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[amibroker] Re: Two Days after the Bullish Inflection [corrected]



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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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