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Dear Tomasz,
Thank you for comments.
It is a first step to leave behind the "traditional" cross 30, 70
system, which, especially for RSI is nearly inapplicable.
(By the way, in many optimizations I run today, combinations with
buy-sell levels close to 30-70 were at the end of the result list).
And it makes me wonder, where this habit of 30-70 comes from.
The sure thing is that this method gives some interesting results for
some types of stocks. (Of course, it is not a holy grail).
I think it is a good first step.
Any contributing idea appreciated.
The stock in the gif lost the 75% of its early 2000 value and the
optimized net profit with this Modified RSI levels was +270% with
5 winner trades, 0 looser and almost unimportant whipsaws.
(buy and sell with delay 1 day )
Not bad at all.
On the other side, the system had a good touch with all main uptrends
during this difficult bearish period and was totally out of the
Market in the great downtrends, where most portfolios had a huge
damage, trying to find the lowest low unsuccessfully.
Of course, like any system, for some other type of stocks this method
is not the best. For example, the General Index of the same Market,
which is not choppy, gave a net profit +18%, winners-loosers ~60/40
and for this type there is no reason to risk your money.
As for the trading part, it is very interesting to read your comments.
Let me ask you now a funny question : How did you optimize two years
ago, whithout Amibroker 3.68 and next ?
Best Regards
Dimitris Tsokakis
--- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> Dear Dimitris,
>
> Two years ago I experimented also with averaged RSI and it really
worked
> fine but only for nicely trending stocks. For volatile, choppy ones
the system
> was to slow to react.
>
> Anyway, thank you for your constant contributions to this e-mail
list.
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxx
> Sent: Tuesday, October 09, 2001 6:23 PM
> Subject: [amibroker] Modified RSI
>
>
> RSI is a very popular indicator and in any book or internet T/A
site
> you will read the traditional [30,70] buy-sell system.
> The result is that very few stocks fall below 30 or exceed 70.
Buyers
> try to buy when RSI drops from 35 to 30 and sellers try to sell
before
> 70. If you see ^NDX graph the last two years, RSI was not out of
the [30,70]
> zone, except the last September irregular period.
> I tried to build up a system with RSI ans I applied the moving
buy-sell level
> method, already exposed in # 5161 message.
> RSI was a little noisy, especially around the medium levels, so I
smoothed it
> by a 3-day average. Through optimization I search the best
combination for
> days X1, Dbuy and Dsell around the average value of RSI.
> (I found better results using AVRSI=ma(RSI,50) instead of ma100
used in
> stochastic. I have not optimized average days yet).
> Some interesting results:
> a] At least I found a way to use RSI.
> b] In many examples I had 5 trades, 5 winners, 0 losers or 7
trades, 6 winners,
> 1 looser
> c] Comparison with traditional [30,70] system is out of topic for
many stocks
> which do not trade anymore out of [30,70] band
> d] Days in the market are reduced to reasonable time intervals.
> e] Delays are insignificant.
>
> So, in Automatic Analysis paste the
>
> /*Modified RSI variable buy-sell levels*/
> X1=Optimize("X1",10,10,20,1);
> Dbuy=Optimize("Dbuy",10,0,20,1);
> Dsell=Optimize("Dsell",10,0,20,1);
> s1=MA(RSI(X1),3);
> AVRSI=MA(s1,50);
> Buy = Cross( s1,AVRSI-DBuy);
> Sell = Cross( AVRSI+Dsell,s1);
>
> Optimize a current stock for All quotations.
>
> In indicator Builder, paste the following formula,
> replacing X1, Dbuy, Dsell with the results of optimization.
>
> /*Modified RSI variable buy-sell levels Graph*/
> X1=20;
> Dbuy=3;
> Dsell=11;
> MaxGraph=12;
> s1=MA(RSI(X1),3);
> Graph0=s1;
> AVRSI=MA(s1,50);
> Graph9=AVRSI-Dbuy;
> Graph10=AVRSI+Dsell;
> Graph8=AVRSI;
> Graph8Style=8;
> Graph8BarColor=2;
> Graph9Style=Graph10Style=8;
> Graph9BarColor=Graph10BarColor=1;
>
> Try it. For some stocks it is nice.
> Dimitris Tsokakis
>
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