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One of the best periods of this LongTermRSI composite was the
AB.[midMarch-endJuly 2003]At A the [black] BullRSI passed its lowest point
and started the ascending path.At B the [red] AscRSI crossed downwards the
black line.After 5 months the population of the ascending RSI became for the
first time less than the BullRSI.[ie LongTermRSI>50]This "loop" is a rare
opportunity to go Long and make some safe profits.The index ^NDX made +26%,
but the market as a whole was at +37%.The majority of the database was
profitable [96winners/5losers]The worse PTEN was at -12%, the best SNDK was
at +225%.Some interesting performances for popular stocksCSCO +47%, INTC
+48%, AAPL +40%.Any Long systems would be effectively profitable this
period.Another smaller loop A1-B1 was formatted back in
Oct2001-Feb2002.It was a weak attempt for the market to change the bearish
situation : The black line could not go above 50, the decline of the red line
was sharp and did not leave enough room for dreams.The loop A2-B2 was more
interesting and prepared the main market movement A-B.
Now, the black line is higher than ever, it is not possible to
see similar black/red loops [and it will take long to see that
again...]
----- Original Message -----
From: <A
title=tsokakis@xxxxxxxxx href="">Dimitris Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, February 11, 2004 2:57 PM
Subject: The long term RSI categories
Explore the database for the n=1 last quotations
with
// Long term RSI categories<FONT
size=2>
n=200;
r1=MA(<FONT
size=2>RSI(n/4<FONT
size=2>),n);
r2=LinearReg(r1,n/<FONT
size=2>2);Filter=1<FONT
size=2>;
CategoryRemoveSymbol( <FONT
size=2>"", categoryWatchlist, <FONT
size=2>21 );
CategoryRemoveSymbol( <FONT
size=2>"", categoryWatchlist, <FONT
size=2>22 );
CategoryRemoveSymbol( <FONT
size=2>"", categoryWatchlist, <FONT
size=2>23 );
CategoryRemoveSymbol( <FONT
size=2>"", categoryWatchlist, <FONT
size=2>24 );
Cond1=LastValue(<FONT
size=2>ROC(r1,1<FONT
size=2>)>=0 AND r1<<FONT
size=2>50); //bullish<FONT
size=2>
Cond2=LastValue(<FONT
size=2>ROC(r1,1<FONT
size=2>)>=0 AND r1>=<FONT
size=2>50); //extra
bullish
Cond3=LastValue(<FONT
size=2>ROC(r1,1<FONT
size=2>)<0 AND r1>=<FONT
size=2>50);//bearish<FONT
size=2>
Cond4=LastValue(<FONT
size=2>ROC(r1,1<FONT
size=2>)<0 AND r1<<FONT
size=2>50); //extra
bearish
if( Cond1 )
{
CategoryAddSymbol( <FONT
size=2>"", categoryWatchlist, <FONT
size=2>21 );
}
if( Cond2 )
{
CategoryAddSymbol( <FONT
size=2>"", categoryWatchlist, <FONT
size=2>22 );
}
if( Cond3 )
{
CategoryAddSymbol( <FONT
size=2>"", categoryWatchlist, <FONT
size=2>23 );
}
if( Cond4 )
{
CategoryAddSymbol( <FONT
size=2>"", categoryWatchlist, <FONT
size=2>24 );
}
AddColumn(r1,"r1"<FONT
size=2>);
AddColumn(Cond1,"cond1"<FONT
size=2>,1.0);
AddColumn(Cond2,"cond2"<FONT
size=2>,1.0);
AddColumn(Cond3,"cond3"<FONT
size=2>,1.0);
AddColumn(Cond4,"cond4"<FONT
size=2>,1.0);
Hit View->Refresh All and the stocks will
automatically be placed in
WL21:Bullish
WL22:Extra bullish
WL23:Bearish
WL24:Extra bearish.
The use of the separation is mainly protective :
Avoid, for example, to go Long with stocks belonging to
the WL24.
[See MEDI and FHCC the last 3-4 months. Long trades, from any
system, would probably cause damages]
You may ignore Short signals for stocks in the first
categories.
CSCO, for example, would not give important Short profits
from midMarch 2003 till the end of Jan2004.
The 4 phases are easily recognized in Indicator builder
with
n=200;
r1=MA(<FONT
size=2>RSI(n/4<FONT
size=2>),n);
r2=LinearReg(r1,n/<FONT
size=2>2);
Plot(r1,"["<FONT
size=2>+WriteVal(n,<FONT
size=2>1.0)+"]"<FONT
size=2>,1,<FONT
size=2>1);
Plot(r2,"r2"<FONT
size=2>,4,<FONT
size=2>1);GraphXSpace=5<FONT
size=2>;
Plot( 5<FONT
size=2>,"Ribbon",<FONT
size=2>IIf( ROC<FONT
size=2>(r1,1)>=<FONT
size=2>0 AND r1<50<FONT
size=2>, colorTurquoise,IIf(<FONT
size=2>ROC(r1,1<FONT
size=2>)>=0 AND r1>=<FONT
size=2>50,colorBrightGreen,<FONT
size=2>IIf(ROC<FONT
size=2>(r1,1)<<FONT
size=2>0 AND r1>=50<FONT
size=2>,colorPink,colorDarkRed))),styleOwnScale|styleArea|styleNoLabel,
-0.5, <FONT
size=2>100 );
THE N100 MARKET BEHAVIOR
Scan all N100 stocks, all quotations with
// LONGTERM RSI COMPOSITES
n=200;
r1=MA(<FONT
size=2>RSI(n/4<FONT
size=2>),n);
r2=LinearReg(r1,n/<FONT
size=2>2);
AddToComposite(r1>50<FONT
size=2>,"~bullRSI",<FONT
size=2>"v");
AddToComposite(r1>50<FONT
size=2> AND r1>Ref(r1,-<FONT
size=2>1),"~bullRSIa"<FONT
size=2>,"v");
AddToComposite(r1><FONT
size=2>Ref(r1,-1<FONT
size=2>),"~bullRSIb",<FONT
size=2>"v");
AddToComposite(1,"~count","v");
Buy=0;
and then, in Indicator builder paste the
// LONGTERM RSI COMPOSITES GRAPHS<FONT
size=2>
x=100*<FONT
size=2>Foreign("~bullRSI"<FONT
size=2>,"v")/<FONT
size=2>Foreign("~count"<FONT
size=2>,"v");
xa=100*<FONT
size=2>Foreign("~bullRSIa"<FONT
size=2>,"v")/<FONT
size=2>Foreign("~count"<FONT
size=2>,"v");
xb=100*<FONT
size=2>Foreign("~bullRSIb"<FONT
size=2>,"v")/<FONT
size=2>Foreign("~count"<FONT
size=2>,"v");
Plot(x,"BullRSI"<FONT
size=2>,1,<FONT
size=2>1+4<FONT
size=2>);Plot(xb,<FONT
size=2>"Asc RSI",4<FONT
size=2>,1+<FONT
size=2>4);
Plot(xa,"Bull+Asc RSI"<FONT
size=2>,2,<FONT
size=2>2+4<FONT
size=2>);
The real party was from A [the lowest BullRSI] till B [when
the ascending RSIs became less than the RSI>50]
The market is obviously o/b the last 5 moths and retracements
are expected.
The sharp troughs of the [red] ascending RSI population give
nice re-entry points.
Dimitris
Tsokakis
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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