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Step1.
Create the "~OUT1" composite ticker for the N100
market.
KUP and KDOWN are the Keltner Resistance/Support, the
condition OUT1 occurs when a stock closes
below the Keltner support for the first
time.
The "~OUT1" counts how many tickers did it.
// OUT1
// scan the N100 database for all
quotationsKUP=EMA((H+L+C)/3,10)+EMA(H-L,10);KDOWN=EMA((H+L+C)/3,10)-EMA(H-L,10);OUT1=C<KDOWN
AND
Ref(C,-1)>Ref(KDOWN,-1);AddToComposite(OUT1,"~OUT1","V");AddToComposite(1,"~COUNT","V");Buy=0;
Step2.
After creating the composite ticker, paste in IB
the
// BUY ARROWS
X1=Foreign("~out1","V");Filter=Ref(x1,-1)>20 AND
x1<10;SetForeign("^NDX");Plot(C,"",1,64);PlotShapes(shapeUpArrow*Filter,colorBrightGreen);GraphXSpace=5;
It will plot a green arrow when the "~OUT1" changes
dramatically from >20 to <10.
The signals are quite reliable for the recent bullish period,
the delays are not bad and may give hints for the re-entry points.
[see Fig. 1]
Step3.
After creating the "~out1" composite, let us see the highest
possible profit for a N100 stock.The daily function p1 resets to 0 at every
buy bar and gives the highest partial profit from arrow to arrow.Paste in an
IB window the
// Highest individual
profitX1=Foreign("~out1","V");Filter=Ref(x1,-1)>20 AND
x1<10;PlotShapes(shapeUpArrow*Filter,colorBrightGreen);p1=100*(-1+H/Ref(O,-BarsSince(Filter)));Plot(0,"0",colorBlack,1);Plot(p1,"p1",IIf(p1>0,colorBrightGreen,colorRed),8+2);
Select a N100 ticker from the symbol tree to see the
individual profits per period.
[See Fig. 2]
Step4.
To see the % of the profitable stocks for the whole N100
database:
// Create the average p1
// scan the N100 database for all
quotations
X1=Foreign("~out1","V");Filter=Ref(x1,-1)>20 AND
x1<10;p1=100*(-1+H/Ref(C,-BarsSince(Filter)));AddToComposite(p1,"~p1","C");AddToComposite(p1>0,"~profitable","v");Buy=0;
Step5.
// The average p1
graphX1=Foreign("~out1","V");Plot(0,"0",colorBlack,1);Plot(-10,"",1,1);Filter=Ref(x1,-1)>20
AND
x1<10;//Plot(C,"",1,64);PlotShapes(shapeSmallUpTriangle*Filter,colorBrightGreen);
pAV=Foreign("~p1","C")/Foreign("~count","v");Profitables=100*Foreign("~profitable","v")/Foreign("~count","v");Plot(
5, "Ribbon",IIf( profitables>90, colorBlue,IIf(profitables>75,
colorLightBlue,IIf(profitables>50,colorYellow,colorRed))),
styleArea|styleNoLabel|styleOwnScale,-1,100
);Plot(IIf(Filter,0,pAV),"pAV",IIf(pAV>0,colorBlack,colorRed),styleArea);Title="The
"+WriteVal(profitables,1.0)+"% of the N100 stocks is profitable. The Average
Profit since "+WriteVal(ValueWhen(Filter,DateTime()),formatDateTime)+" is
"+WriteVal(pAV,1.2)+"%";Plot(HighestSince(Filter,IIf(Filter,0,pAV)),"",ColorLightGrey,1);
The profitability is, according to the ribbon color>90%
[Blue]>75% [LightBlue]>50% [yellow]<50% [red]
You may read in the title the % of profitable stocks and the highest
possible average profit from the Buy date.
[See Fig. 3]
Dimitris Tsokakis
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