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Re: [amibroker] Re: Wall Steet Journal on System Investing


  • Date: Sat, 13 Feb 2010 17:55:02 -0500
  • From: "wavemechanic" <fimdot@xxxxxxxxxxxxxx>
  • Subject: Re: [amibroker] Re: Wall Steet Journal on System Investing

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You have too many "Ref".  Drop the -5.
 
Bill
----- Original Message -----
From: droskill
Sent: February 13, 2010 5:03 PM
Subject: [amibroker] Re: Wall Steet Journal on System Investing

For some bizarre reason I'm having trouble duplicating his results.  It looks, from his example - like his requirements are that:

C < Ref(C,-1) AND Ref(C,-1) < Ref(C,-2) AND Ref(C,-3) < Ref(C,-4) AND Ref(C,-4) < Ref(C,-5);

And yet, this does not give the entry outlined in AKAM on the date.

For reference - here's the description (the picture shows the C < O on all days):

Akamai (AKAM). Oct. 28, 2009 (on the close) to Nov. 3, 2009 (on the close)

Akamai shares fell four days in a row - from  a close of $21.60 on Oct. 22 to to $20.16 on Oct. 28 close where the system enters the position. Then, on Nov. 2 and 3 the stock was up two days in a row, closing at $22.56 on Nov. 3, 2009, where the system exits the position for a gain of 11.71%

So I added a condition - a requirement that the close is lower than the open on all days.

Buy = C < Ref(C,-1) AND C < O AND Ref(C,-1) < Ref(C,-2) AND Ref(C,-1) < Ref(O,-1) AND Ref(C,-3) < Ref(C,-4) AND Ref(C,-3) < Ref(O,-3) AND Ref(C,-4) < Ref(C,-5) AND Ref(C,-4) < Ref(O,-4);

And this still did not get the right entry.

I get an entry on 10/26/09 - but looking at the chart I can see the candles in that timeframe have days where C is clearly greater than the O (which should be ignored if I've coded this right).

The rules, as he describes them:

Rule of the 4×2 System:

Buy: If a stock goes down for four days in a row, buy at the close of the fourth day.

Sell: If a stock you own in the 4×2 system goes up for two days in a row, sell at the close of the second day.

What am I missing?

--- In amibroker@xxxxxxxxxxxxxxx, Bob Waits <bobwaits2@xxx> wrote:
>
> Very interesting article in WSJ
>
> http://bit.ly/cs0ZnU
>




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