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It comes from the Chapter Three
High Probability ETF Trading : 7 professionnal Strategies to Improve
Your ETF Trading
By Larry Connors & Cesar Alvarez
System created in 2003 and first published in 2004
LC gives results of tests.
Best regards
Le 17/02/2010 23:07, zozuzoza a écrit :
>
>
> Hi,
> How do you know that this system is powerful if you have not managed to
> code it, i.e. backtest it?
> Br,
> Zozu
>
> --- In amibroker@xxxxxxxxxxxxxxx <mailto:amibroker%40yahoogroups.com>,
> "cvanhaesendonck" <carl.van@xxx> wrote:
> >
> > I posted some days ago but got no answer; however this system is
> powerfull yet simple: it scales in after the initial signal then exit
> quickly as soon as RSI(2) oberbought.
> > Problem I struggle with the code below: I can see the multiple buy
> entry arrows on the chart but backtest will only take the initial signals.
> > Please help with this - in return you will discover a very
> interesting system. Here we go:
> >
> > The system is simple:
> > - buy 10% of your position (for exempla, 100 shares) when RSI(2) is
> below 25 for 2 consecutive bars; close must be above the 200 EMA.
> > - buy 20% of the position if, any time after the initial buy above,
> close < ref(close,-1)
> > - buy 30% of the pôsition if, any time after the buy above, close <
> ref(close,-1)
> > - buy 40% of the position if, any time after the buy above, close <
> ref(close,-1)
> >
> > You now own 1,000 shares. Don't buy anymore.
> > Just wait and sell all when RSI(2 periods) rise above 70.
> >
> > Please see the code below and tell me what is wrong - I am struggling
> with this for days now as the backtest takes only the initial "10%" trade...
> >
> > bull= C> EMA(C,200) AND Sum(RSI(2)< 25==2;
> > bear= C< EMA(C,200) AND Sum(RSI(2)>25==2;
> > Buy=0;
> > Short= 0;
> >
> > Sell= Cross(RSI(2),70) ;
> > Cover=Cross(70,RSI(2)) ;
> > bull200= C<Ref(C,-1) AND BarsSince(Bull)<BarsSince(Sell) AND
> Ref(Sum(Bull,BarsSince(Sell)),-1)==1;
> > bear200= C>Ref(C,-1) AND BarsSince(bear)<BarsSince(Cover) AND
> Ref(Sum(bear,BarsSince(Cover)),-1)==1;
> > bull300= C<Ref(C,-1) AND Ref(Sum(Bull200,BarsSince(Sell)),-1)==1 ;
> > bear300= C>Ref(C,-1) AND Ref(Sum(bear200,BarsSince(Cover)),-1)==1 ;
> > bull400= C<Ref(C,-1) AND Ref(Sum(Bull300,BarsSince(Sell)),-1)==1 ;
> > bear400= C>Ref(C,-1) AND Ref(Sum(bear300,BarsSince(Cover)),-1)==1 ;
> > SetPositionSize(IIf(Sum(Buy,BarsSince(Sell))==1,
> 100,IIf(Sum(Buy,BarsSince(Sell))==2,200,IIf(Sum(Buy,BarsSince(Sell))==3,300,IIf(Sum(Buy,BarsSince(Sell))==4,400,Null)))),4);
> > SetPositionSize(IIf(Sum(Short,BarsSince(Sell))==1,
> 100,IIf(Sum(Short,BarsSince(Sell))==2,200,IIf(Sum(Short,BarsSince(Sell))==3,300,IIf(Sum(Short,BarsSince(Sell))==4,400,Null)))),4);
> > Buy= IIf(Sum(Bull,BarsSince(Sell))<4 AND
> Sum(Bull200,BarsSince(Sell))<4 AND Sum(Bull300,BarsSince(Sell))<4 AND
> Sum(Bull400,BarsSince(Sell))<4 ,bull OR bull200 OR bull300 OR bull400,Null);
> > Short= IIf(Sum(Bear,BarsSince(Sell))<4 AND
> Sum(Bear200,BarsSince(Sell))<4 AND Sum(Bear300,BarsSince(Sell))<4 AND
> Sum(Bear400,BarsSince(Sell))<4,bear OR bear200 OR bear300 OR bear400, Null);
> > Sell=ExRem(Sell,Buy);
> > Cover=ExRem(Cover,Short);
> >
> > PlotShapes(Buy*shapeUpArrow,colorBlue,0,L,-10);
> > PlotShapes(Short*shapeDownArrow,colorRed,0,H,-10);
> > PlotShapes(Sell*shapeSmallCircle,colorBlue,0,H,10);
> > PlotShapes(Cover*shapeSmallCircle,colorRed,0,L,-10);
> >
> > Thanks,
> > Carl
> >
>
>
------------------------------------
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