|
PureBytes Links
Trading Reference Links
|
Dont be sorry, I agree. The printed figures says that system named RSI
25 & RSI 75 earns money.
It's better to describe a winning system when you write a book...I
guess. :)
Best regards
Le 18/02/2010 22:48, zozuzoza a écrit :
>
>
> 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 <mailto:amibroker%40yahoogroups.com>,
> 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> <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
> > > >
> > >
> > >
> >
>
>
------------------------------------
**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
SUPPORT {at} amibroker.com
TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
(submissions sent via other channels won't be considered)
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
amibroker-digest@xxxxxxxxxxxxxxx
amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|