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Folks - thanks for all the pvt emails. It seems the general
consensus is that the system is unprofitable. I did a simple
backtest on another sample of stocks and got negative results also (6
mth period, 36 trades and -25% loss). I played around with the
system and added another condition. Same backtest - but now I got
less signals (18) and got a 5.96% profit for the same sample of
stocks. Attached is the complete code with the extra condition and
also the 'Bearish Kicker Signal' code attached for short/cover.
// Kicker Bullish Signal
Cond1 = Close > Open AND Low >= Ref(High, -1);
Cond2 = Ref(High, -1) < Ref(High, -2) AND Ref(High, -2) < Ref(High, -
3);
Cond3 = Ref(Low, -1) < Ref(Low, -2) AND Ref(Low,-2) < Ref(Low, -3);
Cond4 = Volume > Ref( Volume, -1);
Cond5 = EMA (Close, 20) < EMA (Close, 50);
// Kicker Bearish Signal
Cond6 = Close < Open AND High <= Ref(Low, -1);
Cond7 = Ref(High, -1) > Ref(High, -2) AND Ref(High, -2) > Ref(High, -
3);
Cond8 = Ref(Low, -1) > Ref(Low, -2) AND Ref(Low,-2) > Ref(Low, -3);
Cond9 = Volume > Ref( Volume, -1);
Cond10 = EMA (Close, 20) > EMA (Close, 50);
// Buy signal for Kicker Bullish Signal
Buy = Cond1 AND Cond2 AND Cond3 AND Cond4 AND Cond5;
Sell = Close < (0.5 * HHV (Close, 2));
// Short signal for Kicker Bearish Signal
Short = Cond6 AND Cond7 AND Cond8 AND Cond9 AND Cond10;
Cover = Close > (0.5 * HHV (Close, 2));
ApplyStop(stopTypeLoss,
stopModePercent,
Optimize( "max. loss stop level", 1, 1, 5, 1 ),
True );
ApplyStop( stopTypeNBar, stopModeBars, Optimize ("max stop days", 5,
1, 20, 1), True);
--- In amibroker@xxxxxxxxxxxxxxx, "Dickie Paria" <babui@xxxx> wrote:
> Eric - I had checked it against 316 stocks picked at random for the
> last 6 mths of 2004 with the usual setups($18 comm, one
> day 'buy/sell' delays). I wasn't planning on a trading system but
> ran a quick bactest to make sure the trade signals were being
> correctly picked up. I was pleasantly surprised to find an
> annualized 214% profit. Before throwing it in the garbage heap, I
> would check the system against small caps vs large caps or put in
> some additional filter (for long) like EMA(C,15) < EMA
(C,50)....just
> to see if results are better. Just my thoughts
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, eric paradis
> <thechemistrybetweenus@xxxx> wrote:
> > Dickie, just backtested the system using 100 round lot
> > size and 1,1,1,1 trade delays, long only for the
> > entire US Stocks database, with 100k starting 1/1/2000
> > and it blew the account, only $1500 bucks left in it.
> > ]
> >
> > Eric
> >
> > --- Dickie Paria <babui@xxxx> wrote:
> >
> > > The 'Kicker' is the most powerful candlestick signal
> > > according to the
> > > books by Steve Nison, Greg Morris and Stephen
> > > Bigalow (read
> > >
> > http://www.candlestickforum.com/article_kicker.html).
> > > Attached is a
> > > simple AFL code that you can use to scan for
> > > 'Kicker' signals. I
> > > tested it, as a trading system, on a sample of 300+
> > > NYSE and NASDAQ
> > > stocks over a recent 6 mth period and came up with
> > > 214% annualized
> > > profits....only buying long. I would NOT trade this
> > > system without
> > > doing out-of-sample and walk forward testing but I
> > > don't have time
> > > now and I'll leave that upto the reader. You can
> > > also create
> > > a 'Kicker' bearish signal by changing the signs
> > > below (i.e., make
> > > anything " > " into " < " and vice versa).
> > > Enjoy.......and I would
> > > appreciate comments and improvements.
> > >
> > > // Kicker bullish signal
> > >
> > > Cond1 = Close > Open AND Low > Ref(High, -1);
> > > Cond2 = Ref(High, -1) < Ref(High, -2) AND Ref(High,
> > > -2) < Ref(High, -
> > > 3);
> > > Cond3 = Ref(Low, -1) < Ref(Low, -2) AND Ref(Low,-2)
> > > < Ref(Low, -3);
> > > Cond4 = Volume > Ref( Volume, -1);
> > >
> > > Buy = Cond1 AND Cond2 AND Cond3 AND Cond4;
> > > Sell = Close < (0.5 * HHV (Close, 2));
> > >
> > > ApplyStop(stopTypeLoss,
> > > stopModePercent,
> > > Optimize( "max. loss stop level", 5, 1, 5,
> > > 1 ),
> > > True );
> > > ApplyStop( stopTypeNBar, stopModeBars, Optimize
> > > ("max stop days", 5,
> > > 1, 20, 1), True);
> > >
> > >
> > >
> > >
> >
> >
> > __________________________________________________
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> > Tired of spam? Yahoo! Mail has the best spam protection around
> > http://mail.yahoo.com
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