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Sorry, but this does not mean to me that the system is powerful. I can pimp any system on in-sample data.
--- In amibroker@xxxxxxxxxxxxxxx, reinsley <reinsley@xxx> wrote:
>
>
> 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@> 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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