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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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