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Zozu,
The topic springs into another one :
http://finance.groups.yahoo.com/group/amibroker/message/147011
BR
Le 19/02/2010 08:59, reinsley a écrit :
>
>
> 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
>> > > >
>> > >
>> > >
>> >
>>
>>
>
>
>
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