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<SPAN
class=698535513-24112003>One further related question: You mention that this is
"tuned to the bearish environment". Do you have an indicator that helps you know
quantitatively when we're no longer in a bearish
environment?
<SPAN
class=698535513-24112003>
<SPAN
class=698535513-24112003>Thanks,
<SPAN
class=698535513-24112003>
<SPAN
class=698535513-24112003>dave
<BLOCKQUOTE
>
<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
Tsokakis
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