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Re: Oscillators II (%D)



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Dimitry,

Optimization on a trading system means that you have backtested on 
only one stock and not an universe of stocks?

without optimization the idea of various OBOS level is great,
instead of buy when stoch crosses below an OS level, we could buy 
when stoch is < OS level and buy on close delay when H > ref(H,-)
*1.005

SC

> AVST=MA(StochD(X1),100);
> 
> Let us try now to buy lower and sell higher.
> The buy level will be AVST-Dbuy and the sell level will
> be AVST+Dsell. If you guess now, optimization may give
> the best values for the 3 parameters.
> Optimize a current stock for all quotations using the code
> 
> /*Buy-Sell moving levels for Slow Stochastic*/
> Dbuy=Optimize("Dbuy",14,0,20,1);
> Dsell=Optimize("Dsell",8,0,20,1);
> X1=Optimize("X1",13,10,20,1);
> s1=StochD(X1);
> AVST=MA(s1,100);
> Buy = Cross( s1,AVST-DBuy);
> Sell = Cross( AVST+Dsell,s1);
> 
> Then replace manually the 14, 8, 13 with respective results of your
> optimization and scan and back test.
> Compare the back test result with the traditional
> 
> buy=cross(stochd(),30);
> sell=cross(70,stochd());
> 
> scan and back test.
> 
> I found interesting net profit augmentation.
> As for settings, I used buy at low, sell at high with delay 1 day
> (it is obvious that you get the signal today and you act tomorrow
> and it is always important for back testing. Delay 0 is meaningless,
> the signal is first and then the action may be done.)
> After the calculation of above parameters, you may see in your
> Indicator builder the new curves, pasting the formula:
> 
> /*Slow Stochastic moving buy-sell levels*/
> 
> Dbuy=14;
> Dsell=8;
> X1=13;
> MaxGraph=12;
> ST3=StochK(X1);
> ST33=StochD(X1);
> Graph0=ST3;
> Graph1=ST33;
> AVST=MA(StochD(X1),100);
> Graph9=AVST-Dbuy;Graph10=AVST+Dsell;
> Graph8=avst;Graph8Style=8;Graph8BarColor=2;
> Graph9Style=Graph10Style=8;
> Graph9BarColor=Graph10BarColor=1;
> 
> and replace 14, 8, 13 with the results of optimization.
> Real examples will follow.
> Dimitris Tsokakis