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Hi,
I was trying to workout a system in Amibroker that would use StoRSI
and 144 Ma for trading rules.
I wasn't having great results until I added a ranking method
presented by Gary Serkoshian in his slideshow presentation. It used
BollingerBands to score and rank the trades.
The following Amibroker Code is what I came up with.
Try it and tell me what you think about the system if you care to comment
and get the time. This is intended for trading a portfolio of two or
more stocks and won't improve the score of only one stock.
// Stochastic - RSI , recommended by Steve
Karnish //
// With portfolio mode //
/*****
** REGULAR PORTFOLIO mode
** This sample optimization
** finds what is optimum number of positions open simultaneously
**
****/
SetOption(<FONT color=#ff00ff
size=1>"InitialEquity", <FONT color=#ff00ff
size=1>10000 );
SetTradeDelays(<FONT color=#ff00ff
size=1>1,1<FONT
size=1>,1,<FONT
color=#ff00ff size=1>1);
RoundLotSize = 1;
posqty = Optimize<FONT
size=1>("PosQty",
1, <FONT
color=#ff00ff size=1>1, <FONT color=#ff00ff
size=1>20, 1<FONT
size=1> );
SetOption(<FONT color=#ff00ff
size=1>"MaxOpenPositions", posqty);<FONT
color=#008000 size=1>
// desired position size is 100% portfolio equity
// divided by PosQty positions
PositionSize = -100<FONT
size=1>/posqty;
// The StoRSI system ......
//
StoRSI = EMA<FONT
size=1>((scRSI<FONT
size=1>(C,8) -
LLV(<FONT
color=#0000ff size=1>scRSI(C,<FONT
color=#ff00ff size=1>8),<FONT color=#ff00ff
size=1>8))/
(HHV<FONT
size=1>(scRSI<FONT
size=1>(C,8<FONT
size=1>),8) -
LLV(<FONT
color=#0000ff size=1>scRSI(C,<FONT
color=#ff00ff size=1>8),<FONT color=#ff00ff
size=1>8)),3<FONT
size=1>)*100;
BL=11;
SL=89;<FONT
color=#008000 size=1>
//Trend qualifier .....
x=MA<FONT
size=1>(C,144);
MAlong=x>Ref<FONT
size=1>(x,-1);
MAshort=x<Ref<FONT
size=1>(x,-1<FONT
size=1>);
//
Buy = Cross<FONT
size=1>(11,StoRSI)
AND MAlong;
Sell= Cross<FONT
size=1>(StoRSI,89);
Short = Cross<FONT
size=1>(89,StoRSI)
AND MAshort;// AND
MAshort=True;
Cover = Cross<FONT
size=1>(11<FONT
size=1>,StoRSI);
//Plot(Equity(),"Equity",1,1);<FONT
color=#008000 size=1>
// now additional score
// that is used to rank equities
// when there are more ENTRY signals than available
// positions/cash
//<FONT
face="Times New Roman">PositionScore = 100-RSI(); // prefer stocks that have low
RSI;
//
SetOption(<FONT color=#ff00ff
size=1>"WorstRankHeld",<FONT color=#ff00ff
size=1>10);
numerator=(C-<FONT color=#0000ff
size=1>BBandBot(C,<FONT color=#ff00ff
size=1>21,2<FONT
size=1>)) ;
denominator= BBandTop<FONT
size=1>(C,21<FONT
size=1>,2)-<FONT
color=#0000ff size=1>BBandBot(C,<FONT
color=#ff00ff size=1>21,<FONT color=#ff00ff
size=1>2) ;
Rank= 100-(<FONT
color=#ff00ff size=1>100*((numerator / denominator)))
;//HighpositiveScore best Long
Candidates,//<FONT
color=#008000 size=1>Lownegativescore , best Shorts
//
PositionScore=rank;
<FONT
color=#000000>*****
I'd be interested to know how this ranking method
compares with the Relative Strength ones we talked about recently.
SetOption(<FONT color=#ff00ff
size=1>"WorstRankHeld",<FONT color=#ff00ff
size=1>10);
numerator=(C-<FONT color=#0000ff
size=1>BBandBot(C,<FONT color=#ff00ff
size=1>21,2<FONT
size=1>)) ;
denominator= BBandTop<FONT
size=1>(C,21<FONT
size=1>,2)-<FONT
color=#0000ff size=1>BBandBot(C,<FONT
color=#ff00ff size=1>21,<FONT color=#ff00ff
size=1>2) ;
Rank= 100-(<FONT
color=#ff00ff size=1>100*((numerator / denominator)))
;//HighpositiveScore best Long
Candidates,//<FONT
color=#008000 size=1>Lownegativescore , best Shorts
//
PositionScore=rank ;
<FONT
color=#0000ff> <FONT
color=#000000>*****
Bye for now,
Greg
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