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Backtest produced 194% return on internet sector for Mar'04-Mar'05
and 40% return Mar'03-Mar'04 (same sector). 1 day delay in buy/sell
on open and 50% margin was taken. Thanks to Mark for taking the
initiative to test this code on other sectors. He also reports that
SmallCap600 test results were very good.
--- In amibroker@xxxxxxxxxxxxxxx, l washington <goldwing01_1999@xxxx>
wrote:
>
> First-rate code DParia thanks for sharing, at a glance it seems to
be very responsive.
>
>
> Dickie Paria <babui@xxxx> wrote:How would like to trade a system
that will make you rich beyond your
> wildest dreams, lower your cholesterol and make you a better lover
in
> bed ?!! Don't think such a system exists !! then read on - my
> sceptical friend........(afl code is below)
>
> This system was revealed to me, this morning, as I was crossing 5th
> Ave and 34th St...a bright white light shown down on me and I heard
a
> Voice - "O' Grasshopper - combine a smart money flow indicator with
a
> momemtum indicator". I asked - which indicators - there are so
many
> of them ? The Voice replied - "must you ask such stupid qts,
> Grasshopper. There is only the FVE smart money indicator by Markos
> Katsanos and the TSI momemtum indicator by William Blau.
And...test
> it only on volatile sectors".
>
> Such revelations come only once in a blue moon - so I put together
> the system (after playing around with many buy/sell rules) and
tested
> it on all the stocks in the Biotech sector from Yahoo (I think
about
> a 100+ stocks) from 6/14/02 - 6/13/04. $10k equity, 50% margin,
Long
> only, $16 trade comm. Results - 25 trades, 15 winners and annual
> return of 312%. Gotta be a fluke, I said. So, I tried it on the
> same stocks from 6/14/04 - 6/13/05. Annual return 335% !!
>
> Ok. there is a catch. There always is ! The buy/sell delays were
> set to '0' (meaning buy/sell happened as soon as the conditions
were
> met). This system would work only for those folks with fancy
> automated trading (through IB with AB).
>
> What about the rest of us Grasshoppers who buy and sell on the open
> with a 1 day trade delay ? Well, I re-tested and 6/14/02 - 6/13/04
> and 6/14/04 - 6/13/05 showed annual returns of 28% and 26%
> respectively. Respectable....I guess.
>
> What about other volatile sectors - you say ? Sheeet ! O'
> Grasshoppers in training - must I do all the work ?
>
> [Ok. Ok. So, I did exaggerate on the 'lowering cholesterol and
being
> better lovers in bed' but - hey - you can't ask for everything]
>
> **************************************************************
>
> // Money Flow Indicator - FVE by Markos Katsanos - almost identical
> to proprietary TSV money flow indicator by Worden
>
> Period = Param("Period for FVE", 22, 5, 80, 1 );
> Coeff = Param("Coeff for Cutoff", 0.1, 0, 2, 0.01 );
>
> intra=log(H)-log(L);
> Vintra = StDev(intra, period );
> inter = log(Avg)-log(Ref(Avg,-1));
> Vinter = StDev(inter,period);
> Cutoff = Coeff * (Vinter+Vintra)*C;
> MF = C- (H+L)/2 + Avg - Ref( Avg, -1 );
> VC = IIf( MF > Cutoff, V,
> IIf( MF < -Cutoff, -V, 0 ));
> FVE = 100 * Sum( VC, Period )/(MA( V, Period ) * Period );
>
> // Momemtum Indicator by William Blau
>
> TSI = 100 * ( EMA( EMA( C - Ref( C, -1 ) ,25 ) ,13)
> / EMA( EMA( abs( C - Ref( C, -1) ),25 ), 13 ) );
>
> // Plots for money flow and momentum indicators
>
> Plot(TSI,"TSI",43,1); //Plots TSI line
>
> PlotGrid(25,55); // shows white grid line for black background
> PlotGrid(-25,-55); // same
>
> Plot(EMA(TSI,7),"TSI signal",32,1); // Plots a 7 day EMA of TSI
>
> Plot( FVE, "Modified FVE", colorRed, styleThick ); // FVE line is
> shown in red
> Plot (0,"",colorBlue,styleNoLabel); // shows a blue line through 0
>
>
> RAD_TO_DEG = 180/3.1415926; // radians to degrees
> LinRegAngleFVE = RAD_TO_DEG * atan( LinRegSlope( FVE, 22 ) ); //
> calculates angle of money flow indicator
>
> // Buy Rules
>
> Buy = FVE > -10 AND FVE < 10 AND
> LinRegAngleFVE > 30 AND
> FVE > EMA( FVE, 5 ) AND EMA(FVE, 5) > EMA(FVE, 22) AND
> LinRegSlope( C, 10 ) < Ref(C, -10 ) *0.6/100 AND
> LinRegSlope( C, 10 ) > -Ref( C, -10 ) * 0.3/100 AND Cross( TSI, EMA
(
> TSI, 7 ) );
>
> // Sell Rules
>
> Sell = Cross (EMA (TSI, 7), TSI) OR LinRegAngleFVE < -20;
>
> ***************************************************************
>
>
>
>
> Please note that this group is for discussion between users only.
>
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>
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>
>
>
>
>
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