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<SPAN
class=841021313-24112003>Dimitris, thanks for the ideas, I'll check it out.
Besides a QQQ trading vehicle, I'm interested in the smoothing method you chose,
and also your trend qualifier.
<SPAN
class=841021313-24112003>
<SPAN
class=841021313-24112003>Just out of curiosity, what commission settings do you
use? I'm at 1%, which is my usual, but if that's too stringent in this context,
maybe that's why my initial results with this, and other things I've tried,
aren't as spectacular.
<SPAN
class=841021313-24112003>
<SPAN
class=841021313-24112003>I know some of what I'm about to ask has been discussed
here in general, but let me ask it in this specific context anyway: There are a
number of parameters here, either adjustable or built into the code. If
we wanted to optimize for better performance in the current environment,
what test period would you think would translate well to the future? Going
forward, when would you think you'd want to optimize again? How would you
suggest we distinguish a beautiful curve fit over the test period from settings
likely to perform well in the future?
<SPAN
class=841021313-24112003>
<SPAN
class=841021313-24112003>Please don't take those questions as anything other
than what they are, a sincere desire to
learn.
<SPAN
class=841021313-24112003>
<SPAN
class=841021313-24112003>Dave
<BLOCKQUOTE
>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
STOCHRSIPlot(RD,"["+WriteVal(10*K,1.0)+"]",4+10*K,1);TREND=LinearReg(DEMA(C,20),30);//
TREND
QUALIFIERPlot(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 TsokakisSend
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