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Claud,
YHOO is an exception. Its backtesting is interesting in some
parameters range, but, the majority of the N100 stocks have
catastrophic results.
Check the optimization
WildPer = Optimize("Wilder Time Periods", 35, 10, 60, 5 );
Value = Optimize("RSI value", 50, 30, 60, 1 );
Field = Param("Price Field (0-close, 1-high, 2-low)", 0, 0, 2, 1 );
Mode = Param("Mode (0-RSI, 1-ReverseRSI)", 1, 0, 1, 1 );
function RevRSI( value, array, periods )
{
AU = Wilders( Max( array - Ref( array, -1 ), 0 ), periods );
AD = Wilders( Max( Ref( array, -1 ) - array, 0 ), periods );
x = ( periods - 1 ) * ( AD * value / (100 - value) - AU);
return IIf( x >= 0, array+x, array + x * (100 - value)/value );
}
array = IIf( Field == 0, Close, IIf( Field == 1, High, Low ) );
aname = WriteIf( Field == 0, "Close", WriteIf( Field == 1, "High",
"Low" ) );
if( Mode == 0 ) /* RSI */
{
Plot( RSIa( array, WildPer ), "RSI( " + aname + ", " + WildPer + ")",
colorRed );
}
else
{
Plot( array, aname, colorBlack );
Plot( RevRSI( value, array, WildPer ), "ReverseRSI( " + aname + ", " +
WildPer + ")", colorBlue, styleThick );
}
Buy=Cross( array, RevRSI( value, array, WildPer ));
Sell=Cross(RevRSI( value, array, WildPer ), array);
Short = Sell;
Cover = Buy;
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
PlotShapes(Buy*shapeUpArrow,colorAqua);
PlotShapes(Sell*shapeDownArrow,colorYellow);
for Buy, Sell, Short, Cover at +1Open, commission 0.5%.
YHOO and RIMM have nice % profits, but the winning trades are less
than the losers...
On the other side, the philosophy of the system is a bit strange :
What is the RevRSI ? It is the expected tomorrow´s Close which will
give a cetain RSI value. When we set Value =50, we expect tomorrow´s
RSI to be equal to 50. Is it a reason to Buy ?? Think about...
The logic is quite similar [for Periods=35 as in the above
optimization] to the
Buy=Cross( RSI(35), 50);
Sell=Cross(50, RSI(35));
Short = Sell;Cover = Buy;
Buy=ExRem(Buy,Sell);
Sell=ExRem(Sell,Buy);
It is indeed interesting for YHOO, RIMM and some other stocks but
catastrophic for the market in general [worse than -50%].
I hope it is more clear now.
Dimitris
--- In amibroker@xxxxxxxxxxxxxxx, "Claud Hou" <hclaud_98@xxxx> wrote:
>
> Actually the program is not mine. I just got it yesterday from this
> board. I only did some simple parameter tuning. My own program does
> not perform as good as this one. So I did not mention it.
>
> Maybe there is some thing wrong with the way I ran backtests?
>
> 1) Set all trading price at Open.
> 2) No stop loss.
> 3) No optimizations
>
> here's the program:(you can run the same testing)
> ===================================================
> WildPer = Param("Wilder Time Periods", 9, 5, 100, 1 );
>
> Value = Param("RSI value", 50, 1, 100, 0.1 );
>
> Field = Param("Price Field (0-close, 1-high, 2-low)", 0, 0, 2, 1 );
>
> Mode = Param("Mode (0-RSI, 1-ReverseRSI)", 1, 0, 1, 1 );
>
> function RevRSI( value, array, periods )
>
> {
>
> AU = Wilders( Max( array - Ref( array, -1 ), 0 ), periods );
>
> AD = Wilders( Max( Ref( array, -1 ) - array, 0 ), periods );
>
> x = ( periods - 1 ) * ( AD * value / (100 - value) - AU);
>
> return IIf( x >= 0, array+x, array + x * (100 - value)/value );
>
> }
>
> array = IIf( Field == 0, Close, IIf( Field == 1, High, Low ) );
>
> aname = WriteIf( Field == 0, "Close", WriteIf( Field == 1, "High",
> "Low" ) );
>
> if( Mode == 0 ) /* RSI */
>
> {
>
> Plot( RSIa( array, WildPer ), "RSI( " + aname + ", " + WildPer
+ ")",
> colorRed );
>
> }
>
> else
>
> {
>
> Plot( array, aname, colorBlack );
>
> Plot( RevRSI( value, array, WildPer ), "ReverseRSI( " + aname
+ ", " +
> WildPer + ")", colorBlue, styleThick );
>
> }
>
> Buy=Cross( array, RevRSI( value, array, WildPer ));
>
> Sell=Cross(RevRSI( value, array, WildPer ), array);
>
> short = sell;
> cover = buy;
>
> Buy=ExRem(Buy,Sell);
>
> Sell=ExRem(Sell,Buy);
>
> PlotShapes(Buy*shapeUpArrow,colorAqua);
>
> PlotShapes(Sell*shapeDownArrow,colorYellow);
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > well, I guess you'll just have to send me a copy privately so
that
> I can see
> > what's wrong. 8-)
> >
> > Listen to your wife. its in your signal detection.
> >
> > d
> >
> >
> > _____
> >
> > From: Claud Hou [mailto:hclaud_98@x...]
> > Sent: Thursday, November 04, 2004 4:59 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Amazing backtest ==> Automatic/program
> trading
> >
> >
> >
> > Indeed it is too good. My wife says I am dreaming. But that's
what
> > backtest reports. It's not me. It's the program.
> >
> > As any trading system does, you always get a signal first.
> > So the program works like this (daily based):
> > 1) Detect a buy signal
> > 2) Buy at Open next day. (and/or cover)
> > .... hold till ...
> > 3) Detect a sell siganl
> > 4) Sell at open next day, immediately go short
> > 5) loops back to 1)
> >
> > simple as that.
> >
> > BTW, I don't like Porche GT. So don't worry about that.
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "dingo" <dingo@xxxx> wrote:
> > > have you heard what "they" say when something sounds too good
to
> be
> > true?
> > > Doesn't yours sound a little too good to be true?
> > >
> > > Suggest you click the "Check" button in the AA window. If that
> says
> > you're
> > > ok then are you testing for high and low values using EOD data
in
> > your
> > > system for buying and selling?
> > >
> > > I'd advise you not to get too excited just yet and certainly
> don't
> > go out
> > > and buy that Porche GT just yet.
> > >
> > > d
> > >
> > >
> > > _____
> > >
> > > From: Claud Hou [mailto:hclaud_98@x...]
> > > Sent: Thursday, November 04, 2004 4:41 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] Amazing backtest ==> Automatic/program
> trading
> > >
> > >
> > >
> > > Last night I ran some backtests with some simple trading
systems.
> > > The results are amazing:
> > > For example,
> > > In 3 years from 11/03/2001 to 11/03/2004, with 10K initial
> account
> > > value, you'll get 5.3M trading only YHOO. (long/short).
> > > The result will be even astonishing if you use margin and trade
> > > options.
> > >
> > > So come some questions:
> > > 1) How reliable are these backtest results?
> > > 2) How's the progress for AB's feature of automatic trading
with
> IB?
> > > 3) Better yet, is there a broker that accepts a trading system
> from
> > > customer and does program trading?
> > >
> > > Basically, open an account with 10K and let the program run
every
> > > trading day, then forget it. Three year later, you check your
> > account
> > > finding out you are a multi-millionaire.
> > > How sweet is that? :-)
> > >
> > >
> > >
> > >
> > >
> > > Check AmiBroker web page at:
> > > http://www.amibroker.com/
> > >
> > > Check group FAQ at:
> > > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > >
> > >
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> > >
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> > >
> > > _____
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> >
> >
> >
> >
> >
> > Check AmiBroker web page at:
> > http://www.amibroker.com/
> >
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> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
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> >
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> >
> >
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