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Willem,
thank you for your comments.
Before applying this code, please see the title
// Trade ^N225 with ^NDX data, II
It is an *experimental* study for the ^N225
The character of this index [and TokyoSE in general] is a bit
peculiar, as explained in many messages.
The best [to my knowledge] N100 systems have *very* poor results
applied to TSE.
I try to find a way to handle this difficult market and the sysI,
sysII seem to break the shell.
Please accept is as is.
It is far from a general system and, much more, to apply it to DAX
and its components.
Since DAX is, IMO, closely depended on the leader N100, another study
will be posted for this market. Later, not now.
I would appreciate your comments for this study, since I do not trade
DAX stocks in regular basis.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "willem1940" <w.j.a.struyck@xxxx>
wrote:
> 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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