[amibroker] OUT/UNDERperformance

["Dimitris Tsokakis" <TSOKAKIS@xxxxxxxxx>]

After the RSI() example, we may generalise the OUT/UNDER 
performance using the following definition:
A stock UNDERperforms the market when an Indicator is lower 
than the respective MeanIndicator and
OUTperforms the market when an Indicator is higher than the 
respective MeanIndicator.
To see the impact on trading systems let us give some 
examples:
The MeanStochD, the MeanRSI and the MeanDratio.
In AA window paste the
 
Dratio=500<FONT 
size=2>*(H-L)/(H+L);<FONT face=Verdana 
size=2>
Dratio40=DEMA<FONT 
face="Times New Roman">(Dratio,40<FONT 
size=2>);<FONT face=Verdana 
size=2>
AddToComposite(Dratio40,<FONT 
size=2>"~SUMDratio40","C"<FONT 
face=Verdana size=2><FONT 
face="Times New Roman">);
AddToComposite(StochD(),"~SUMSTOCHD","C");<FONT 
size=2>
AddToComposite(RSI(),"~SUMRSI","C");
AddToComposite(1,"~COUNT","V");
Buy=0;
 
scan for all stocks, all quotations and create the respective 
MeanIndicators
 
MeanDratio=Foreign("~SUMDratio40","C")/Foreign("~COUNT","V");
MeanRSI=Foreign("~SUMRSI","C")/Foreign("~COUNT","V");
MeanStochD=Foreign("~SUMSTOCHD","C")/Foreign("~COUNT","V");
 
useful to write the OUT/UNDERperformance Conditions
 
OUTpSTOCHD=StochD()>MeanStochD;
UNDERpSTOCHD=StochD()<=MeanStochD;
OUTpRSI=RSI()>MeanRSI;
UNDERpRSI=RSI()<=MeanRSI;
Dratio=500*(H-L)/(H+L);<FONT 
face=Verdana size=2><FONT 
face="Times New Roman">
Dratio40=DEMA(Dratio,<FONT 
size=2>40);<FONT 
size=2>
OUTpDRATIO=Dratio40>MeanDratio;
UNDERpDRATIO=Dratio40<=MeanDratio;
 
and, finally, enhance your trading rules with the above 
conditions.
Example
Buy=...your Buy rule here
Sell=...your Sell rule here
Buy=Buy AND OUTpSTOCHD;// Buy only when the stock Outperforms 
the market, according to StochD criterion
Sell=Sell AND UNDERpDRATIO;// Sell only when the stock 
Underperforms the market, according to Dratio  criterion
 
Some combinations are quite interesting and may improve your 
results.
Dimitris Tsokakis
[to be continued]






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