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PercentR2 is nothing more than the Omega %R with some
smoothing built in. Hence the 2.
I'm not advocating on dismissing this idea. It was submitted to the
list and I thought it interesting. It was meant to be run on ALL of
the 30 DOW stocks concurrently.
Clyde
{*******************************************************************
Description: PercentR2
Provided By: Omega Research, Inc. (c) Copyright 1999
Modified By: Clyde Lee (c) Copyright 2002
Just added some T3 smoothing to Williams % R(ange)
********************************************************************}
Inputs: Length(NumericSimple),Smooth(NumericSimple);
Variables: HiLoDiff(0),PercentHL(0);
HiLoDiff = Highest(High, Length) - Lowest(Low, Length);
If HiLoDiff <> 0 Then
PercentHL = 100 - ((Highest(High, Length) - Close) / HiLoDiff) * 100
Else
PercentHL = 0;
If Smooth<>0
then PercentR2=T3Average(PercentHL,Smooth)
else PercentR2=PercentHL;
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Clyde Lee Chairman/CEO (Home of SwingMachine)
SYTECH Corporation email: clydelee@xxxxxxxxxxxx
7910 Westglen, Suite 105 Office: (713) 783-9540
Houston, TX 77063 Fax: (713) 783-1092
Details at: www.theswingmachine.com
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----- Original Message -----
From: "Robert Linders" <mugsnug@xxxxxxxxx>
To: "Clyde Lee" <clydelee@xxxxxxxxxx>
Sent: Wednesday, January 30, 2002 5:56 PM
Subject: Re: Compare results of a very good system (RSI)
> Dear Clyde,
> I tried this logic but have not "PercentR2", substitution of "PrecentR'
made
> it a bad system.
> What do you use for PercentR2 calculation (if you want to tell me) and
what
> symbols do you have succes on ?
> Thanks
> Robert
> ===============================
> Robert Linders
> Orlando, FL
> email: mugsnug@xxxxxxxxx
> ===============================
> ----- Original Message -----
> From: "Clyde Lee" <clydelee@xxxxxxxxxx>
> To: "Omega List" <omega-list@xxxxxxxxxx>
> Sent: Wednesday, January 30, 2002 2:34 PM
> Subject: Re: Compare results of a very good system (RSI)
>
>
> > Chris,
> >
> > This is what I'm doing.
> >
> > On the study I reported I was using
> > the default values shown.
> >
> >
> > Clyde
> >
> >
> >
> > Input: RSILeng(20),ExitRSI(55);
> > Input: MaxBPerc(30), MinBPerc(5), TMode(0), AMode(0);
> > Vars: RSIVal(0);
> >
> >
> > If AMode>0
> > then RSIVal=PercentR2(RSILeng, 5)
> > else RSIVal=RSI(C,RSILeng);
> >
> > If TMode<1 then begin
> > If MaxBPerc>=30 and MinBPerc<=30 and RSIVal Crosses Under 30 then Buy
At
> > Market else
> > If MaxBPerc>=25 and MinBPerc<=25 and RSIVal Crosses Under 25 then Buy
At
> > Market else
> > If MaxBPerc>=20 and MinBPerc<=20 and RSIVal Crosses Under 20 then Buy
At
> > Market else
> > If MaxBPerc>=15 and MinBPerc<=15 and RSIVal Crosses Under 15 then Buy
At
> > Market else
> > If MaxBPerc>=10 and MinBPerc<=10 and RSIVal Crosses Under 10 then Buy
At
> > Market else
> > If MaxBPerc>= 5 and MinBPerc<= 5 and RSIVal Crosses Under 5 then Buy
At
> > Market;
> > End
> > Else begin
> > If MaxBPerc>=30 and MinBPerc<=30 and RSIVal Crosses Over 30 then Buy
At
> > Market else
> > If MaxBPerc>=25 and MinBPerc<=25 and RSIVal Crosses Over 25 then Buy
At
> > Market else
> > If MaxBPerc>=20 and MinBPerc<=20 and RSIVal Crosses Over 20 then Buy
At
> > Market else
> > If MaxBPerc>=15 and MinBPerc<=15 and RSIVal Crosses Over 15 then Buy
At
> > Market else
> > If MaxBPerc>=10 and MinBPerc<=10 and RSIVal Crosses Over 10 then Buy
At
> > Market else
> > If MaxBPerc>= 5 and MinBPerc<= 5 and RSIVal Crosses Over 5 then Buy
At
> > Market;
> > End;
> >
> > if RSIVal Crosses Over ExitRSI then ExitLong;
> >
> >
> > {
> > 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.
> >
> > }
> >
> > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > Clyde Lee Chairman/CEO (Home of SwingMachine)
> > SYTECH Corporation email: clydelee@xxxxxxxxxxxx
> > 7910 Westglen, Suite 105 Office: (713) 783-9540
> > Houston, TX 77063 Fax: (713) 783-1092
> > Details at: www.theswingmachine.com
> > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> >
> > ----- Original Message -----
> > From: "Chris Emery" <cemery1@xxxxxxxxxxxxx>
> > To: "Clyde Lee" <clydelee@xxxxxxxxxx>
> > Sent: Wednesday, January 30, 2002 1:11 PM
> > Subject: Re: Compare results of a very good system (RSI)
> >
> >
> > > Clyde,
> > > Are you using the 14 period breaking thru the 20 or 25 level? exiting
on
> > the
> > > 55 level?
> > > Thanks and Regards
> > > Chris
> > >
> > >
> > >
> > >
> > > -----Original Message-----
> > > From: Clyde Lee <clydelee@xxxxxxxxxx>
> > > To: omega-list@xxxxxxxxxx <omega-list@xxxxxxxxxx>
> > > Date: Wednesday, January 30, 2002 1:34 PM
> > > Subject: Re: Compare results of a very good system (RSI)
> > >
> > >
> > > Using TC2000 data for the Dow stocks I constructed a simple
> > > system based on this post.
> > >
> > > The attached picture shows the results.
> > >
> > > It is clear that some type of stoploss would need to be put
> > > in place to get rid of some very, very, very bad drawdowns.
> > >
> > > Remember, this system only trades long and is somewhat
> > > biased by that fact. However, many of the stocks made
> > > some of their best money in the recent rally from September.
> > >
> > > No moneymanagement. Adding 200 shares on each signal.
> > > Remember, this thing trades multiple signals.
> > >
> > > Clyde
> > >
> > >
> > > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > > Clyde Lee Chairman/CEO (Home of SwingMachine)
> > > SYTECH Corporation email: clydelee@xxxxxxxxxxxx
> > > 7910 Westglen, Suite 105 Office: (713) 783-9540
> > > Houston, TX 77063 Fax: (713) 783-1092
> > > Details at: www.theswingmachine.com
> > > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > >
> > > ----- Original Message -----
> > > From: "Volker Knapp" <vk@xxxxxxxxxxxx>
> > > To: <omega-list@xxxxxxxxxx>
> > > Sent: Tuesday, January 29, 2002 11:45 PM
> > > Subject: Compare results of a very good system (RSI)
> > >
> > >
> > > > 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
> > >
> > >
> > >
> > >
> > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> > Clyde Lee Chairman/CEO (Home of SwingMachine)
> > SYTECH Corporation email: clydelee@xxxxxxxxxxxx
> > 7910 Westglen, Suite 105 Office: (713) 783-9540
> > Houston, TX 77063 Fax: (713) 783-1092
> > Details at: www.theswingmachine.com
> > - - - - - - - - - - - - - - - - - - - - - - - - - - - -
> >
> >
> >
>
>
>
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