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dale b
--- In amibroker@xxxxxxxxxxxxxxx, "mikelaurataylor"
<mikelaurataylor@xxxx> wrote:
>
> I was curious to know if there was any pattern to what happens after
> the market has dropped by at least 1% for 3 consecutive days in the
> past - to see if there is a buying or shorting opportunity
> (statistically).
>
> I downloaded all daily data back to the 20's for the DOW from Yahoo
> and put some code together (below). In some backtests and
> optimizations (with some code that needs to be modified slightly) it
> appears that if you buy on open on Monday and hold about 86 days you
> can make a nice gain.
>
> I'm having one problem w/ the code. I'm optimizing for the # of
> days, which seems to be holding 86 days as the best scenario, but
> when I run the backtest for 86 days I get 3 or 4 sell signals that
> don't conform to 86 days. I assume that my sell signal is getting
> confused w/ multiple buy signals or something else is going on but I
> havn't been able to figure out why it isn't working. What I'd want
> to do is have it buy after 3 consecutive days down more than 1% and
> then sell x days later (in this case whichever ends up optimized).
>
> If someone can help tell me how to fix the sell signal I'd be happy
> to post the final results.
>
> Here is the code:
>
> PositionSize = 1000;
> C1 = Ref(C,-1);
> C2 = Ref(C,-2);
> C3 = Ref(C,-3);
> Holdtime = Optimize("hold time",86,1,180,1);
> dropamt = .01;
> bigdrop = (C1-C)/C1;
> bigdrop2 = (C2-C1)/C2;
> bigdrop3 = (C3-C2)/C3;
> threedays = (bigdrop >= dropamt) AND (bigdrop2 >= dropamt) AND
> bigdrop3 >= dropamt);
> Buy = threedays;
> Sell = Ref(Buy,-Holdtime);
> Short = False;
> Cover = False;
> AddColumn(Buy,"buy",3.3);
> AddColumn(bigdrop,"bd",3.3);
> AddColumn(bigdrop2,"bd2",3.3);
> AddColumn(bigdrop3,"bd3",3.3);
> AddColumn(threedays,"threedays",3);
> Filter = Buy;
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