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The attached graph didn't come thru for me, or was it not supposed to.
nand
--- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx>
wrote:
> The bullish movement begins with an ascending convex. [darkgreen
area]
> Before the end, the bulish pressure diminishes and the smoothing
line becomes concave.[turquoise area]
> The Inflection point gives the signal for the curvature change.
> Exit two days later for a quick profit taking.
> Since you know the exit day in advance, you may sell at Close,
delay=0.
> ^NDX is the module array to apply the IIR2 smoothing and the
concavity/convexity principle.
> 96/101 N100 stocks were profitable for this [bullish] year.
>
>
> Settings
>
> Initial Equity: 10000 Periodicity/Positions: Daily/Long
> Commissions: 0.25 % Annual interest rate: 0.00%
> Range: 1/1/2003 00:00:00 - 30/9/2003 Apply to: Filter
> Include Filter Exclude Filter
> Market - Market -
> Group Group 254 Group -
> Sector - Sector -
> Industry - Industry -
> Watch list - Watch list -
> Index - Index -
> Favourite - Favourite -
> Margin requirement: 100 Futures mode: No
> Def. round lot size: 0 Def. Tick Size 0
> Drawdowns based on: High/Low prices
> Long trades
> Buy price: Open Sell price: Close
> Buy delay: 1 Sell delay: 0
> Short trades
> Short price: Open Cover price: Open
> Short delay: 1 Cover delay: 1
> Stops
> Maximum loss: disabled Profit target: disabled
> Value: 50.00 Value: 20.00
> Exit at stop? yes Exit at stop? yes
>
> Trailing stop: disabled
> Value: 5.00
> Exit at stop? yes
>
> Formula
>
>
> Z1=LastValue(Cum(1));
> function IIR2( input, f0, f1, f2 )
> {
> result[ 0 ] = input[ 0 ];result[ 1 ] = input[ 1 ];
> for( i = 2; i < BarCount; i++ )
> {
> result[ i ] = f0 * input[ i ] + f1 * result[ i - 1 ] + f2 *
result[ i - 2 ];
> }
> return result;
> }
> SetForeign("^NDX");
> C1=C;
> k=0.45;
> RD=IIR2( C1, 0.3, 1.2+K, -0.5-K);
> y=RD;
> t=1;
> Convex=(y-Ref(y,-t))/t>=(y-Ref(y,-(t+1)))/(t+1);
> Concave=NOT(Convex);
> Ascending=y>=Ref(y,-1);
> Descending=NOT(ascending);
> Bullstart=Convex AND Ascending;
> Bullend=Concave AND ascending;
> Bearstart=Concave AND Descending;
> Bearend=Convex AND Descending;
> Color=IIf(Bullstart,colorDarkGreen,IIf(Bullend,colorTurquoise,IIf
(Bearstart,colorDarkRed,colorPink)));
> Buy=BULLSTART AND Ref(BEAREND,-1);
> Sell=Ref(BULLEND AND Ref(BULLSTART,-1),-2);
>
>
> Overall performance summary
>
> Total net profit: 397055.54 Total commissions paid:
86943.91
> Return on account: 39.31 % Open position gain/loss 0.00
> Buy&Hold profit: 377566.31 Bars (avg. days) in test: 18887
(271)
> Buy&Hold % return: 37.38% System to Buy&Hold index: 5.16%
>
> Annual system % return: 56.29% Annual B&H % return: 53.38%
>
> System drawdown: -3667.89 B&H drawdown: -4183.06
> Max. system drawdown: -4803.97 B&H max. drawdown: -10382.31
> Max. system % drawdown: -43.14% B&H max. % drawdown: -
49.10%
> Max. trade drawdown: -4531.67
> Max. trade % drawdown: -33.83%
> Trade drawdown: -3544.00
>
> Total number of trades: 1515 Percent profitable: 63.1%
> Number winning trades: 956 Number losing trades: 559
> Profit of winners: 668304.02 Loss of losers: -271248.49
> Total # of bars in winners: 5267 Total # of bars in losers:
2914
> Commissions paid in winners: 55873.75 Commissions paid in
losers: 31070.16
>
> Largest winning trade: 4316.82 Largest losing trade: -
2928.74
> # of bars in largest winner: 6 # bars in largest loser: 5
> Commission paid in largest winner: 101.96 Commission paid
in largest loser: 43.27
>
> Average winning trade: 699.06 Average losing trade: -485.24
> Avg. # of bars in winners: 5.5 Avg. # bars in losers: 5.2
> Avg. commission paid in winner: 58.45 Avg. commission paid
in loser: 55.58
> Max consec. winners: 12 Max consec. losers: 4
>
> Bars out of the market: 10706 Interest earned: 0.00
>
> Exposure: 43.3% Risk adjusted ann. return: 129.96%
> Ratio avg win/avg loss: 1.44 Avg. trade (win & loss):
262.08
> Profit factor: 2.46
>
>
> For IB use the
> Z1=LastValue(Cum(1));
> function IIR2( input, f0, f1, f2 )
> {
> result[ 0 ] = input[ 0 ];result[ 1 ] = input[ 1 ];
> for( i = 2; i < BarCount; i++ )
> {
> result[ i ] = f0 * input[ i ] + f1 * result[ i - 1 ] + f2 *
result[ i - 2 ];
> }
> return result;
> }
> SetForeign("^NDX");
> C1=C;
> k=Optimize("k",0.45,0.1,0.5,0.01);
> RD=IIR2( C1, 0.3, 1.2+K, -0.5-K);
> y=RD;
> t=1;
> Convex=(y-Ref(y,-t))/t>=(y-Ref(y,-(t+1)))/(t+1);
> Concave=NOT(Convex);
> Ascending=y>=Ref(y,-1);
> Descending=NOT(ascending);
> Bullstart=Convex AND Ascending;
> Bullend=Concave AND ascending;
> Bearstart=Concave AND Descending;
> Bearend=Convex AND Descending;
> Color=IIf(Bullstart,colorDarkGreen,IIf(Bullend,colorTurquoise,IIf
(Bearstart,colorDarkRed,colorPink)));
> Plot(y,"y",Color,8);
> Plot(C,"C",1,64);
> PlotShapes((BULLEND AND Ref(BULLSTART,-1))
*shapeHollowSmallDownTriangle,colorOrange);
> Buy=BULLSTART AND Ref(BEAREND,-1);
> Sell=Ref(BULLEND AND Ref(BULLSTART,-1),-2);
> PlotShapes(shapeDownArrow*Sell,colorRed);Graphxspace=2;
>
> to see the basic ^NDX chart, the Inflection points [small orange
triangle] and the SellTheMarket exits.
> Dimitris Tsokakis
>
> PS The factor k was selected near to the limit of its range [0.1 to
0.5] mainly for visual purposes.
> The smoothing line looks now like a trendy sinusoidal and
emphasises the periodicity of this year movement.
> Another interesting observation : All the darkgreen areas
[bullstart] came AFTER a pink area [bearend].
> Consequently, when the bearish cycle begins [darkred bearstart] it
is better to be patient until the pink
> days appear [the new uptrend will not begin earlier...]
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