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Here is an interesting alternative:
The basic idea is to buy when
a. Cross(<FONT
size=2>0,R), like the first below described
systemI
b. R makes a peak.
Since R is very smooth, instead of using the Peak function, we
may have the same result with <FONT
color=#000000>Ref<FONT
size=2>(R,-1)==<FONT
size=2>HHV(R,3<FONT face=Verdana
size=2>);<FONT
face="Times New Roman">
Sell conditions may remain the same.
The full code is
// Trade ^N225 with ^NDX data, II<FONT face=Verdana
size=2>
N="^NDX"<FONT
face="Times New Roman">;
O=Foreign(N,<FONT
size=2>"O");H=Foreign<FONT
size=2>(N,"H");L=<FONT
size=2>Foreign(N,"L"<FONT
size=2>);C=Foreign(N,<FONT
size=2>"C"<FONT
face="Times New Roman">);
t0=50<FONT
face="Times New Roman">;
T1=5<FONT
face="Times New Roman">;
R0=RSIA(C,T1)-<FONT
size=2>RSIA((H+L),T1);Plot<FONT
size=2>(R0,"",<FONT
size=2>1,1<FONT face=Verdana
size=2>);
R0=DEMA<FONT
face="Times New Roman">(R0,T0);
R1=DEMA<FONT
face="Times New Roman">(R0,T0);
R2=DEMA<FONT
face="Times New Roman">(R1,T0);
R3=DEMA<FONT
face="Times New Roman">(R2,T0);
R4=DEMA<FONT
face="Times New Roman">(R3,T0);
R5=DEMA<FONT
face="Times New Roman">(R4,T0);
R=R5;Plot(R,<FONT
size=2>"",2<FONT
size=2>,8<FONT
face="Times New Roman">);
X=Optimize(<FONT
size=2>"X",30<FONT
size=2>,20,<FONT
size=2>40,1<FONT face=Verdana
size=2>);
Buy=Cross(<FONT
size=2>0,R) OR Ref<FONT
size=2>(R,-1)==<FONT
size=2>HHV(R,3<FONT
face=Verdana size=2>);<FONT
face="Times New Roman">
Buy=ExRemSpan<FONT face=Verdana
size=2>(Buy,X);<FONT
face="Times New Roman">
Sell=Ref<FONT
face="Times New Roman">(Buy,-X);
Short=Sell;<FONT
face="Times New Roman">Cover=Buy;
The II system is equally profitable but in a
different style :
System I worked with
8trades/6winners/2losers
System II works with 20trades/13
winners/7losers, the distance between signals is shorter.
Although the final profit is almost the same,
shorter intervals help for better control.
It is interesting to watch the recent systemII
"decisions"
Buy on May13.
Sell/short on June24.
Cover/Buy again the very next bar,
June25.
Sometimes <FONT
face="Times New Roman">systems have a close touch to the tough trading reality
!!
The general and detailed description is in
sysII gif.
Dimitris Tsokakis
PS1 A typo on sysI was corrected
below.
PS2 Both systems are experimental, no trading experience available, any
opinions appreciated.
----- Original Message -----
From: <A
href="" title=tsokakis@xxxxxxxxx>Dimitris Tsokakis
To: <A href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Monday, July 07, 2003 10:45 AM
Subject: C vs (H+L)/2
Close is not always in the middle of H, L distance.
Some periods C is >(H+L)/2 and some other C is <
(H+L)/2.
The difference
<FONT
size=2>R0=RSIA<FONT
size=2>(C,T1)-RSIA<FONT
size=2>((H+L),T1);Plot<FONT
size=2>(R0,"",<FONT
size=2>1,1<FONT
size=2>);
for a fast period T1=5 is a measure of this
property.
The line is too noisy and needs cascade smoothing
[without significant delays] to reveal
the interesting signal. DEMA is the proper
smoothing function, since it reduces the delay.
A five-step smoothing would be like
this
R1=DEMA(R0,T0);<FONT
face=Arial>
R2=DEMA(R1,T0);<FONT
face=Arial>
R3=DEMA(R2,T0);<FONT
face=Arial>
R4=DEMA(R3,T0);<FONT
face=Arial>
R5=DEMA(R4,T0);
For a period T0 around 50, the noise is totally
removed and the resulting curve is quite
expressive. It crosses zero and becomes negative
during the important uptrends and it
is positive during bearish
intervals.
Buy=Cross(<FONT
size=2>0,R);
is a simplified buy condition.
Significant uptrends usually last more than 20
bars. After the first peak and the first
retracement, the market gives some more potential,
visualised from double peaks,
divergences etc. These observations advise to avoid
long positions for more than 40 bars
[the bears will not disguise their feelings for
long...]
X=Optimize(<FONT
size=2>"X",28<FONT
size=2>,20,<FONT
size=2>40,1<FONT
size=2>);Buy=<FONT
size=2>ExRemSpan(Buy,X);Sell=<FONT
size=2>Ref(Buy,-X);
expresses the requirement to sell 20 to 40 bars
later.
The extended smoothing can express the influence of
a leader market, like ^NDX, to
dependent markets like ^N225 or
^GDAXI.
^N225 is one of the most difficult markets,
directionality is very poor and many trading systems
fail.
Let us use ^NDX data, follow the above description
and apply it to ^N225.
The project sounds a bit absurd but it is
not.
// Trade ^N225 with ^NDX data, I<FONT
face=Arial>
N="^NDX";<FONT
size=2>
O=Foreign(N,<FONT
size=2>"O");H=Foreign<FONT
size=2>(N,"H");L=<FONT
size=2>Foreign(N,"L"<FONT
size=2>);C=Foreign(N,<FONT
size=2>"C");<FONT
face=Arial>
t0=50;<FONT
size=2>
T1=5;<FONT
size=2>
R0=RSIA<FONT
size=2>(C,T1)-RSIA<FONT
size=2>((H+L),T1);Plot<FONT
size=2>(R0,"",<FONT
size=2>1,1<FONT
size=2>);
R0=DEMA<FONT
face=Arial>(R0,T0);
R1=DEMA<FONT
face=Arial>(R0,T0);
R2=DEMA<FONT
face=Arial>(R1,T0);
R3=DEMA<FONT
face=Arial>(R2,T0);
R4=DEMA<FONT
face=Arial>(R3,T0);
R5=DEMA<FONT
face=Arial>(R4,T0);
R=R5;Plot<FONT
size=2>(R,"",<FONT
size=2>2,8);
X=<FONT
size=2>Optimize(<FONT
size=2>"X",28<FONT
size=2>,20,<FONT
size=2>40,1<FONT
size=2>);<FONT
face=Arial>
Buy=Cross(<FONT
size=2>0,R);
Buy=<FONT
size=2>ExRemSpan<FONT
size=2>(Buy,X);
Sell=<FONT
size=2>Ref<FONT
face=Arial>(Buy,-X);
Short=Sell;
Cover=Buy;
The Long part give since Jan2000
a return on account +42% [the respective ^N225 B&H return was
-50%]
with an exposure 14% and max
system drawdown -14.6%
The full Long/Short system gives
a net profit +193% [max sys drawdown -21%] , wich is quite satisfactory
for
tough markets like ^N225. The
distribution of profits for x=20 to 40 bars interval is not bad at all.
//^N225 [50,5,5,28]=+45%LONG, +193% LONG/SHORT
//[50,5,5,30]=+193%
<FONT color=#000000 face=Verdana
size=2>
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