[amibroker] Fw: 15 trendy years

["Dimitris Tsokakis" <TSOKAKIS@xxxxxxxxx>]

The analytic study of the optimal PERC through these years is 
an application of the Inspection Points theory.In the following example, we 
recheck the PERC value by the beginning of each year and keep this value for the 
whole year.
 
// Inspection Points and the smoothed RSI 
system.in=DateNum()>=900102;EVENT=in*(Year()>Ref(Year(),-1));s1=MA(RSI(),40);G=0;Plot(2,"",Cum(1)%2,1);Plot(0,"",1,styleNoLine);PlotShapes(shapeUpTriangle*EVENT,colorBlue);for(PERC=5;PERC<15;PERC++){Z=Zig(S1,PERC);RT=TroughBars(S1,PERC)==0;RT1=ValueWhen(RT,S1);RT2=(1+0.01*PERC)*RT1;Buy=in*Cross(Z,RT2);RP=PeakBars(S1,PERC)==0;RP1=ValueWhen(RP,S1);RP2=(1-0.01*PERC)*RP1;Sell=in*Cross(RP2,Z);Short=in*(Cross(60,S1) 
OR 
(S1<60)*Sell);Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);e1=Equity(1,0);E11=ValueWhen(EVENT,E1);G=IIf(G>E11,G,E11);}PERCPASS=0;for(PERC=5;PERC<15;PERC++){Z=Zig(S1,PERC);RT=TroughBars(S1,PERC)==0;RT1=ValueWhen(RT,S1);RT2=(1+0.01*PERC)*RT1;Buy=in*Cross(Z,RT2);RP=PeakBars(S1,PERC)==0;RP1=ValueWhen(RP,S1);RP2=(1-0.01*PERC)*RP1;Sell=in*Cross(RP2,Z);Short=in*(Cross(60,S1) 
OR 
(S1<60)*Sell);Cover=in*Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);e1=Equity(1,0);E11=ValueWhen(EVENT,E1);PERCpass=IIf(e11==g,PERC,0)+PERCpass;G=IIf(E11==G,0,G);}Plot(PERCpass,"PERCpass",1,8);
 
The range of percentages was from PERC=5% to 
PERC=15%.
Some PERC selections were not lucky, they became second rate a 
few bars after the selection.
The whole bunch of PERCs was positive in general, without 
undesirable surprises.
Dimitris Tsokakis
 
 
----- Original Message ----- 
From: <A 
title=tsokakis@xxxxxxxxx href="">Dimitris Tsokakis 

To: <A title=amibroker@xxxxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Monday, January 12, 2004 10:52 AM
Subject: 15 trendy years

Let us examine a smoothed RSI peaks and troughs for the lat 15 
^NDX years.The 
 
// Theoretical smoothed RSI 
systems1=MA(RSI(),40);PERC=6;RT=TroughBars(S1,PERC)==0;Buy=rt;RP=PeakBars(S1,PERC)==0;Sell=rp;Short=Sell;Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
 
is 5-digit profitable [+47500%] from Jan1990 till end Dec2003 
withbuy/sell/short/cover at +1Open, commission 0.5%, all stops 
disabled.The system is not realistic, we can never buy at trough, because we 
know the trough some bars later.Besides that, the equity line is interesting 
: It goes with an average rate 3*B&H for the crazy decade 1990-2000 and 
keeps on excellent profits during the bearish years.The slope of the equity 
line is substantially increased after the bubble peak.These observations 
give a hint for a closer look.We may follow<A 
href="">http://groups.yahoo.com/group/amibroker/messages/17601and 
buid up the 
 
// Realistic smoothed RSI 
systemPERC=6;s1=MA(RSI(),40);Z=Zig(S1,PERC);RT=TroughBars(S1,PERC)==0;RT1=ValueWhen(RT,S1);RT2=(1+0.01*PERC)*RT1;Buy=Cross(Z,RT2);RP=PeakBars(S1,PERC)==0;RP1=ValueWhen(RP,S1);RP2=(1-0.01*PERC)*RP1;Sell=Cross(RP2,Z);Short=(Cross(60,S1) 
OR 
(S1<60)*Sell);Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
 
The basic equity line property is preserved and the new, 
realistic profit [+7000%] is not bad at all.PERC=6 is one of the best 
choices for the first 5 years, top choice for the next 5 and definitely the best 
after 2001,as we may see in IB 
from for(PERC=5;PERC<=10;PERC++){s1=MA(RSI(),40);Z=Zig(S1,PERC);RT=TroughBars(S1,PERC)==0;RT1=ValueWhen(RT,S1);RT2=(1+0.01*PERC)*RT1;Buy=Cross(Z,RT2);RP=PeakBars(S1,PERC)==0;RP1=ValueWhen(RP,S1);RP2=(1-0.01*PERC)*RP1;Sell=Cross(RP2,Z);Short=(Cross(60,S1) 
OR 
(S1<60)*Sell);Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);Plot(Equity(),"["+WriteVal(perc,1.0)+"]",PERC,1);}
 
All the above equity lines have increased by +100%-500% their 
27/3/2000 value.
There are many variations of the above described model, other 
RSIs have much better performance.
We may also prefer the long part for the bullish years and 
give more emphasis to the short part when the market was definitely 
bearish.
The long term RSI gives a simple and quite expressive 
description:
When r1 falls below 50, there is no doubt we are in a deep 
bearish environment, long trades usually fail and short trades go with the 

market. Try the simple ^NDX phase detector
 
<FONT 
size=2>n=200;r1=LinearReg(MA(RSI(n),n/2),n/10);Plot(r1,"",1,1);
 
to begin with.
Dimitris Tsokakis


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