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----- Original Message -----
From: <A
title=tsokakis@xxxxxxxxx href="">Dimitris Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, September 30, 2003 1:55 PM
Subject: Two Days after the Bullish Inflection
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
FormulaZ1=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"); // Replace "^NDX" with your symbol for the N100 Index.
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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