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/*
SELECT THE VEHICLE TO TRADE A STOCK OR THE WHOLE MARKET
WITH THE CONVEX-CONCAVE PRINCIPLE
*/
// 1. SMOOTHING PREPARATION
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;
}
// 2. VEHICLE SELECTION
POPULATION=100;
NUM=Optimize("NUM",30,0,POPULATION,1);
list = GetCategorySymbols( categoryGroup, 254 );
symbol = StrExtract( list, NUM );
SetForeign(symbol);
C1=C;
// 3. SMOOTHING
k=0.45;
RD=IIR2( C1, 0.3, 1.2+K, -0.5-K);
y=RD;
// 4. THE CONVEXITY-CONCAVITY PRINCIPLE, by D. Tsokakis, Sept2003
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;
// 5. EXIT D BARS AFTER THE BULLISH INFLECTION POINT
DD=Optimize("DD",6,1,10,1);
// 6. THE TRADING RULES
RestorePriceArrays();
G1=Optimize("G1",1,0,1,1);
SetTradeDelays(1,G1,1,1);
Buy=BULLSTART AND Ref(BEAREND,-1);
BuyPrice=Open;
Sell=Ref(BULLEND AND Ref(BULLSTART,-1),-DD);
SellPrice=IIf(G1==0,Close,Open);
Filter=1;// CURRENT STOCK, N=1 LAST QUOTATIONS
AddTextColumn(SYMBOL,"SYMBOL");
// #30/7/1, 74/3/1, 7/6/1, 7/7/0, 91/8/0
AMZN data, for example, were good to trade QQQ the last year.
^NDX data gives satisfactory results, although there are much better
candidates.
The optimization is time consuming, because of the GetCategorySymbols
( ) function.
Dimitris Tsokakis
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