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Of course you may transfer the code in any Group or WatchList and see
if the results are interesting.
I will post a full code, including my reply to Ken.
I hope you enjoy a safe trip.
The little summer is back, you will enjoy the sea also.
The next weekend the [young] swordfish group will be around Milos
island, going North to NorthEast.
The estimated weight now is around 70-80klgs per item.
I´m gonna get two of them, if my functions work properly.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "sjaak1943" <sjaakhaasnoot@xxxx>
wrote:
> Hi Dimitris,
>
> I'm impressed by your programming skills and the way you think
about
> it. Can I use this program also for the Dutch AEX and how I do this?
> In a few hours we fly to our children and grandchildren in Crete.
> Thank you!
>
> Sjaak
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis"
> <TSOKAKIS@xxxx> wrote:
> >
> > ----- Original Message -----
> > From: Dimitris Tsokakis
> > To: 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
> >
> > 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"); // 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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