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RE: [amibroker] Advance Declone Line



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Trader A is not smart. But, he is the market maker. He creates 
the main peaks and troughs, he can move huge volumes and the poor stockmarket 
can not resist to his sharp changes.He could make a 64,344 in 10 years 
[initial equity 10,000]. 4trades/4winners/0losersThese 10 years were not the 
best for B&H. A poor 6,033 with ambiguous perspectives for the 
future.Trader B needs to be smarter, since he doesnt know the main 
peaks/troughs and he can not move huge volumes.He applies 3 times the slow 
RSI transformation and then the realistic zig trading.He could make an 
86,000,  13 trades/12 winners/1 loser, maxDD -23.5%Trader C uses a 
similar model, a 4-ply slow RSI.He could make an 123,000, 13 trades/12 
winners/1 loser, maxDD -23.5%
 
// Aperc=40; 
z=Zig(C,perc);Plot(z,"Z",1,1);y10=Year()>=1994 AND 
Year()<=2003;Buy=(Year()==1994 AND Ref(Year(),-1)==1993) OR 
y10*(TroughBars(C,perc)==0);Sell=y10*(PeakBars(C,perc)==0);Short=Sell;Cover=Buy; 

 
// 
BPERC=6;N=200;IN=Year()>=1994 AND 
Year()<=2003;s1=RSIa(RSIa(RSIa(RSI(),N),n),n);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*Sell;Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
 
// 
CPERC=6;N=200;IN=Year()>=1994 AND 
Year()<=2003;s1=RSIa(RSIa(RSIa(RSIa(RSI(),N),n),n),n);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*Sell;Cover=Buy;Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
 
The range for B and C is not narrow. The PERC may be from 5 to 
20 and the RSI period N from 150 to 300.The A is theoretical, noone of us 
can make it.The B [or C] may give a basis to build up a trading 
system.All above calculations use buy/sell/short/cover at +1Open, commission 
0.5% and disabled stops.
Note that trader C acts like a theoretical A with PERC=30 
[6trades/6winners/0losers, +124,000]
This is the limitations of my multiple RSI 
method.
I have no idea how to beat the ideal A with PERC=10 
[30trades/30winners/0losers with final equity 3,088,174].
But, time is on my side...Dimitris Tsokakis
 
 
 
 


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