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[amibroker] Pivots



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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! 


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