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Can you post a list or a .tls of the biotech stocks you ran through
this process ?
--- In amibroker@xxxxxxxxxxxxxxx, "Dickie Paria" <babui@xxxx> wrote:
> Fred - many NDX stocks are large cap and the FVE money flow
indicator
> in the system works best with volatile small cap stocks.
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> > And I can see why you excluded pre 6/02 ...
> >
> > On NDX stocks from 6/96 - 6/02 ... -16% CAR on 74% DD's
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "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;
> > >
> > > ***************************************************************
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