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Re: [amibroker] StoRSI + 144MA + BB rank



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Hi,
Forget it . I had not tested over enough time periods. Doesn't look so good 
to me now. Back to the drawing board.
 
Greg
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Greg 
  
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">AmiBroker@xxxxxxxxxxx 
  Sent: Thursday, December 18, 2003 9:13 
  AM
  Subject: [amibroker] StoRSI + 144MA + BB 
  rank
  
  
  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 
  size=1>(scRSI<FONT 
  size=1>(C,8<FONT 
  size=1>),8))/
  (HHV<FONT 
  size=1>(scRSI<FONT 
  size=1>(C,8<FONT 
  size=1>),8) - 
  LLV<FONT 
  size=1>(scRSI<FONT 
  size=1>(C,8<FONT 
  size=1>),8<FONT 
  size=1>)),3<FONT 
  size=1>)*100;
  BL=11;
  SL=89<FONT 
  size=1>;
  //Trend qualifier .....
  x=MA<FONT 
  size=1>(C,144<FONT 
  size=1>);
  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<FONT 
  size=1>);
  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 
  size=1>)-BBandBot<FONT 
  size=1>(C,21<FONT 
  size=1>,2) ;
  Rank= 100<FONT 
  size=1>-(100*((numerator 
  / denominator))) ;//HighpositiveScore best 
  Long Candidates,<FONT face="Courier New" 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 
  size=1>)-BBandBot<FONT 
  size=1>(C,21<FONT 
  size=1>,2) ;
  Rank= 100<FONT 
  size=1>-(100*((numerator 
  / denominator))) ;//HighpositiveScore best 
  Long Candidates,<FONT face="Courier New" color=#008000 
  size=1>//Lownegativescore , best Shorts
  //
  PositionScore=rank ;
  <FONT 
  color=#0000ff> <FONT 
  color=#000000>*****
   
  Bye for now,
  GregSend BUG REPORTS 
  to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to 
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