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 [email protected] <mailto:amibroker%40yahoogroups.com>, > reinsley <reins...@...> 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 [email protected] > <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. 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