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In order to select automatically the additional conditions and
improve your basic trading system, you may try the optimization
MeanDratio=Foreign("~Dratio40","C")/Foreign("~COUNT","V");
MeanRSI=Foreign("~SUMRSI","C")/Foreign("~COUNT","V");
MeanStochD=Foreign("~MEANSTOCHD","C")/Foreign("~COUNT","V");
OUTpSTOCHD=StochD()>MeanStochD;
UNDERpSTOCHD=StochD()<=MeanStochD;
OUTpRSI=RSI()>MeanRSI;
UNDERpRSI=RSI()<=MeanRSI;
Dratio=500*(H-L)/(H+L);
Dratio40=DEMA(Dratio,40);
OUTpDRATIO=Dratio40>MeanDratio;
UNDERpDRATIO=Dratio40<=MeanDratio;
T=ValueWhen(IsTrue(MeanDratio) AND IsTrue(MeanRSI) AND IsTrue
(MeanStochD),DateNum());
TT=DateNum()==T;
K=Optimize("K",7,1,7,1);KK=Optimize("KK",7,1,7,1);
COND1=IIf(K==1,OUTpSTOCHD,
IIf(K==2,UNDERpSTOCHD,
IIf(K==3,OUTpRSI,
IIf(K==4,UNDERpRSI,
IIf(K==5,OUTpDRATIO,
IIf(K==6,UNDERpDRATIO,1))))));
COND2=IIf(KK==1,OUTpSTOCHD,
IIf(KK==2,UNDERpSTOCHD,
IIf(KK==3,OUTpRSI,
IIf(KK==4,UNDERpRSI,
IIf(KK==5,OUTpDRATIO,
IIf(KK==6,UNDERpDRATIO,1))))));
Buy=Cross(StochD(),30);Sell=Cross(StochD(),70);//Your system example
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);//*see below text
Buy=TT*(Buy AND COND1);Sell=TT*(Sell AND COND2);
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
* The combination K=7, KK=7 is the basic system without any additives
* A combination K=4, KK=7 means "Buy when RSI underperforms, Sell
normal"
* You may not exrem before applying the additives and leave secondary
Buy to act
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx>
wrote:
> 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*(H-L)/(H+L);
> Dratio40=DEMA(Dratio,40);
> AddToComposite(Dratio40,"~SUMDratio40","C");
> AddToComposite(StochD(),"~SUMSTOCHD","C");
> 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);
> Dratio40=DEMA(Dratio,40);
> 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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