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Thank you Dimitris. I am going to establish the separate data
base dedicated to this body of research so that the various exercises can
be conducted speedily. Later, results can be combined with tickers in other
databases. It will be ready soon. Therefore, do not presume my delayed
response to you is in anyway signifying a lack of interest. Indeed, the latest
is of great interest. Especially since I do still expect to find RSIMACD II
regaining its value any time market action returns to its more common pattern of
direction followed by subsequent correction, instead of pursing an elongated
corrective run, that though slanted profitably for buy and hold positions,
reduces profitability to the momentum trader.
Artificial boosting from an influx of manipulative buying
power, produced by fiat credit creation, has its own signature. If appearing as
a belabored rise in price, squeezing out the momentum characteristics of a
normally aspirated market place of buyers and sellers making decisions with
their own money, it takes on a shape of its own that is corrective and
precarious; due to the absence of counter-balancing voluntary exchanges, the
directional element in price action tends to be missing. It is at least
over-shadowed by the corrective.
Elliott spoke about a tendency of this sort. He referred to an
upwardly slanting effect on prices as being due, possibly, to inflation. And
that is precisely what one would expect to see, as a result of an influx of
purchases made possible by the new credit created by artificial increases in
money. And there is no doubt but what we have seen a sizable increase during the
past two years.
Although it is illegal for an individual to utilize borrowed
money for investment in exchange traded shares, somehow it is expected that
enough of the newly created credit will find its way into shares to cause a
general increase in the major index averages. This is one of the main purposes
of the creating of the new credit in the first place. That, and the taking out
of new second mortgages on homes in order to cover current living expenses. This
is the current political definition of economic growth and prosperity in most
WMDs (Western Mega Democracies).
Hopefully I will have some intelligent comment to make
pertaining to the extensive coding you have so graciously provided.
Sincerely,
Michael Robb
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dimitris
Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, October 31, 2003 3:51
PM
Subject: [amibroker] Inspection Points
and trading systems
from <A
href="">http://groups.yahoo.com/group/amibroker/message/50739
"For more sophisticated techniques, the Inspection Points
are already exposed in detail."
Michael,I have the time now to explain the
above:
Inspection points may be used not only to select optimal
parameters but also to pick up trading systems.Since you are familiar with
the MeanRSIt variations, let us see a complete example:Create first the
composites
/*MEAN RSIT ~10a TO
~40a*/for(n=10;n<45;n=n+5){Var=MA(MACD(),n);R10SIt10=MA(RSIa(Var,30),10);AddToComposite(R10SIt10,"~"+WriteVal(n,1.0)+"a","V");Buy=0;}Scan
for all N100 [recent] stocks [^NDX included], all quotations.[Enjoy the
few lines code compared to <A
href="">http://www.amibroker.com/library/detail.php?id=173,
comment III ]Let us begin with the first 4 artificial tickers to optimize
in AA
from Jan3, 2000
till*2/1/2001*7/8/2001*19/3/2002*21/10/2002*28/5/2003respectively,
with// AA
optimizationF10=Foreign("~10a","V");F20=Foreign("~15a","V");F30=Foreign("~20a","V");F40=Foreign("~25a","v");b=Foreign("~count","v");T10=F10/b;T20=F20/b;T30=F30/b;T40=F40/b;B1=Cross(T10,T20);B2=Cross(T10,T30);B3=Cross(T10,T40);B4=Cross(T20,T30);B5=Cross(T20,T40);B6=Cross(T30,T40);S1=Cross(T20,T10);S2=Cross(T30,T10);S3=Cross(T40,T10);S4=Cross(T30,T20);S5=Cross(T40,T20);S6=Cross(T40,T30);b=Optimize("b",1,1,6,1);s=Optimize("s",1,1,6,1);Buy=IIf(B==1,B1,IIf(B==2,B2,IIf(B==3,B3,IIf(B==4,B4,IIf(B==5,B5,B6)))));Sell=IIf(S==1,S1,IIf(S==2,S2,IIf(S==3,S3,IIf(S==4,S4,IIf(S==5,S5,S6)))));Short=Sell;Cover=Buy;<FONT
size=2>
This procedure may be automatically executed in a single IB window
with
// Inspection Points for a 36 trading systems
selectionSTART=DateNum()==1010102
;per=Param("per",150,25,100,25);EVENT=BarsSince(START)%per==0;EXIT=Ref(EVENT,1);Plot(10000,"",Cum(1)%2,1);Plot(0,"",1,styleNoLine);Counter=Cum(EVENT)%10;shape=IIf(Counter==1,shapeDigit0,IIf(Counter==2
,shapeDigit1,IIf(Counter==3 ,shapeDigit2,IIf(Counter==4
,shapeDigit3,IIf(Counter==5 ,shapeDigit4,IIf(Counter==6
,shapeDigit5,IIf(Counter==7 ,shapeDigit6,IIf(Counter==8
,shapeDigit7,IIf(Counter==9
,shapeDigit8,shapeDigit9)))))))));PlotShapes(shape*EVENT,colorIndigo);G=0;//
the 36
systemsF10=Foreign("~10a","V");F20=Foreign("~15a","V");F30=Foreign("~20a","V");F40=Foreign("~25a","v");b=Foreign("~count","v");T10=F10/b;T20=F20/b;T30=F30/b;T40=F40/b;B1=Cross(T10,T20);B2=Cross(T10,T30);B3=Cross(T10,T40);B4=Cross(T20,T30);B5=Cross(T20,T40);B6=Cross(T30,T40);S1=Cross(T20,T10);S2=Cross(T30,T10);S3=Cross(T40,T10);S4=Cross(T30,T20);S5=Cross(T40,T20);S6=Cross(T40,T30);SetForeign("^NDX",True,True);for(b=1;b<7;b++){for(s=1;s<7;s++){Buy=IIf(B==1,B1,IIf(B==2,B2,IIf(B==3,B3,IIf(B==4,B4,IIf(B==5,B5,B6)))));Sell=IIf(S==1,S1,IIf(S==2,S2,IIf(S==3,S3,IIf(S==4,S4,IIf(S==5,S5,S6)))));Short=Sell;Cover=Buy;E1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11);
// if(s==6)
{Plot(e1,"\n["+WriteVal(b,1.0)+"]",b,1);}
<FONT
size=2>}}GraphXSpace=1;fpass=0;bpass=0;spass=0;for(b=1;b<7;b++){for(s=1;s<7;s++){Buy=IIf(B==1,B1,IIf(B==2,B2,IIf(B==3,B3,IIf(B==4,B4,IIf(B==5,B5,B6)))));Sell=IIf(S==1,S1,IIf(S==2,S2,IIf(S==3,S3,IIf(S==4,S4,IIf(S==5,S5,S6)))));Short=Sell;Cover=Buy;E1=Equity(1,0);E11=ValueWhen(EVENT,E1);fpass=IIf(e11==g,e1,0)+fpass;bpass=IIf(e11==g,b,0)+bpass;spass=IIf(e11==g,s,0)+spass;G=IIf(E11==G,0,G);}}STEP=IIf(EVENT,fpass-Ref(fpass,-1),0);T=Cum(STEP);FINAL=(fpass-T);Plot(FINAL,WriteIf(event,"*","")+"[Buy
Rule is B"+WriteVal(bpass,1.0)+", Sell rule is
S"+WriteVal(spass,1.0)+"]",IIf(event,colorRed,colorBlack),8);
For the simlpicity of the example, the IP logic is applied
to ^NDX *Uncomment the// if(s==6)
{Plot(e1,"\n["+WriteVal(b,1.0)+"]",b,1);}line to see 6 of the equity
curves [B=1 to 6, S=6]The system was working with the [1,6] from
2/1/2001 till 21/10/2002 and then followed the [3,6] till now.At the next
IP, [1,6] is a serious candidate to win the elections, the last month is on
the top again !!
I hope you find this study useful for
further analysis.
Dimitris Tsokakis
____________________________________
*the procedure may be extended to pick up a favorite
stock at each IP.
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