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You can use the System Tester to find that :
In BUY ORDER :
RSI(14)>70
You use an Inactivity STOP :
Inactivity minimum change : Positions : LONG
METHOD : POINTS
Parameters : Minimum change : 999
Periods : 0
In the simulation, at SYSTEM TESTING OPTIONS, you click on MORE and on
the TRADE EXECUTION FOLDER, you uncheck REALISTIC MARKET PRICES and
enter DELAY BARS OPENING : 0.
You complete the simulation and the number of trades is the number of
days where RSI(14) > 70.
Pierre
Daniele Bevilacqua a écrit:
> Hi,
>
> in order to decide which threshold to use to validate an indicator, so
> far I have been eyeballing them on charts of a lengthy period of time
> and drawn very empirical (to say the least) conclusions. I am
> wondering if there is a better way to do this - there must be, I assume...
>
> What I would like to do, is find the percentage of time that the
> indicator in question has been above (or below) a certain value for a
> specific security, eg since Jan 00 the RSI of YYY, Inc. has been above
> 70 only 3.5% of the time.
>
> Even better, what is the value below which fall 95% (or 90% etc.) of
> the observations of the indicator in the time frame specified.
>
> Any suggestions?
>
> many thanks in advance
>
> Daniele
>
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