[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Re: OUT/UNDERperformance



PureBytes Links

Trading Reference Links

Sorry Steve, I used inconsistent terminology in some composites names.
I posted the revised text, hoping to arrive ...soon.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "steve_almond" <steve2@xxxx> wrote:
> Dimitris, I don't get ANY signals from this backtest. Can you help?
> 
> Steve
> 
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" 
> <TSOKAKIS@xxxx> wrote:
> > 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]


------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get A Free Psychic Reading! Your Online Answer To Life's Important Questions.
http://us.click.yahoo.com/Lj3uPC/Me7FAA/ySSFAA/GHeqlB/TM
---------------------------------------------------------------------~->

Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html 

Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/