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Dimitris,
Thanks for explaining. It was clear to me that this system was
particulary geared to ^NDX. I just wanted to experiment with the
system and see the outcome. Actually the results as such are not bad
at all but I need some more work on it.
If it helps you I am most happy to send you the data for the fund I
experimented with. At this moment I have no particular points to make
for your intended study of the DAX. I have worked sofar with the
Eurostoxx50 future. Again I have data if you would wish to work with
these futures.
If I can be of any help please let me know.
Willem Jan
amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx> wrote:
> 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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