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[amibroker] Add a gear box...[was Steve CMO5 rules and the IPs]



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The worse part of a research is the statistics, it leaves no 
room for dreams [or illusions].
The best part of a research is the statistics, it is the 
time to forget the dreams and make some money out of it.
Inspection Points were placed every 75 bars to watch buy/sell 
CMO5 levels over the whole N100 market from Jan2000 till now.
Explore this database for the n=1 last quotations with the 
educative
 
 // CMO5-34 and CMO5-IP comparison, by D. Tsokakis, 
Nov2003// Database : Nasdaq100, from Jan2000 till Oct2003// Settings : 
Buy, Sell at Open, delay=+1, commission=0.25%, all stops 
disabledSYM=Name();START=DateNum()==1000601 
;per=Param("per",75,25,200,25);EVENT=BarsSince(START)%per==0;G=0;SetForeign(SYM,True,True);for(b=10;b<90;b++){P=5;X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));Buy=Cross(-b,x5);Sell=Cross(x5,b);E1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11); 
}fpass=0;bpass=0;for(b=10;b<90;b++){P=5;X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));Buy=Cross(-b,x5);Sell=Cross(x5,b);E1=Equity(1,0);E11=ValueWhen(EVENT,E1);fpass=IIf(e11==g,e1,0)+fpass;bpass=IIf(e11==g,b,0)+bpass;G=IIf(E11==G,0,G);}STEP=IIf(EVENT,fpass-Ref(fpass,-1),0);T=Cum(STEP);FINAL=(fpass-T);IP=IIf(FINAL>0,FINAL,0);// 
STEVE KARNISH 
CMO5-34P=5;X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));d=34;Sell=Cross(x5,d);Buy=Cross(-d,x5);Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);E34=Equity(1,0);Filter=1;AddColumn(IP,"IP");AddColumn(E34,"E34");AddColumn(IP>E34,"IMPROVE",1.0);
 
<FONT 
size=2>                           
IMPROVE    
WORSENE34>10000 63         
38                   
25E34>10000 38         
18                   
20IP>10000   
68     AVERAGE E34  
17072.39  AVERAGE IP     
21480.38  
 
CMO5-34 is not any magic system, it was 63% profitable. These 
profits may be improved by the IPs
For the non-profitable examples, the IPs can not do miracles 
[although they turned 9 stocks into profits...]
The average final Equity was improved and could 
add 25% more money in your account.
I will take two specific examples:
1. APOL, the lucky choice for both systems.
2. MSFT : By the end of 2000, the CMO5-34 lost the half of the 
initial money and the next 32 months did not do anything important, except 

the sweet commissions for the [happy] 
broker.
The IPs "understood" from the first inspection what was going 
on there : The CMO5 level was 80 !!
The most interesting is that b=80 was the best choice for all 
the next IPs, one by one !!!
Even in this case, MSFT curve does not like the CMO5 rhytms 
and could not exceed the +60%.
 
To see how the IPs trade the CMO5, paste in Indicator builder 
the
 
// Inspection Points for CMO5 buy/sell automatic 
levelsSYM=Name();START=DateNum()==1000601 
;per=Param("per",75,25,200,25);EVENT=BarsSince(START)%per==0;EXIT=Ref(EVENT,1);Plot(0,"",1,1);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;SetForeign(SYM,True,True);for(b=10;b<90;b++){P=5;X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));Buy=Cross(-b,x5);Sell=Cross(x5,b);E1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11); 
}GraphXSpace=3;fpass=0;bpass=0;for(b=10;b<90;b++){P=5;X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));Buy=Cross(-b,x5);Sell=Cross(x5,b);E1=Equity(1,0);E11=ValueWhen(EVENT,E1);fpass=IIf(e11==g,e1,0)+fpass;bpass=IIf(e11==g,b,0)+bpass;G=IIf(E11==G,0,G);}
Plot(bpass,"bpass",2,8);Plot(-bpass,"bpass",2,8);
<FONT 
size=2>STEP=IIf(EVENT,fpass-Ref(fpass,-1),0);T=Cum(STEP);FINAL=(fpass-T);
<FONT 
size=2>P=5;X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));Plot(x5,"CMO5",colorLightBlue,1);
 
In the att. APOL example, the IPs started with b=21 for one IP 
period, then b=41 or 42 for 20 months and the last 16 months they suggest 
b=58. 
It is the time, perhaps, to invent the gear box and add it to 
your trading vehicle
 
Dimitris Tsokakis

----- Original Message ----- 
From: <A 
title=tsokakis@xxxxxxxxx href="">Dimitris Tsokakis 

To: <A title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Friday, October 31, 2003 12:03 PM
Subject: Steve CMO5 rules and the IPs

at <A 
href="">http://groups.yahoo.com/group/amibroker/message/50917 <SPAN 
class=468263723-30102003>Steve wrote, among the 
others
"...As I have begged many times:  give me something 
better...I'll use it instead of this...."
 
Steve,
The point is how we can make it better, keeping your 
basic favorite principle 
[not to begin again the symmetric/non-symmetric 
discussion]Let us see if automation may replace the trading 
experience.Your x=CMO5 is applied to SYMC and the threshold level b is 
allowed to vary in the [wide] range [10,80]My IP theory has not your trading 
experience but "understood" thatIP0 to IP7 : b=10IP7 : b=29IP8 to 
IP11 : b=34[Steve is right !!]IP11: b=36  The black thick line is 
the IP equity, your E34 is red, the E10 is white and the recent champion E36 is 
green.IP points were placed every 75 bars for the example.
 
// Inspection Points for Steve Karnish CMO5, SYMC 
applicationSTART=DateNum()==1000601 
;per=Param("per",75,25,200,25);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;SetForeign("SYMC",True,True);for(b=10;b<80;b++){P=5;X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));Buy=Cross(-b,x5);Sell=Cross(x5,b);E1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11);}GraphXSpace=3;
<FONT 
size=2>fpass=0;bpass=0;for(b=10;b<80;b++){P=5;X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));Buy=Cross(-b,x5);Sell=Cross(x5,b);E1=Equity(1,0);E11=ValueWhen(EVENT,E1);fpass=IIf(e11==g,e1,0)+fpass;bpass=IIf(e11==g,b,0)+bpass;G=IIf(E11==G,0,G);}STEP=IIf(EVENT,fpass-Ref(fpass,-1),0);T=Cum(STEP);FINAL=(fpass-T);Plot(FINAL,WriteIf(event,"*","")+" 
[b="+WriteVal(bpass,1.0)+"]",IIf(event,colorRed,colorBlack),8);P=5;X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));b=34;Buy=Cross(-b,x5);Sell=Cross(x5,b);E1=Equity(1,0);Plot(e1,"E34",colorRed,1);b=10;Buy=Cross(-b,x5);Sell=Cross(x5,b);E1=Equity(1,0);Plot(e1,"E10",colorWhite,1);b=36;Buy=Cross(-b,x5);Sell=Cross(x5,b);E1=Equity(1,0);Plot(e1,"E36",colorBrightGreen,1);
 
As time goes by, the old top solution b=10 is not bad at all 
[imagine an exit by the end of 2001], but new champions appeared [it is obvious 
to me] and promiss more attractive profits.If their value is temporary, do 
not worry, some other b=XX will be in the head of this [endless] 
marathon.How does it looks like ?Dimitris 
Tsokakis






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