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Thanks for the help! That fixed it.
For those that are still interested (as if) I've attached the gif and
the formula is below:
StochRsi=EMA((RSI(8)-LLV(RSI(8),8))/(HHV(RSI(8),8)-LLV(RSI(8),8)),3)*100
;
Buy=Cross(17,StochRsi)AND Ref(MA(C,21),-1) < MA(C,21);
Sell=Cross(StochRsi,83);
Short=Cross(StochRsi,83) AND Ref(MA(C,21),-1) > MA(C,21);
Cover=Cross(17,StochRsi);
I've plotted the storsi in the middle pane and the difference of the 21
day avg and the 21 day avg a day ago on the bottom pane.
WHEW and thanks again Steve!
dingo
-----Original Message-----
From: HB [mailto:hbahlool0542@x...]
Sent: Monday, July 22, 2002 11:59 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] StoRSI
Hey dingo, go to sleep ! (Then again, so should I !)
It seems that Steve's filter was that "today's SMA must be larger than
yesterdays".
For that you don't need to use slope. Just use the condition: Ref(MA(C,
21), -1) < MA(C, 21)
If you wanted to use slope, slope is equal to (change in y)/(change x)
where x is # of days and y is the variable.
So, slope would be: (Ref(MA(C, 21), -1) - MA(C, 21))/ (1)
HB
----- Original Message -----
From: dingo <mailto:dingo@x...>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Monday, July 22, 2002 10:36 PM
Subject: RE: [amibroker] StoRSI
Thanks for looking at it!
I feel like the slope part is wrong. But according to some prior posts
that is how it was formulated..
I'm also not sure if the sells and covers are correct. They look too
"naked" to me.
Sheesh! Now I'll never get to sleep!
Someone have a little pity on me, PLEASE!
dingo
-----Original Message-----
From: HB [mailto:hbahlool0542@x...]
Sent: Monday, July 22, 2002 10:32 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] StoRSI
Ignore my last post ! I just looked at your code more closely.
----- Original Message -----
From: HB <mailto:hbahlool0542@x...>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Monday, July 22, 2002 10:30 PM
Subject: Re: [amibroker] StoRSI - Getting Closer.. But Need Help
>From Steve's comments, it seems that he is not checking for a cross. He
says a buy signal occurs when the "indicator closes below the StoRSI
level of 17". This would actually occur before the cross condition,
right when the indicator dips below the 17 line and is about to turn up
and cross it.
Same thing for the sell: "sell the following day the StoRSI closes above
83".
You might want to try that as conditions. Keep us posted !
HB
----- Original Message -----
From: dingo <mailto:dingo@x...>
To: amibroker@xxxxxxxxxxxxxxx
Sent: Monday, July 22, 2002 10:14 PM
Subject: RE: [amibroker] StoRSI - Getting Closer.. But Need Help
Here's my latest attempt:
/*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;
slope = ( MA(C,21) - Ref( MA(C,21) ,-1))/2;
Buy=Cross(17,StochRsi) AND MA(C,21) < C AND slope > 0;
Sell=Cross(StochRsi,83);
Short=Cross(StochRsi,83) AND MA(C,21 ) > C AND slope < 0;
Cover=Cross(17,StochRsi);
I'm missing some signals when compared to Steve's latest graph.
Can someone give me a pointer?
-----Original Message-----
From: Steve Karnish [mailto:kernish@x...]
Sent: Monday, July 22, 2002 9:47 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] StoRSI
Yuki,
As usual, you are very perceptive and wise. I was waiting for someone
to
comment on the last six months of buy signals. Unfortunately, the first
comment I received was someone noticing that the trading system did "a
really good job picking the tops (sell signals), but not so good with
the
buy signals...can you tell me why that might be"? Sometimes you just
have
to smile. As Elvis sings (Costello, not the King): "I used to be
disgusted, now I just amused..."
Since you have hit the mark with your comments, here's a little filter
for
improving the QQQ approach. Only take trades in the direction of
today's 21
day SMA. If you trigger a "buy signal" (indicator closes below the
StoRSI
level of 17), then today's SMA must be larger than yesterdays. Exit
rules
are the same (sell the following day the StoRSI closes above 83), except
when the SMA has turned negative and then you simply reverse the
position.
Attached is the same StoRSI QQQ chart but with the 21 day SMA "filter.
It's
profited on 9 of the last 10 trades and has 17 winners in the last 20
trades.
Take care,
Steve Karnish, CTA
Cedar Creek Trading
www.cedarcreektrading.com
1-877-668-1125
----- Original Message -----
From: Yuki Taga <yukitaga@xxxx>
To: Steve Karnish <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, July 22, 2002 4:29 PM
Subject: Re: [amibroker] QQQ/StoRSI
> Hi Steve,
>
> Just to add a couple of things to your fine comments:
>
> Tuesday, July 23, 2002, 12:09:31 AM, you wrote:
>
> SK> A couple general comments on the StoRSI/QQQ approach:
>
> SK> Filter suggestions: Try only taking an "opening" position in the
> SK> QQQ when the 13 (21, or your number of choice) SMA is pointing in
> SK> the direction of your trade. Sounds too simple, right? You can
> SK> apply the same approach by using any number of linear regression
> SK> tools. Pick a "trend identifier" (and believe me, trend is the
> SK> hardest thing to wrap your arms around), and only trade in the
> SK> direction of the trend. Yes, it's that easy. Eliminate the
> SK> "stinkin" trades that were initiated against the trend. A 13 day
> SK> SMA is a starting point and with the ability to "optimize" using
> SK> AB, you can identify many averages that should improve the
> SK> overall performance and keep you (most times) on the right side
> SK> of the market.
>
> Another simple idea for improving percentage winners here is to NOT
> take signals where price doesn't react to the signal itself. You got
> a buy signal, but prices opened sharply lower the next morning, and
> you took the signal anyway? Okay. It will work sometimes, but when
> one does that one is saying that one's market genie is now smarter
> than the market as a whole. And when one is trading a very short
> term system (as I like to do), one needs to be very sensitive to
> short term price, IMO. Maybe one of you coders out there could run
> some tests and figure out the results for the following:
>
> 1) what percentage of trades went south (or had uncomfortably --
> yeah, hard to agree on what that means for everyone -- large draw
> downs before coming back) when price failed to exceed the high of the
> signal day on the day you were supposed to pull the trigger
>
> 2) what is the optimal waiting period for price to exceed the high of
> the signal day (next bar only? two bars? four bars?) IOW, when
> does the signal become null and void when price fails to follow
> through, based on a back test
>
> Finally, Steve and I both yearn for complete hands-off automation.
> But there's clearly a trade off. On the plus side, if you really
> have a good system, keeping hands off keeps you from mucking it up.
> On the down side, you have to live with situations from time to time
> that are probably pretty easy to second guess. Specifically, taking
> counter trend signals on a short term oscillator when there is no
> nearby reasonable price support (the place where you cut and run if
> it fails) can lead to some pain. And the obvious exit is, to me,
> rather obvious. :)
>
> A couple of comments on my attached cut of Steve's gif.
>
> Best,
>
> Yuki
>
> mailto:yukitaga@x...
>
>
>
> Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
>
>
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------=_NextPart_001_0127_01C2323E.1EE6AB70
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<HTML><HEAD>
<META HTTP-EQUIV=3D"Content-Type" CONTENT=3D"text/html; charset=3Dus-ascii"=
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<TITLE>Message</TITLE>
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<BODY bgColor=3D#ffffff>
<DIV><SPAN class=3D003262915-23072002><FONT face=3DArial color=3D#0000ff si=
ze=3D2>I hate=20
waking up with a keyboard impression in my forehead!!</FONT></SPAN></DIV>
<DIV><SPAN class=3D003262915-23072002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D003262915-23072002><FONT face=3DArial color=3D#0000ff si=
ze=3D2>Thanks=20
for the help! That fixed it. </FONT></SPAN></DIV>
<DIV><SPAN class=3D003262915-23072002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D003262915-23072002><FONT face=3DArial color=3D#0000ff si=
ze=3D2>For=20
those that are still interested (as if) I've attached the gif and the formu=
la is=20
below:</FONT></SPAN></DIV>
<DIV><SPAN class=3D003262915-23072002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D003262915-23072002><FONT size=3D1></FONT><FONT size=3D2>=
<FONT=20
face=3D"Courier New"><FONT size=3D1>
<P></FONT><FONT size=3D2>StochRsi=3D<FONT color=3D#0000ff>EMA</FONT>((<FONT=
=20
color=3D#0000ff>RSI</FONT>(<FONT color=3D#ff00ff>8</FONT>)-<FONT=20
color=3D#0000ff>LLV</FONT>(<FONT color=3D#0000ff>RSI</FONT>(<FONT=20
color=3D#ff00ff>8</FONT>),<FONT color=3D#ff00ff>8</FONT>))/(<FONT=20
color=3D#0000ff>HHV</FONT>(<FONT color=3D#0000ff>RSI</FONT>(<FONT=20
color=3D#ff00ff>8</FONT>),<FONT color=3D#ff00ff>8</FONT>)-<FONT=20
color=3D#0000ff>LLV</FONT>(<FONT color=3D#0000ff>RSI</FONT>(<FONT=20
color=3D#ff00ff>8</FONT>),<FONT color=3D#ff00ff>8</FONT>)),<FONT=20
color=3D#ff00ff>3</FONT>)*<FONT color=3D#ff00ff>100</FONT>; </FONT></P><B>
<P>Buy</B>=3D<FONT color=3D#0000ff>Cross</FONT>(<FONT=20
color=3D#ff00ff>17</FONT>,StochRsi)<B>AND</B> <FONT color=3D#0000ff>Ref</FO=
NT>(<FONT=20
color=3D#0000ff>MA</FONT>(<B>C</B>,<FONT color=3D#ff00ff>21</FONT>),-<FONT=
=20
color=3D#ff00ff>1</FONT>) < <FONT color=3D#0000ff>MA</FONT>(<B>C</B>,<FO=
NT=20
color=3D#ff00ff>21</FONT>);</P><B>
<P>Sell</B>=3D<FONT color=3D#0000ff>Cross</FONT>(StochRsi,<FONT=20
color=3D#ff00ff>83</FONT>);</P><B>
<P>Short</B>=3D<FONT color=3D#0000ff>Cross</FONT>(StochRsi,<FONT=20
color=3D#ff00ff>83</FONT>) <B>AND</B> <FONT color=3D#0000ff>Ref</FONT>(<FON=
T=20
color=3D#0000ff>MA</FONT>(<B>C</B>,<FONT color=3D#ff00ff>21</FONT>),-<FONT=
=20
color=3D#ff00ff>1</FONT>) > <FONT color=3D#0000ff>MA</FONT>(<B>C</B>,<FO=
NT=20
color=3D#ff00ff>21</FONT>); </P><B>
<P>Cover</B>=3D<FONT color=3D#0000ff>Cross</FONT>(<FONT=20
color=3D#ff00ff>17</FONT>,StochRsi);</P></FONT></FONT></SPAN><SPAN=20
class=3D003262915-23072002><FONT face=3D"Courier New"=20
color=3D#0000ff></FONT></SPAN></DIV>
<DIV><SPAN class=3D003262915-23072002><FONT face=3DArial color=3D#0000ff si=
ze=3D2>I've=20
plotted the storsi in the middle pane and the difference of the 21 day=20
avg and the 21 day avg a day ago on the bottom pane.</FONT></SPAN></DI=
V>
<DIV><SPAN class=3D003262915-23072002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D003262915-23072002><FONT face=3DArial color=3D#0000ff=20
size=3D2>WHEW and thanks again Steve!</FONT></SPAN></DIV>
<DIV><SPAN class=3D003262915-23072002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D003262915-23072002><FONT face=3DArial color=3D#0000ff=20
size=3D2>dingo</FONT></SPAN></DIV>
<DIV><SPAN class=3D003262915-23072002><FONT face=3DArial color=3D#0000ff=20
size=3D2></FONT></SPAN> </DIV>
<DIV></DIV>
<DIV><FONT face=3DTahoma size=3D2>-----Original Message-----<BR><B>From:</B=
> HB=20
[mailto:hbahlool0542@x...] <BR><B>Sent:</B> Monday, July 22, 2002 11:=
59=20
PM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B> Re: [amibroke=
r]=20
StoRSI<BR><BR></DIV></FONT>
<BLOCKQUOTE style=3D"MARGIN-RIGHT: 0px">
<DIV><FONT face=3DArial size=3D2>Hey dingo, go to sleep ! (Then aga=
in, so=20
should I !)</FONT></DIV>
<DIV><FONT face=3DArial size=3D2></FONT> </DIV>
<DIV><FONT face=3DArial size=3D2>It seems that Steve's filter was that "t=
oday's=20
SMA must be larger than yesterdays".</FONT></DIV>
<DIV><FONT face=3DArial size=3D2></FONT> </DIV>
<DIV><FONT size=3D2><FONT face=3DArial>For that you don't need to use slo=
pe. Just=20
use the condition: Ref(MA(C, 21), -1) < MA(C, 21</FONT><FONT size=3D1>=
<FONT=20
face=3DArial size=3D2>)</FONT></FONT></FONT></DIV>
<DIV><FONT size=3D2><FONT size=3D1><FONT face=3DArial=20
size=3D2></FONT></FONT></FONT> </DIV>
<DIV><FONT face=3DArial size=3D2>If you wanted to use slope, slope is equ=
al to=20
(change in y)/(change x) where x is # of days and y is the=20
variable. </FONT></DIV>
<DIV><FONT face=3DArial size=3D2></FONT> </DIV>
<DIV><FONT face=3DArial size=3D2>So, slope would be: </FONT><FONT face=3D=
Arial=20
size=3D2>(Ref(MA(C, 21), -1) - MA(C, 21<FONT size=3D1><FONT face=3DArial =
size=3D2>))/=20
(1)</FONT></FONT></FONT></DIV>
<DIV><FONT face=3DArial size=3D2></FONT><FONT size=3D+0><FONT size=3D+0><=
FONT=20
face=3DArial size=3D2></FONT></FONT></FONT> </DIV>
<DIV><FONT size=3D+0><FONT size=3D+0><FONT face=3DArial=20
size=3D2>HB</FONT></DIV></FONT></FONT>
<DIV><FONT face=3DArial size=3D2></FONT> </DIV>
<BLOCKQUOTE=20
style=3D"PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-=
LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
<DIV style=3D"FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV=20
style=3D"BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black"><B>F=
rom:</B>=20
<A title=3Ddingo@xxxx href=3D"mailto:dingo@xxxx";>dingo<=
/A>=20
</DIV>
<DIV style=3D"FONT: 10pt arial"><B>To:</B> <A title=3Damibroker@xxxx=
oups.com=20
href=3D"mailto:amibroker@xxxxxxxxxxxxxxx";>amibroker@xxxxxxxxxxxxxxx</A>=
</DIV>
<DIV style=3D"FONT: 10pt arial"><B>Sent:</B> Monday, July 22, 2002 10:3=
6=20
PM</DIV>
<DIV style=3D"FONT: 10pt arial"><B>Subject:</B> RE: [amibroker] StoRSI<=
/DIV>
<DIV><BR></DIV>
<DIV><SPAN class=3D441453302-23072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2>Thanks for looking at it!</FONT></SPAN></DIV>
<DIV><SPAN class=3D441453302-23072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D441453302-23072002><FONT face=3DArial color=3D#0000f=
f size=3D2>I=20
feel like the slope part is wrong. But according to some prior posts th=
at is=20
how it was formulated..</FONT></SPAN></DIV>
<DIV><SPAN class=3D441453302-23072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D441453302-23072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2>I'm also not sure if the sells and covers are correct. They lo=
ok too=20
"naked" to me.</FONT></SPAN></DIV>
<DIV><SPAN class=3D441453302-23072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D441453302-23072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2>Sheesh! Now I'll never get to sleep! </FONT></SPAN=
></DIV>
<DIV><SPAN class=3D441453302-23072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D441453302-23072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2>Someone have a little pity on me, PLEASE!</FONT></SPAN></DIV>
<DIV><SPAN class=3D441453302-23072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2></FONT></SPAN> </DIV>
<DIV><SPAN class=3D441453302-23072002><FONT face=3DArial color=3D#0000f=
f=20
size=3D2>dingo</FONT></SPAN></DIV>
<BLOCKQUOTE style=3D"MARGIN-RIGHT: 0px">
<DIV></DIV>
<DIV class=3DOutlookMessageHeader lang=3Den-us dir=3Dltr align=3Dleft=
><FONT=20
face=3DTahoma size=3D2>-----Original Message-----<BR><B>From:</B> HB=
=20
[mailto:hbahlool0542@x...] <BR><B>Sent:</B> Monday, July 22, 20=
02=20
10:32 PM<BR><B>To:</B> amibroker@xxxxxxxxxxxxxxx<BR><B>Subject:</B>=20
[amibroker] StoRSI<BR><BR></FONT></DIV>
<DIV><FONT face=3DArial size=3D2>Ignore my last post ! I just l=
ooked at=20
your code more closely.</FONT></DIV>
<DIV> </DIV>
<BLOCKQUOTE=20
style=3D"PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BOR=
DER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
<DIV style=3D"FONT: 10pt arial">----- Original Message ----- </DIV>
<DIV=20
style=3D"BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">=
<B>From:</B>=20
<A title=3Dhbahlool0542@xxxx=20
href=3D"mailto:hbahlool0542@xxxx";>HB</A> </DIV>
<DIV style=3D"FONT: 10pt arial"><B>To:</B> <A=20
title=3Damibroker@xxxxxxxxxxxxxxx=20
href=3D"mailto:amibroker@xxxxxxxxxxxxxxx";>amibroker@xxxxxxxxxxxxxxx=
</A>=20
</DIV>
<DIV style=3D"FONT: 10pt arial"><B>Sent:</B> Monday, July 22, 2002 =
10:30=20
PM</DIV>
<DIV style=3D"FONT: 10pt arial"><B>Subject:</B> Re: [amibroker] Sto=
RSI -=20
Getting Closer.. But Need Help</DIV>
<DIV><BR></DIV>
<DIV><FONT face=3DArial size=3D2>From Steve's comments, it seems th=
at he is=20
not checking for a cross. He says a buy signal occurs when th=
e=20
"</FONT><FONT face=3DArial size=3D2>indicator closes below the StoR=
SI level=20
of 17". This would actually occur before the cross condition,=
=20
right when the indicator dips below the 17 line and is about to tur=
n up=20
and cross it.</FONT></DIV>
<DIV><FONT face=3DArial size=3D2></FONT> </DIV>
<DIV><FONT face=3DArial size=3D2>Same thing for the sell: "sell the=
=20
following day the StoRSI closes above 83".</FONT></DIV>
<DIV><FONT face=3DArial size=3D2></FONT> </DIV>
<DIV><FONT face=3DArial size=3D2>You might want to try that as=20
conditions. Keep us posted !</FONT></DIV>
<DIV><FONT face=3DArial size=3D2></FONT> </DIV>
<DIV><FONT face=3DArial size=3D2>HB</FONT></DIV>
<BLOCKQUOTE=20
style=3D"PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; B=
ORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
<DIV style=3D"FONT: 10pt arial">----- Original Message ----- </DI=
V>
<DIV=20
style=3D"BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black=
"><B>From:</B>=20
<A title=3Ddingo@xxxx href=3D"mailto:dingo@xxxx";>=
dingo</A>=20
</DIV>
<DIV style=3D"FONT: 10pt arial"><B>To:</B> <A=20
title=3Damibroker@xxxxxxxxxxxxxxx=20
href=3D"mailto:amibroker@xxxxxxxxxxxxxxx";>amibroker@xxxx=
om</A>=20
</DIV>
<DIV style=3D"FONT: 10pt arial"><B>Sent:</B> Monday, July 22, 200=
2 10:14=20
PM</DIV>
<DIV style=3D"FONT: 10pt arial"><B>Subject:</B> RE: [amibroker] S=
toRSI -=20
Getting Closer.. But Need Help</DIV>
<DIV><BR></DIV><TT>Here's my latest attempt:<BR><BR>/*StochRSI on=
the=20
QQQ's with EMA<BR> Courtesy: Steve=20
Karnish<BR><BR> Optimized for 3/24/2000 - 7/22/2002=20
<BR> Settings: Buy/Sell/Short/Cover =3D N=
ext Day=20
Open<BR> Long and=20
Short<BR> Commissions =3D=20
0<BR> Stops and Targets =3D=20
disabled<BR>*/<BR><BR>StochRsi=3DEMA((RSI(8 )-LLV(RSI(8 ),8=20
))/(HHV(RSI(8 ),8 )-LLV(RSI(8 ),8<BR>)),3)*100; <BR><BR>slope =3D=
(=20
MA(C,21) - Ref( MA(C,21) ,-1))/2;<BR><BR>Buy=3DCross(17,StochRsi)=
AND=20
MA(C,21) < C AND slope > 0; <BR>Sell=3DCross(StochRsi,83);&=
nbsp;=20
<BR><BR>Short=3DCross(StochRsi,83) AND MA(C,21 ) > C AND slope=
<=20
0; <BR>Cover=3DCross(17,StochRsi);<BR><BR><BR>I'm missing s=
ome=20
signals when compared to Steve's latest graph.<BR><BR>Can someone=
give=20
me a pointer?<BR><BR>-----Original Message-----<BR>From: Steve Ka=
rnish=20
[mailto:kernish@x...] <BR>Sent: Monday, July 22, 2002 9:4=
7=20
PM<BR>To: amibroker@xxxxxxxxxxxxxxx<BR>Subject: [amibroker]=20
StoRSI<BR><BR><BR>Yuki,<BR><BR>As usual, you are very perceptive =
and=20
wise. I was waiting for someone<BR>to<BR>comment on the las=
t six=20
months of buy signals. Unfortunately, the first<BR>comment =
I=20
received was someone noticing that the trading system did "a<BR>r=
eally=20
good job picking the tops (sell signals), but not so good=20
with<BR>the<BR>buy signals...can you tell me why that might be"?&=
nbsp;=20
Sometimes you just<BR>have<BR>to smile. As Elvis sings=20
(Costello, not the King): "I used to be<BR>disgusted, now I=
just=20
amused..."<BR><BR>Since you have hit the mark with your comments,=
=20
here's a little filter<BR>for<BR>improving the QQQ approach. =
;=20
Only take trades in the direction of<BR>today's 21<BR>day SMA.&nb=
sp;=20
If you trigger a "buy signal" (indicator closes below=20
the<BR>StoRSI<BR>level of 17), then today's SMA must be larger th=
an=20
yesterdays. Exit<BR>rules<BR>are the same (sell the followi=
ng=20
day the StoRSI closes above 83), except<BR>when the SMA has turne=
d=20
negative and then you simply reverse the<BR>position.<BR><BR>Atta=
ched=20
is the same StoRSI QQQ chart but with the 21 day SMA=20
"filter.<BR>It's<BR>profited on 9 of the last 10 trades and has 1=
7=20
winners in the last 20<BR>trades.<BR><BR>Take care,<BR><BR>Steve=
=20
Karnish, CTA<BR>Cedar Creek=20
Trading<BR>www.cedarcreektrading.com<BR>1-877-668-1125<BR>-----=20
Original Message -----<BR>From: Yuki Taga=20
<yukitaga@xxxx><BR>To: Steve Karnish=20
<amibroker@xxxxxxxxxxxxxxx><BR>Sent: Monday, July 22, 2002 =
4:29=20
PM<BR>Subject: Re: [amibroker] QQQ/StoRSI<BR><BR><BR>> Hi=20
Steve,<BR>><BR>> Just to add a couple of things to your fin=
e=20
comments:<BR>><BR>> Tuesday, July 23, 2002, 12:09:31 AM, yo=
u=20
wrote:<BR>><BR>> SK> A couple general comments on the=20
StoRSI/QQQ approach:<BR>><BR>> SK> Filter suggestions:&n=
bsp;=20
Try only taking an "opening" position in the<BR>> SK> QQQ w=
hen=20
the 13 (21, or your number of choice) SMA is pointing in<BR>>=
=20
SK> the direction of your trade. Sounds too simple,=20
right? You can<BR>> SK> apply the same approach by us=
ing=20
any number of linear regression<BR>> SK> tools. Pick =
a=20
"trend identifier" (and believe me, trend is the<BR>> SK>=20
hardest thing to wrap your arms around), and only trade in the<BR=
>>=20
SK> direction of the trend. Yes, it's that easy. =20
Eliminate the<BR>> SK> "stinkin" trades that were initiated=
=20
against the trend. A 13 day<BR>> SK> SMA is a startin=
g=20
point and with the ability to "optimize" using<BR>> SK> AB,=
you=20
can identify many averages that should improve the<BR>> SK>=
=20
overall performance and keep you (most times) on the right=20
side<BR>> SK> of the market.<BR>><BR>> Another simple=
idea=20
for improving percentage winners here is to NOT<BR>> take sign=
als=20
where price doesn't react to the signal itself. You got<BR>=
>=20
a buy signal, but prices opened sharply lower the next morning,=20
and<BR>> you took the signal anyway? Okay. It will=
work=20
sometimes, but when<BR>> one does that one is saying that one'=
s=20
market genie is now smarter<BR>> than the market as a whole.&n=
bsp;=20
And when one is trading a very short<BR>> term system (as I li=
ke to=20
do), one needs to be very sensitive to<BR>> short term price,=
=20
IMO. Maybe one of you coders out there could run<BR>> so=
me=20
tests and figure out the results for the following:<BR>><BR>&g=
t; 1)=20
what percentage of trades went south (or had uncomfortably --<BR>=
>=20
yeah, hard to agree on what that means for everyone -- large=20
draw<BR>> downs before coming back) when price failed to excee=
d the=20
high of the<BR>> signal day on the day you were supposed to pu=
ll=20
the trigger<BR>><BR>> 2) what is the optimal waiting period=
for=20
price to exceed the high of<BR>> the signal day (next bar=20
only? two bars? four bars?) IOW, when<BR>> d=
oes=20
the signal become null and void when price fails to follow<BR>>=
;=20
through, based on a back test<BR>><BR>> Finally, Steve and =
I=20
both yearn for complete hands-off automation.<BR>> But there's=
=20
clearly a trade off. On the plus side, if you really<BR>>=
;=20
have a good system, keeping hands off keeps you from mucking it=20
up.<BR>> On the down side, you have to live with situations fr=
om=20
time to time<BR>> that are probably pretty easy to second=20
guess. Specifically, taking<BR>> counter trend signals o=
n a=20
short term oscillator when there is no<BR>> nearby reasonable =
price=20
support (the place where you cut and run if<BR>> it fails) can=
lead=20
to some pain. And the obvious exit is, to me,<BR>> rather obvi=
ous.=20
:)<BR>><BR>> A couple of comments on my attached cut of Ste=
ve's=20
gif.<BR>><BR>> Best,<BR>><BR>> Yuki<BR>><BR>>=20
mailto:yukitaga@x...<BR>><BR>><BR>><BR>> You=
r use=20
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