|
PureBytes Links
Trading Reference Links
|
Gary,
This changes the results, but doesn't solve the problem
completely.
On 2/27/02, the RSI crosses below 30 and so the system buys on
2/28/02 like it should. The RSI then rises above 30, but the Close is not
high enough over the next couple days to make the Sell condition be True.
Then on 3/2/01, the RSI falls below 30 again. Since the system is already
in the middle of a trade, there is not another buy signal, which is what I
want.
But the code now exits when the close is higher than what the
entry would have been on the 2nd (potential) signal instead of what the entry
really was on the first (real) signal. The system exits at a loss, when I
want to always wait until there is a profit before exiting.
Linda
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Gary
A. Serkhoshian
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: June 22, 2004 8:37 PM
Subject: Re: [amibroker] Problem with
Extraneous Buy Signals
Linda,The problem is that Cond1 =
RSI(14)<30is always true when RSI is below 30. All you want
isthe cross. So, use Cross(30, RSI(14))
instead.Regards,Gary--- Linda Wilmarth <<A
href="">smart@xxxxxxxxxx> wrote:> I am
having problems with a system that I am> writing. >
> I have simplified it to the basics for testing>
purposes. At this point, I am testing the system> using EOD data
for QQQ only. > > The system will buy at the next Open if
the 14-day> RSI is less than 30. Then I want to sell at
the> first close where I have made a profit, which may> even be
the same day that I buy.> > The code works fine if the RSI drops
below 30 for 1> day only, e.g. it buys and sells on 4/17/00, and
it> buys on 4/29/02 and sells on 4/30/02. > > But
if the RSI stays below 30 for more than 1 day,> the code does not
work. For example, the RSI drops> below 30 on 10/10/00 and the
system correctly buys> on 10/11/00. It should sell on the same
day> (10/11/00) because there would have been a small> profit
that day. But it does not - the RSI is also> less than 30 on
10/11/00 and the code does not> produce the desired results. It
waits until> 10/12/00 to sell. Then it buys again on
10/12/00,> which it should since the RSI on 10/11 was less than>
30, but does not sell until 2/28/01, when it should> have sold the next
day on 10/13/00.> > I've included the code below. Anyone
have an idea> what I am doing wrong?> > Thanks>
> Linda> > Var0 = 1;> > SetOption
("InitialEquity", 100000); > > SetOption ("MaxOpenPositions",
Var0);> > PositionSize = -100/Var0; // to compound
results> > BuyPrice = Open;> > SellPrice =
Close;> > SetTradeDelays ( 1, 0, 1, 1); // buy, sell,
short,> cover> > //
BUY>-------------------------------------------------------------->
> > Cond1 = RSI(14)<30;> > Buy = Cond1
;> > //
SELL>-------------------------------------------------------------->
> > Cond102 = Close >
Ref(BuyPrice,-BarsSince(Buy)+1);> > Sell = Cond102 ; >
> Buy = ExRem (Buy, Sell);> > Sell = ExRem (Sell,
Buy);> >
__________________________________Do
you Yahoo!?New and Improved Yahoo! Mail - Send 10MB messages!<A
href="">http://promotions.yahoo.com/new_mail
Check AmiBroker web page at:<A
href="">http://www.amibroker.com/Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Check AmiBroker web page at:
http://www.amibroker.com/
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Sponsor
ADVERTISEMENT
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 the Yahoo! Terms of Service.
|