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 [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. > This is *NOT* technical support channel. > > TO GET TECHNICAL SUPPORT send an e-mail directly to > SUPPORT {at} amibroker.com > > TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at > http://www.amibroker.com/feedback/ > (submissions sent via other channels won't be considered) > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > Yahoo! Groups Links > > > > ------------------------------------ **** IMPORTANT PLEASE READ **** This group is for the discussion between users only. This is *NOT* technical support channel. TO GET TECHNICAL SUPPORT send an e-mail directly to SUPPORT {at} amibroker.com TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at http://www.amibroker.com/feedback/ (submissions sent via other channels won't be considered) For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: http://www.amibroker.com/devlog/ Yahoo! Groups Links <*> To visit your group on the web, go to: http://groups.yahoo.com/group/amibroker/ <*> Your email settings: Individual Email | Traditional <*> To change settings online go to: http://groups.yahoo.com/group/amibroker/join (Yahoo! ID required) <*> To change settings via email: [email protected] [email protected] <*> To unsubscribe from this group, send an email to: [email protected] <*> Your use of Yahoo! Groups is subject to: http://docs.yahoo.com/info/terms/
