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Al:
Analyze what you trade. If you trade QQQ then
analyze QQQ. Nothing else will match the accuracy of that
analysis.
Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Al
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, May 01, 2002 8:23
AM
Subject: Re: [amibroker] Re: Fw: The past
and the future of the MeanRSI
Dimitris,
I agree with you completely. The only question that
remains is the following: Is it better to buy the entire market when a buy
signal occurs (i.e. you would buy QQQ if your market is NDX; some other index
stock or something might exist for other markets; for example I run regularly
a group of stocks from the semiconductor field which make my "Semicond
market") or would it be better to then go into individual stocks inthat
market and see which ones behave best according to the entire market behavior.
This basically would look for stocks which move in sync with the market. Did
you do such tests?
Testing the entire market index is somewhat easier of
course than to find the stocks in that market that behave best.
Al
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dtsokakis
To: <A title=amibroker@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, May 01, 2002 1:19
PM
Subject: [amibroker] Re: Fw: Thepast
and the future of the MeanRSI
Al,MSFT was selected by chance.The MeanRSI is one
and unique for each market.The same with the rest MeanIndicators or, in
general, any composite ticker.Trading systems based on the MeanRSI
are Trade-the-Market type.As explained elsewhere, one unique buy, one
unique sell.Stocks of course behave in their own individual way.
But, they are not that independent.If each stock was moving
independently, any MeanIndicator would be an almost flat line with small
fluctuations around 50 [for 0,100 oscillators].The charts proove
exactly the opposite. The Market is directional enough, the majority
goes up, the majority goes down, no matter of individual results and/or
perspectives.This observation is the step I.The detailed study of
some carefully selected MeanIndicators gives ample documentation for
Trade-the-Market systems design.Backtesting for many systems of this
type is most promissing.Buy-the-Market when you have a buy signal from a
MeanInsicator, Sell-the-Market with the next signal.Some systems
exceed +500% or +1000% for the whole market for the last two [mostly
bearish] years.Since they are based on [0,100] oscillators, the only
question for the unknown future is simlpe [but not easy] : shall the
market be uncertain as it was the last two years ?[It sounds
strange, but periods like 99 are not good for oscillator systems. The
market is sure enough about the uptrend and the width of oscillation
decreases.]When you backtest a Trade-the-Market system, select "No trade
list" in settings and you will see the individual results per
stock.Dimitris Tsokakis --- In amibroker@xxxx, "Al"
<tinki49@xxxx> wrote:> Dimitris,> it appears to me a
little confusing that you plot the MSFT chart together with MeanRSI.
Would it not be more meaningful to plot NDX chart together with MeanRSI
instead? Any individual stock may not react exactly the same way.
> > MeanRSI is a good indicator, but it is also importantto
note that one should in addition check the individual stock chart
whether it behaves properly in line with MeanRSI.> >
Al> ----- Original Message ----- >
From: Dimitris Tsokakis > To: amibroker@xxxx
> Sent: Wednesday, May 01, 2002 11:28
AM> Subject: [amibroker] Fw: The past and the futureof
the MeanRSI> > > Once again, the reaction
occurred in the narrow band [36,38].> the last values of
the MeanRSI were > 41.08>
36.94> 36.79>
41.22> The Market repeats its past
behavior.> DT> ----- Original Message
----- > From: Dimitris Tsokakis > To:
amibroker@xxxx > Sent: Sunday, April 28, 2002 2:21
PM> Subject: The past and the future of the
MeanRSI> > > For a group of n stocks, the
MeanRSI is>
MeanRSI=(RSI1+RSI2+...+RSIn)/n.> With the help of
Addtocomposite() function it is easily calculated from the scan>
> R=IIf(RSI()>=0 AND
RSI()<=100,RSI(),0);>
AddToComposite(R,"~SUMRSI","C");>
AddToComposite(1,"~COUNT","V");> Buy=0;>
> as the quantity>
MeanRSI=Foreign("~SUMRSI","C")/Foreign("~COUNT","V");>
which may be plotted or used in AA systems.> For ^NDX
group, the graph of the MeanRSI since early 2000 is in the att.
gif.> For the lower band [36,38] and upper line [60], the
MeanRSI gives huge profits for the > whole Market and
the majority of the 101 stocks.> My [reasonable] question
is about the future of the MeanRSI.> Will it oscillates
in this zone ? Will it be more flat in the future and oscillate fora
long time, say, in the> more narrow [40,55] band ?[this
means that the ^NDX market will change its "style" and behave more
> like S&P or other cool
indexes].> This is the main question about the UNKNOWN
future of ^NDX market.> Any bright idea
?> Dimitris Tsokakis> PS. Profitsfor
[36,38]/60 band exceed +1000% for the whole market for the last 2
years.> >
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