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Thanks Graham,
I know the AFL code for the Filters and Exit Rules but anybody knows
what is the code for the setup and Buy Rules?
Alan
--- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> Yes it is possible
>
> Cheers,
> Graham
> http://groups.msn.com/ASXShareTrading
> http://groups.msn.com/FMSAustralia
>
>
> -----Original Message-----
> From: Alan Nouray [mailto:alann@x...]
> Sent: Tuesday, 23 September 2003 6:28 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Nasdaq pullback system
>
>
> The following system was discussed in another Yahoo group and I want
to know
> if it is possible to write the AFL for this system:
>
> The system is comprised of 4 parts: (1) the setup, which is the
> pullback, (2) the filters to identify the best time to go long, (3)
> buy rules, and (4) exit rules. Details for each part follow:
>
> Setup: A high occurs which is higher than the last 7 trading days
> and higher than the next 2-4 trading days and is followed by a close
> that is 2% below the high occurring within 2-4 trading days.
>
> Filters: there are two filters to determine if the Nasdaq is in an
> uptrend. The 20 bar RSI must be greater than 50, and the 5 bar
exponential
> moving average (ema) of the close (cyan) must be greater than the 21
bar ema
> (red).
>
> Buy Rules: go long the Nasdaq on the close of the 6th or 7th day of
> a pullback if both filters are positive; use the 6th day close to
> buy if the 2% decline occurs on the 1st through 3rd day close
> following the high; use the 7th day close to buy if the 2% decline
> occurs on the 4th or 5th day close after the high. Take a second
> long position if another pullback setup occurs within 12 days of the
> first long position and both filters are positive.
>
> Exit Rules: exit the long position on the close of the 12th trading
> day from the entry point or if the position reaches an 8% profit
> target, whichever comes first. Use a 7% stop loss.
>
> The system was backtested using Nasdaq data from 1/6/1997 to
> 7/1/2002. There were 71% profitable trades for a total of 2880
> points - The system was also applied to out-of-sample data from
7/1/02 to
> 8/29/03. There were 83% profitable trades for a total of 472 points
Based on
> out-of-sample testing the system appears to be robust.
>
> In the last two weeks, two more pullback setups occurred, which
> generated buy signals. The system is currently holding 2 long
> positions from the close of 9/02 and 9/16. The system will exit both
> positions at the close of 10/02 or at an 8% gain from the 9/16
> close, whichever comes first.
>
> The system details are provided to this group for educational
purposes ONLY,
> and is not a recommendation to go long. Please feel free to shoot
holes in
> this system. I am here to learn, and all criticism will be viewed as
> constructive.
>
> Alan
>
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
> Send SUGGESTIONS to suggest@xxxx
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