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Hi,
I have applied version I and II to a couple of Dutch MF of the Robeco
group, optimization over 2 years. As you mention with version II
number of trades increases (approx 5 to 7 trades vs. with system I 1
or 2 trades), but so does the number of trades with a loss. Moreover
the cumulative net profit of system I generally is more than double
the result with system II. To make certain this was not just a lucky
shot I tried 5 other funds; the outcome is more or less the same.
My penny worth.
Willem Jan
--- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx>
wrote:
> Here is an interesting alternative:
> The basic idea is to buy when
> a. Cross(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 Ref(R,-1)==HHV(R,3);
> Sell conditions may remain the same.
> The full code is
>
> // Trade ^N225 with ^NDX data, II
> N="^NDX";
> O=Foreign(N,"O");H=Foreign(N,"H");L=Foreign(N,"L");C=Foreign(N,"C");
> t0=50;
> T1=5;
> R0=RSIA(C,T1)-RSIA((H+L),T1);Plot(R0,"",1,1);
> R0=DEMA(R0,T0);
> R1=DEMA(R0,T0);
> R2=DEMA(R1,T0);
> R3=DEMA(R2,T0);
> R4=DEMA(R3,T0);
> R5=DEMA(R4,T0);
> R=R5;Plot(R,"",2,8);
> X=Optimize("X",30,20,40,1);
> Buy=Cross(0,R) OR Ref(R,-1)==HHV(R,3);
> Buy=ExRemSpan(Buy,X);
> Sell=Ref(Buy,-X);
> Short=Sell;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 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: Dimitris Tsokakis
> To: 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
> R0=RSIA(C,T1)-RSIA((H+L),T1);Plot(R0,"",1,1);
> 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);
> R2=DEMA(R1,T0);
> R3=DEMA(R2,T0);
> R4=DEMA(R3,T0);
> 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(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("X",28,20,40,1);Buy=ExRemSpan(Buy,X);Sell=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
> N="^NDX";
> O=Foreign(N,"O");H=Foreign(N,"H");L=Foreign(N,"L");C=Foreign(N,"C");
> t0=50;
> T1=5;
> R0=RSIA(C,T1)-RSIA((H+L),T1);Plot(R0,"",1,1);
> R0=DEMA(R0,T0);
> R1=DEMA(R0,T0);
> R2=DEMA(R1,T0);
> R3=DEMA(R2,T0);
> R4=DEMA(R3,T0);
> R5=DEMA(R4,T0);
> R=R5;Plot(R,"",2,8);
> X=Optimize("X",28,20,40,1);
> Buy=Cross(0,R);
> Buy=ExRemSpan(Buy,X);
> Sell=Ref(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%
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