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Dickie,
Again, thanks for your conributions. Keep them coming. I ran your
REI as an exploration and got some interesting results. Haven't tried
it in backtesting mode but your results sound most interesting.
Dick H.
--- In amibroker@xxxxxxxxxxxxxxx, "Dickie Paria" <babui@xxxx> wrote:
> Its amazing what results you can get by playing around with Buy/Sell
> rules. I was reading Thom DeMark's bk last night and came upon the
> Range Expansion Index indicator. This morning - I saw that REI was
> already coded into AFL library by Thomasz Janeckzo. I simply took
> the REI code and 'played' around with Buy/Sell rules during lunch
> hour. Here's the results:
> My settings were 'Long' only, $16 comm, 50% MARGIN, $10k equity and 1
> day delay in Buy and Sell.
> I only tested the most volatile sector: Wireless (pulled from YAHOO
> Finance).
> Bear Mkt test : 6/14/2000 - 6/13/2002 - only 7 trades for a 9%
> profit. This is when the wireless sector was down by about 80% - 90%
> or so - I think.
> Bull Mkt test: 6/14/2002 - 6/13/2004 - 170 trades with a 216% profit.
> Range Bound Mkt - 6/14/2004 - 6/13/2005 - 90 trades with a 18% profit.
> Here's the AFL code
> ********************************************8
> /*
> ** Tom DeMark's Range Expansion Index
> ** AFL Implementation by Tomasz Janeczko
> */
>
>
> HighMom = H - Ref( H, -2 );
> LowMom = L - Ref( L, -2 );
>
> Cond1 = ( H >= Ref( L,-5) OR H >= Ref( L, -6 ) );
> Cond2 = ( Ref( H, -2 ) >= Ref( C, -7 ) OR Ref( H, -2 ) >= Ref( C, -
> 8 ) );
> Cond3 = ( L <= Ref( H, -5 ) OR L <= Ref( H, -6) );
> Cond4 = ( Ref( L, -2 ) <= Ref( C, -7 ) OR Ref( L, -2 ) <= Ref( C, -
> 8 ) );
>
> Cond = ( Cond1 OR Cond2 ) AND ( Cond3 OR Cond4 );
>
> Num = IIf( Cond, HighMom + LowMom, 0 );
> Den = abs( HighMom ) + abs( LowMom );
>
> TDREI = 100 * Sum( Num, 5 )/Sum( Den, 5 ) ;
>
> /*
> ** Tom DeMark's Range Expansion Index
> ** AFL Plot and Buy/Sell Rules by Dickie Paria
> */
>
>
> Plot( TDREI, "TDREI", colorRed, styleThick );
> Plot (0,"",colorSeaGreen,styleNoLabel);
>
> Plot (-45,"",colorBlue,styleNoLabel); // shows a blue line through -45
> Plot (45,"",colorBlue,styleNoLabel); // shows a blue line through 45
>
> Graph0 = TDREI;
>
> RAD_TO_DEG = 180/3.1415926; // radians to degrees
> LinRegAngleTDREI = RAD_TO_DEG * atan( LinRegSlope( TDREI, 3 ) );
>
> Buy = EMA(Avg, 50) > EMA(Avg, 100) AND LinRegAngleTDREI > 30 AND
> TDREI >= -45 AND TDREI < 0 ;
> Sell = LinRegAngleTDREI < -20 OR (TDREI <= 45 AND TDREI > 0) ;
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