Compare results of a very good system (RSI)

["Volker Knapp" <vk@xxxxxxxxxxxx>]

Hi,

there has been an interesting result of a system on the wealth-lab page.
It is a pure RSI used on a portfolio of stocks. I am/was not a fan of
indicators, but that result changed some how my opinion about it. The rule
was something like:

Buy if the RSI-20 goes below 30 or below 25 or below 20
and close all position if RSI20 goes above 55.

Here is the code which is not in Easy Language I know but I would like to
compare the results of the system with the result of TS:

var BAR, N: integer;

for Bar := 20 to BarCount - 1 do
begin
  n := 30;
  while n > 0 do
  begin
    if CrossUnderValue( Bar, RSISeries( #Close, 20 ), n ) then
      BuyAtMarket( Bar + 1, IntToStr( n ) );
    n := n - 5;
  end;
  if CrossOverValue( Bar, RSISeries( #Close, 20 ), 55 ) then
    for n := 0 to PositionCount - 1 do
      if PositionActive( n ) then
        SellAtMarket( Bar + 1, n, '' );
end;

To compare the results I would like to see the following money management
rule:

Per trade use 3% of the overall equity, so that we dont miss trades.

The system should be tested on the 30 stocks of the DOW.

I would like to compare the results afterwards, so if needed I could send a
set of data in ASCII format and we could condact the test on this data. Is
anyone interested in programming that code in Easy Language. We could post
our results here.

Apparently this system is making good money so its woth the effort.

vk

PS: To motivate you, here is an extraction from the result of the system
using the above parameter setting tested on the last three years

                   All Trades    Long Trades   Buy & Hold
Starting Capital   $100,000.00   $100,000.00   $100,000.00
Ending Capital     $147,635.52   $147,635.52   $96,723.98

Net Profit %       47.59%        47.59%         -3.28%

Max Drawdown       -13.16%       -13.16%        -34.14%

(taken from www.wealth-lab.com)

Sorry I pressed the send button to early just now so i wasnt finished with
the email