|
PureBytes Links
Trading Reference Links
|
Just a thought:
What would happen if you ran a correlation run with those stocks to the
sectors. Then short the sectors at open because the uptick rule does
not apply them.
Dominick
ed2000nl wrote:
> 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
> <mailto:amibroker-unsubscribe@xxxxxxxxxxxxxxx?subject=Unsubscribe>
>
> * Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> Service <http://docs.yahoo.com/info/terms/>.
>
>
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/
|