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Dimitris,
I applied your suggestion to my reference system CCT StochRSI.
Initially I found no improvement, actually in most cases the result
became worse. Only when I started to play with the exitlong and
lengthened by a simple optimization the period (ti) some improvement
was achieved (a couple of precent improvement in net profit and less
loosing trades. See the formula below. For good orders sake the
parameters for the StochRSI were first established in the CCT
StochRSI system without the smooting addition. Subsequently the
result was copied into the system with your smoothing system.
What I don't understand is your comment about heavy losses in the
previoius work. Where did you observe this?
Period=5;
period1=25;
delta=14;
//Period = Optimize("Period", period,5,15,2);
//Period1 = Optimize("Period1", period1,15,40,2);
//delta=Optimize("Delta",delta,2,20,2);
Buy = Cross(delta, TEMA((RSI(period)-LLV(RSI(period),period1))/ (HHV
(RSI(period),period1)- (LLV(RSI(period),period1))),3)*100);
Sell = Cross(TEMA((RSI(period)-LLV(RSI(period),period1))/ (HHV(RSI
(period),period1)- (LLV(RSI(period),period1))),3)*100, 100-delta);
Y=9;
t0=10;
t2=8;
//x=22;
ti=8;
t0=Optimize("t0",t0,1,15,1);
t2=Optimize("t2",t2,1,10,1);
Y=Optimize("Y",y,0,9,1);
//ti=Optimize("ti",ti,0,10,1);
e0=Equity();
R0=DEMA(e0,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
e1=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))))))))));
e2=DEMA(e1,t2);
// Select trading bars
//X=Optimize("X",X,10,30,2);
//Buy=Cross(0,e1);
//Buy=ExRemSpan(Buy,X);
exitLong=BarsSince(Buy)>ti AND e1<e2;
//Sell=Ref(Buy,-X);
Sell=Sell OR exitLong;
Short=Sell;Cover=Buy;
Plot(e1,"",9,8);
Buy = ExRem( Buy, Sell ); Sell = ExRem( Sell, Buy );
Short = ExRem( Short, Cover ); Cover = ExRem( Cover, Short );
buybars = BarsSince( Buy );sellbars = BarsSince( Sell );
coverbars = BarsSince( Cover );shortbars = BarsSince( Short );
Willem Jan
a differen--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx> wrote:
> Willem
> Weak or slow systems [less than 5trades/year]] sometimes need an
> Equity conditional exit rule which usually improves the final
> performance.
> In the following code I placed a 3-bar filter [to avoid the small
> drawdown caused by the 0.5% commission] and give an additional Exit
> rule, whenever the e1 falls below e2.
> You will miss the enthusiastic pull backs, but you will surely
avoid
> the undesirable huge losses.
>
> // Equity conditional exit
> Buy=...;// your buy rule
> Sell=...;// your sell rule
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> t0=10;// Optimize("t0",5,5,10,5);
> t2=10;// Optimize("t2",5,5,10,5);
> y=Optimize("Y",7,0,10,1);
> e0=Equity();
> // smoothed Equity lines
> R0=DEMA(e0,T0);
> R1=DEMA(R0,T0);
> R2=DEMA(R1,T0);
> R3=DEMA(R2,T0);
> R4=DEMA(R3,T0);
> R5=DEMA(R4,T0);
> R6=DEMA(R5,T0);
> R7=DEMA(R6,T0);
> R8=DEMA(R7,T0);
> R9=DEMA(R8,T0);
> R10=DEMA(R9,T0);
> // Select smoothing factor
> e1=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))))))))));
> e2=DEMA(e1,t2);
> // Conditional Exit
> exitLong=BarsSince(Buy)>3 AND e1<e2;
> Sell=Sell OR exitLong;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> Dimitris Tsokakis
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Willem Jan A. Struyck"
> <w.j.a.struyck@xxxx> wrote:
> > Dimitris,
> >
> > For evaluation purposes I took the basket of my selection of
> favorite Robeco
> > funds and evaluated them against the system I currently use.
> > Backtesting over 1 year. Optimized till I found the best set of
> parameters.
> > By lack of another name I named your formula's platform 1, 2 and
3.
> > 2 and 3 clearly give better results ocmpared to 1 although the
> difference
> > between 2 and 3 is not that great.
> > Generally I found for my basket Y=3 or 2 giving the best result.
> >
> > To study the outcome I have attached the respective reports.
> >
> > Willem jan
> >
> >
> > Message: 14
> > Date: Thu, 10 Jul 2003 19:07:30 -0000
> > From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> > Subject: Re: C vs (H+L)/2 [part two]
> >
> > 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
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