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Don,
It is already "corrected" in step4, I use the Close of the signal day
[instead of the Open, which is, of course unrealistic].You may
replace it in step 3 also. Things will not change dramatically, many
results were better using C instead of O. You may also use the next
bar Open for more accurate quantitative results.
BTW, the last signal was a problem, the market did not respond the
first day [we have had many important external events...]
I think we are in profitable area again, after Friday's close.
More comments tomorrow, I am far from the office now.
Thank you for pointing this out.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Don Upton" <don.upton@xxxx> wrote:
> Dimitris,
>
> Thanks for this interesting study. One question: aren't you
peeking just a
> bit into the future in calculating Profit in step 3 by referencing
the Open
> price on the bar where Filter fires? I don't think this would make
a big
> difference, anyway. Or maybe I'm missing something...?
> -----Original Message-----
> From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
> Sent: Friday, March 12, 2004 3:44 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] A profitable Indicator[step by step]
>
>
>
> 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 quotations
> KUP=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 profit
> X1=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 graph
> X1=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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