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The N100 signals may be applied on ^N225.
Since the Japanese market opens after the US close, we use the
next bar Open.
The steps are
Step1.
Create the ~OUT1 ticker
// ~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.
Plot in IB the best [green] and the worse [red] scenario for every Buy
signal.
The green line gives the max possible profit, the red line gives the max
possible loss.
// ^N225 application
X1=Foreign("~out1","V");Filter=Ref(Ref(x1,-1)>20 AND
x1<10,-1);PlotShapes(shapeUpArrow*Filter,colorBrightGreen);p1=100*(-1+H/Ref(O,-BarsSince(Filter)));p2=100*(-1+L/Ref(O,-BarsSince(Filter)));Plot(0,"0",colorBlack,1);Plot(HighestSince(Filter,IIf(Filter,0,p1)),"\nHighest
p1",colorBrightGreen,styleThick);Plot(LowestSince(Filter,IIf(Filter,0,p2)),"\nLowest
p2",colorRed,styleThick);AddColumn(Ref(HighestSince(Filter,IIf(Filter,0,p1)),-1),"Highest
p1 %");AddColumn(Ref(LowestSince(Filter,IIf(Filter,0,p2)),-1),"Lowest p1
%");
Step 3.
In AA window explore ^N225 from May2003 till now with the same
formula.
The gifs speak better.
Note, for example, that from Nov20, 2003 till Feb 6, 2004 it
was IMPOSSIBLE to loose,
there are no red lines. All the Lows were higher than the respective
BuyPrice !!
Dimitris Tsokakis
----- Original Message -----
From: <A
title=tsokakis@xxxxxxxxx href="">Dimitris Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, March 12, 2004 10:44 AM
Subject: 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
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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