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Thanks. I will work on it during the weekend. Will keep you posted on
the results.
Willem jan
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> Willem,
> sorry for the delay, the day was not easy.
> We may apply DEMA smoothing many times with two main results : The
> amplitude increment and the phase transition to the right.
> The cascade phase transition can immitate the impulse of ^NDX
changes
> to other markets.
> Y=5 is fine for the long term NDX study, Y=8 for DAX, Y=10 for FCHI
> etc.
> For indicator builder or AA window use the example
>
> N="^NDX";
> O=Foreign(N,"O");H=Foreign(N,"H");L=Foreign(N,"L");C=Foreign(N,"C");
> T1=5;R0=RSIA(C,T1)-RSIA((H+L),T1);
>
> t0=50;R0=DEMA(R0,T0);
>
> // Apply cascade smoothing
> R1=DEMA(R0,T0);
> R2=DEMA(R1,T0);Plot(R2,"",1,8);
> R3=DEMA(R2,T0);
> R4=DEMA(R3,T0);Plot(R4,"",4,8);
> R5=DEMA(R4,T0);
> R6=DEMA(R5,T0);Plot(R6,"",7,8);
> R7=DEMA(R6,T0);
> R8=DEMA(R7,T0);Plot(R8,"",5,8);
> R9=DEMA(R8,T0);
> R10=DEMA(R9,T0);Plot(R10,"",2,8);
> // Select smoothing level
> Y=Optimize("Y",10,0,10,1);
> R=IIf(Y==0,R0,
> IIf(Y==1,R1,
> IIf(Y==2,R2,
> IIf(Y==3,R3,
> IIf(Y==4,R4,
> IIf(Y==5,R5,
> IIf(Y==6,R6,
> IIf(Y==7,R7,
> IIf(Y==8,R8,
> IIf(Y==9,R9,R10))))))))));
> // Select trading bars
> X=Optimize("X",28,5,30,1);
> Buy=Cross(0,R);Buy=ExRemSpan(Buy,X);Sell=Ref(Buy,-X);
> Plot(R,"",9,8);
>
> to investigate the rhytm of ^NDX affection to other markets.
> Dimitris Tsokakis
>
> --- In amibroker@xxxxxxxxxxxxxxx, "willem1940" <w.j.a.struyck@xxxx>
> wrote:
> > Dimitris,
> >
> > The MF data contain: O, H, L, C, V.
> >
> > Willem Jan
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> <TSOKAKIS@xxxx>
> > wrote:
> > > Willem,
> > > let me ask you a question :In your MF do you have full OHLC
data ?
> > > At least 3 of them C, H, L are involved in both sysI, sysII
codes.
> > > Please let me know.
> > > Dimitris Tsokakis
> > > --- In amibroker@xxxxxxxxxxxxxxx, "willem1940"
> <w.j.a.struyck@xxxx>
> > > wrote:
> > > > 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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