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>, > "cvanhaesendonck" <carl....@...> 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 <*> 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/
