PureBytes Links
Trading Reference Links
|
I just wanted to show how sensitive systems can be but remarks are
welcome.
I was testing a simple rotational system that seemed to give pretty
good results (in theory). The system buys/sells/shorts/covers at the
open with a tradedelay of 1.
Following this system using a database of about 2200 stocks on the
NYSE I found that in a few cases I could not enter a short position
at the open because of this damned uptick rule. I did not want to
chase these trades (since I did not include slippage in the
calculations) so I stopped using the system to evaluate it.
I did a simple test where I added the following constraint in the
positionscore for long positions, Ref(L,1) < Ref(O,1)-0.05 and for
short positions, Ref(H,1) > Ref(O,1)+0.05, see:
par1=15;
rr=11;
tt=50 - StochK(rr);
PositionScore = IIf(MA(C,par1)*MA(V,par1) > 40e6
AND
(
(RSI(rr) < 35 AND C<O AND Ref(L,1) < Ref(O,1)-0.05 )
OR
(RSI(rr) > 65 AND O<C AND Ref(H,1) > Ref(O,1)+0.05 )
)
,tt,0);
Basicly what I added for TESTING purposes is that I only buy a stock
if the price drops at least 5 cents below the open price. Same I only
enter those short positions that increase in price at least 5 cents
above the open.
The result is that a winning system changes in a loosing system. I am
pretty amazed because I use such a large database. I would have
thought it wouldn't matter that much ... especially because a rough
test showed that only about 3% the possible short or long positions
are ignored due to this extra constraint. Bummer!
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|