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I
tried the following...
P=Optimize<FONT color=#000000
size=1>("P"<FONT color=#000000
size=1>,7<FONT color=#000000
size=1>,3<FONT color=#000000
size=1>,50<FONT color=#000000
size=1>,1);
StochCCI=E<FONT
color=#0000ff size=1>MA((<FONT
color=#0000ff size=1>CCI(P)-<FONT
color=#0000ff size=1>LLV(<FONT
color=#0000ff size=1>CCI(P),P))/(<FONT
color=#0000ff size=1>HHV(<FONT
color=#0000ff size=1>CCI(P),P)-<FONT
color=#0000ff size=1>LLV(<FONT
color=#0000ff size=1>CCI(P),P)),<FONT
color=#ff00ff size=1>3)*<FONT
color=#ff00ff size=1>100;
tmpMA = 21<FONT color=#000000
size=1>; <FONT color=#008000
size=1>//optimize("MA",21,5,40,1);
BL = Optimize<FONT color=#000000
size=1>("BL"<FONT color=#000000
size=1>,13<FONT color=#000000
size=1>,5<FONT color=#000000
size=1>,80<FONT color=#000000
size=1>,1);
SL = 100<FONT face="Courier New"
color=#000000 size=1> - BL;<FONT
color=#ff6820 size=1>
Buy=<FONT color=#0000ff
size=1>Cross(BL,StochCCI) <FONT
color=#ff6820 size=1>AND <FONT
color=#0000ff size=1>Ref(<FONT
color=#0000ff size=1>MA(<FONT
color=#ff6820 size=1>C<FONT color=#000000
size=1>,tmpMA),-1<FONT color=#000000
size=1>) <=<FONT
color=#000000 size=1> MA<FONT
color=#000000 size=1>(C<FONT
color=#000000 size=1>,tmpMA);
Sell=<FONT color=#0000ff
size=1>Cross(StochCCI,SL);<FONT
color=#ff6820 size=1>
Short=<FONT color=#0000ff
size=1>Cross(StochCCI,SL) <FONT
color=#ff6820 size=1>AND <FONT
color=#0000ff size=1>Ref(<FONT
color=#0000ff size=1>MA(<FONT
color=#ff6820 size=1>C<FONT color=#000000
size=1>,tmpMA),-1<FONT color=#000000
size=1>) >=<FONT
color=#000000 size=1> MA<FONT
color=#000000 size=1>(C<FONT
color=#000000 size=1>,tmpMA);
Cover=<FONT color=#0000ff
size=1>Cross(BL,StochCCI);
and though profitable, didn't
come anywhere near 405% let alone 1000+%, can anyone provide assistance to
duplicate these numbers...
<FONT
size=1>Thanks
<FONT face=Tahoma
size=2>-----Original Message-----From: Dimitris Tsokakis
[mailto:TSOKAKIS@xxxx]Sent: Thursday, July 25, 2002 4:35
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Optimal solutions of the past and future profits
Last June 5, 2001, I posted to this list the Tushar Chande
Stochastic RSI and my Stochastic CCI.
<A
href="">http://groups.yahoo.com/group/amibroker/message/2394
I will not speak again for Stochastic RSI, we have seen a
lot of details for this popular indicator, which
presents now an optimal solution [8-13-87] for QQQ, running
at a +250% for the last 30 months.
Besides the difficult question of the selection of this
[8-13-87] combination [although I read ...carefully
the messages, I have not seen any kind of
explanation, serious or humorous, by the user of this
combination]
I wrote that this +250% is not one of the best QQQ
performances.
We have seen a lot of QQQ systems running between +500% and
+600% or better.
I understand that it is not fair to compare different
design approaches. It is very difficult for Stochastic RSI to
be competitive to D-ratio or RSIt or MeanRSI
TTM.
So, let us compare the quite similar Stochastic RSI and
Stochastic CCI.
Beginning from March 2000 till June 2001, there were
two almost equal solutions for the respective
StochCCI system, [I follow symmetric triggering just for the
comparison under equal terms, my personal opinion
for symmetric triggering is analytically expressed inother
postings]running at +303% and +302%, with
equal # of 10 trades/9 winners/1 loser, as you may see
in the StochCCI 1 gif <FONT
size=2>.
You could select one of them or both of them.
Now, one year later, we may see the [7,13] at +405% and the
[6,15] at +1199%.[StoCCI2 gif]
I do not believe that there were serious criteria on June
2001 to select the [7,13] or the [6,15].
CCI differentiation is almost invisible, if you change the
period from 6 to 7.
You surely need a magnifier to separate BuyLevel=13from
BuyLevel=15 .
If we forget these details, a +1199% may sounds
great.
It is up to you to decide if you prefer attractive
calculations or positive trading techniques.
Anyway, if you are interested in this invividualistic
trading style and if you prefer Stochastic oscillators, try
Stochastic CCI among the others. It is not popular but it is
a bit smarter.
Dimitris TsokakisYour
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