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Dave,
It would be interesting to make your own study on the STORSI.
Here is an example for QQQ.
It was tuned to the bearish environement, the peak of the Equity is
very close to the change of the trend.
// A STORSI example for QQQ
SetBarsRequired(1000,1000);
function IIR2( input, f0, f1, f2 )
{
result[ 0 ] = input[ 0 ];result[ 1 ] = input[ 1 ];
for( i = 100; i < BarCount; i++ )
{
result[ i ] = f0 * input[ i ] + f1 * result[ i - 1 ] + f2 * result
[ i - 2 ];
}
return result;
}
x=DEMA(RSI(10),10);t=20;
C1=100*(x-LLV(x,t))/(HHV(x,t)-LLV(x,t));Plot(C1,"STORSI",1,1);
K=0.4;
RD=IIR2( C1, 0.3, 1.6, -0.9);// SMOOTHED STOCHRSI
Plot(RD,"["+WriteVal(10*K,1.0)+"]",4+10*K,1);
TREND=LinearReg(DEMA(C,20),30);// TREND QUALIFIER
Plot(TREND,"TREND",4,styleOwnScale);
BLEVEL=Optimize("BL",-19,-30,-10,1);Plot(BLEVEL,"BLEVEL",1,1);
SLEVEL=Optimize("SL",49,40,60,1);Plot(SLEVEL,"SLEVEL",1,1);
Buy=Cross(RD,BLEVEL);Sell=Cross(RD,SLEVEL);
Short=Cross(RD,SLEVEL) ;Cover=Buy;
It is a good point to start and tune it to the present conditions,
add trend characteristics [I have added a TREND function, you may
select yours] etc.
>From June2000 till now, no losing combinations, affordable drawdowns
[less than 40%] and very good behavior when the bears define the
game...
Better than +350%, winners/losers ~2/1, not bad at all for QQQ.
Of course it is not the only QQQ vehicle, it is just an example to
begin with.
Dimitris Tsokakis
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