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Fred - many NDX stocks are large cap and the FVE money flow indicator
in the system works best with volatile small cap stocks.
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> And I can see why you excluded pre 6/02 ...
>
> On NDX stocks from 6/96 - 6/02 ... -16% CAR on 74% DD's
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dickie Paria" <babui@xxxx> wrote:
> > How would like to trade a system that will make you rich beyond
> your
> > wildest dreams, lower your cholesterol and make you a better
lover
> in
> > bed ?!! Don't think such a system exists !! then read on - my
> > sceptical friend........(afl code is below)
> >
> > This system was revealed to me, this morning, as I was crossing
5th
> > Ave and 34th St...a bright white light shown down on me and I
heard
> a
> > Voice - "O' Grasshopper - combine a smart money flow indicator
with
> a
> > momemtum indicator". I asked - which indicators - there are so
> many
> > of them ? The Voice replied - "must you ask such stupid qts,
> > Grasshopper. There is only the FVE smart money indicator by
Markos
> > Katsanos and the TSI momemtum indicator by William Blau.
> And...test
> > it only on volatile sectors".
> >
> > Such revelations come only once in a blue moon - so I put
together
> > the system (after playing around with many buy/sell rules) and
> tested
> > it on all the stocks in the Biotech sector from Yahoo (I think
> about
> > a 100+ stocks) from 6/14/02 - 6/13/04. $10k equity, 50% margin,
> Long
> > only, $16 trade comm. Results - 25 trades, 15 winners and annual
> > return of 312%. Gotta be a fluke, I said. So, I tried it on the
> > same stocks from 6/14/04 - 6/13/05. Annual return 335% !!
> >
> > Ok. there is a catch. There always is ! The buy/sell delays
were
> > set to '0' (meaning buy/sell happened as soon as the conditions
> were
> > met). This system would work only for those folks with fancy
> > automated trading (through IB with AB).
> >
> > What about the rest of us Grasshoppers who buy and sell on the
open
> > with a 1 day trade delay ? Well, I re-tested and 6/14/02 -
6/13/04
> > and 6/14/04 - 6/13/05 showed annual returns of 28% and 26%
> > respectively. Respectable....I guess.
> >
> > What about other volatile sectors - you say ? Sheeet ! O'
> > Grasshoppers in training - must I do all the work ?
> >
> > [Ok. Ok. So, I did exaggerate on the 'lowering cholesterol and
> being
> > better lovers in bed' but - hey - you can't ask for everything]
> >
> > **************************************************************
> >
> > // Money Flow Indicator - FVE by Markos Katsanos - almost
> identical
> > to proprietary TSV money flow indicator by Worden
> >
> > Period = Param("Period for FVE", 22, 5, 80, 1 );
> > Coeff = Param("Coeff for Cutoff", 0.1, 0, 2, 0.01 );
> >
> > intra=log(H)-log(L);
> > Vintra = StDev(intra, period );
> > inter = log(Avg)-log(Ref(Avg,-1));
> > Vinter = StDev(inter,period);
> > Cutoff = Coeff * (Vinter+Vintra)*C;
> > MF = C- (H+L)/2 + Avg - Ref( Avg, -1 );
> > VC = IIf( MF > Cutoff, V,
> > IIf( MF < -Cutoff, -V, 0 ));
> > FVE = 100 * Sum( VC, Period )/(MA( V, Period ) * Period );
> >
> > // Momemtum Indicator by William Blau
> >
> > TSI = 100 * ( EMA( EMA( C - Ref( C, -1 ) ,25 ) ,13)
> > / EMA( EMA( abs( C - Ref( C, -1) ),25 ), 13 ) );
> >
> > // Plots for money flow and momentum indicators
> >
> > Plot(TSI,"TSI",43,1); //Plots TSI line
> >
> > PlotGrid(25,55); // shows white grid line for black background
> > PlotGrid(-25,-55); // same
> >
> > Plot(EMA(TSI,7),"TSI signal",32,1); // Plots a 7 day EMA of TSI
> >
> > Plot( FVE, "Modified FVE", colorRed, styleThick ); // FVE line is
> > shown in red
> > Plot (0,"",colorBlue,styleNoLabel); // shows a blue line through 0
> >
> >
> > RAD_TO_DEG = 180/3.1415926; // radians to degrees
> > LinRegAngleFVE = RAD_TO_DEG * atan( LinRegSlope( FVE, 22 ) ); //
> > calculates angle of money flow indicator
> >
> > // Buy Rules
> >
> > Buy = FVE > -10 AND FVE < 10 AND
> > LinRegAngleFVE > 30 AND
> > FVE > EMA( FVE, 5 ) AND EMA(FVE, 5) > EMA(FVE, 22) AND
> > LinRegSlope( C, 10 ) < Ref(C, -10 ) *0.6/100 AND
> > LinRegSlope( C, 10 ) > -Ref( C, -10 ) * 0.3/100 AND Cross( TSI,
EMA
> (
> > TSI, 7 ) );
> >
> > // Sell Rules
> >
> > Sell = Cross (EMA (TSI, 7), TSI) OR LinRegAngleFVE < -20;
> >
> > ***************************************************************
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