:
-3919.94
B&H max. drawdown:
-8292.33
Max. system % drawdown:
-27.82%
B&H max. % drawdown:
-80.84%
Max. trade drawdown:
-3919.94
Max. trade % drawdown:
-27.82%
Trade drawdown:
-3121.83
Total number of trades:
22
Percent profitable:
68.2%
Number winning trades:
15
Number losing trades:
7
Profit of winners:
22405.27
Loss of losers:
-4376.40
Total # of bars in winners:
112
Total # of bars in losers:
44
Commissions paid in winners:
0.00
Commissions paid in losers:
0.00
Largest winning trade:
3237.83
Largest losing trade:
-1677.33
# of bars in largest winner:
6
# bars in largest loser:
4
Commission paid in largest winner:
0.00
Commission paid in largest loser:
0.00
Average winning trade:
1493.68
Average losing trade:
-625.20
Avg. # of bars in winners:
7.5
Avg. # bars in losers:
6.3
Avg. commission paid in winner:
0.00
Avg. commission paid in loser:
0.00
Max consec. winners:
7
Max consec. losers:
2
Bars out of the market:
423
Interest earned:
0.00
Exposure:
27.3%
Risk adjusted ann. return:
217.96%
Ratio avg win/avg loss:
2.39
Avg. trade (win & loss):
819.49
Profit factor:
5.12
Trade list for QQQ
Trade
Entry date
Entry price
Exit date
Exit price
Position size
Net Profit
Equity value
Out
3/24/2000
117.47
4/26/2000
90.63
0.00
0.00
10000.00
Short (trail)
4/26/2000
90.63
4/28/2000
93.56
10000.00
-323.29
9676.71
Out
4/28/2000
93.56
5/17/2000
89.25
0.00
0.00
9676.71
Short
5/17/2000
89.25
5/24/2000
75.00
9676.71
1545.02
11221.73
Out
5/24/2000
75.00
8/8/2000
92.06
0.00
0.00
11221.73
Short (trail)
8/8/2000
92.06
8/18/2000
95.94
11221.73
-472.96
10748.77
Out
8/18/2000
95.94
10/20/2000
84.50
0.00
0.00
10748.77
Short (trail)
10/20/2000
84.50
10/27/2000
80.84
10748.77
465.57
11214.34
Out
10/27/2000
80.84
11/6/2000
83.63
0.00
0.00
11214.34
Short
11/6/2000
83.63
11/13/2000
70.94
11214.34
1701.66
12916.00
Out
11/13/2000
70.94
12/28/2000
60.78
0.00
0.00
12916.00
Short (trail)
12/28/2000
60.78
1/4/2001
61.63
12916.00
-180.63
12735.38
Out
1/4/2001
61.63
1/12/2001
62.75
0.00
0.00
12735.38
Short (trail)
1/12/2001
62.75
1/19/2001
68.13
12735.38
-1091.89
11643.48
Out
1/19/2001
68.13
3/8/2001
49.35
0.00
0.00
11643.48
Short (trail)
3/8/2001
49.35
3/23/2001
43.55
11643.48
1368.43
13011.92
Out
3/23/2001
43.55
3/26/2001
43.47
0.00
0.00
13011.92
Short
3/26/2001
43.47
4/3/2001
37.20
13011.92
1876.80
14888.72
Out
4/3/2001
37.20
4/11/2001
42.16
0.00
0.00
14888.72
Short (trail)
4/11/2001
42.16
4/18/2001
43.72
14888.72
-550.91
14337.81
Out
4/18/2001
43.72
4/27/2001
45.15
0.00
0.00
14337.81
Long (trail)
4/27/2001
45.15
5/15/2001
44.90
14337.81
-79.39
14258.42
Out
5/15/2001
44.90
6/26/2001
42.54
0.00
0.00
14258.42
Short
6/26/2001
42.54
7/11/2001
40.42
14258.42
710.58
14969.00
Out
7/11/2001
40.42
8/1/2001
42.63
0.00
0.00
14969.00
Short
8/1/2001
42.63
8/9/2001
40.41
14969.00
779.52
15748.52
Out
8/9/2001
40.41
8/28/2001
39.32
0.00
0.00
15748.52
Short
8/28/2001
39.32
9/5/2001
35.49
15748.52
1534.00
17282.52
Out
9/5/2001
35.49
10/1/2001
28.85
0.00
0.00
17282.52
Short (trail)
10/1/2001
28.85
10/4/2001
31.65
17282.52
-1677.33
15605.19
Out
10/4/2001
31.65
11/1/2001
34.44
0.00
0.00
15605.19
Long
11/1/2001
34.44
11/8/2001
38.55
15605.19
1862.29
17467.48
Out
11/8/2001
38.55
12/4/2001
39.34
0.00
0.00
17467.48
Long
12/4/2001
39.34
12/7/2001
42.49
17467.48
1398.64
18866.12
Out
12/7/2001
42.49
12/17/2001
40.02
0.00
0.00
18866.12
Long
12/17/2001
40.02
1/7/2002
42.11
18866.12
985.26
19851.38
Out
1/7/2002
42.11
1/29/2002
39.13
0.00
0.00
19851.38
Short
1/29/2002
39.13
2/6/2002
36.84
19851.38
1161.76
21013.14
Out
2/6/2002
36.84
2/14/2002
37.15
0.00
0.00
21013.14
Short
2/14/2002
37.15
2/25/2002
34.00
21013.14
1781.73
22794.87
Out
2/25/2002
34.00
4/17/2002
35.40
0.00
0.00
22794.87
Short
4/17/2002
35.40
4/25/2002
32.30
22794.87
1996.16
24791.03
Out
4/25/2002
32.30
6/19/2002
28.10
0.00
0.00
24791.03
Short
6/19/2002
28.10
6/26/2002
24.43
24791.03
3237.83
28028.87
Out
6/26/2002
24.43
7/18/2002
25.38
0.00
0.00
28028.87
Open Short
7/18/2002
25.38
7/22/2002
23.85
28028.87
1689.68
29718.55
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