[amibroker] Creating a Profitable Trading Strategy from a Common Indicator

["Dickie Paria" <babui@xxxxxxxxx>]

Its amazing what results you can get by playing around with Buy/Sell 
rules.  I was reading Thom DeMark's bk last night and came upon the 
Range Expansion Index indicator.  This morning - I saw that REI was 
already coded into AFL library by Thomasz Janeckzo.  I simply took 
the REI code and 'played' around with Buy/Sell rules during lunch 
hour.  Here's the results:
My settings were 'Long' only, $16 comm, 50% MARGIN, $10k equity and 1 
day delay in Buy and Sell.
I only tested the most volatile sector: Wireless (pulled from YAHOO 
Finance).
Bear Mkt test : 6/14/2000 - 6/13/2002 - only 7 trades for a 9% 
profit.  This is when the wireless sector was down by about 80% - 90% 
or so - I think.
Bull Mkt test: 6/14/2002 - 6/13/2004 -  170 trades with a 216% profit.
Range Bound Mkt - 6/14/2004 - 6/13/2005 - 90 trades with a 18% profit.
Here's the AFL code
********************************************8
/* 
** Tom DeMark's Range Expansion Index 
** AFL Implementation by Tomasz Janeczko 
*/


HighMom = H - Ref( H, -2 );
LowMom = L - Ref( L, -2 );

Cond1 = ( H >= Ref( L,-5) OR H >= Ref( L, -6 ) ); 
Cond2 = ( Ref( H, -2 ) >= Ref( C, -7 ) OR Ref( H, -2 ) >= Ref( C, -
8 ) ); 
Cond3 = ( L <= Ref( H, -5 ) OR L <= Ref( H, -6) ); 
Cond4 = ( Ref( L, -2 ) <= Ref( C, -7 ) OR Ref( L, -2 ) <= Ref( C, -
8 ) );

Cond = ( Cond1 OR Cond2 ) AND ( Cond3 OR Cond4 );

Num = IIf( Cond, HighMom + LowMom, 0 );
Den = abs( HighMom ) + abs( LowMom );

TDREI = 100 * Sum( Num, 5 )/Sum( Den, 5 ) ;

/* 
** Tom DeMark's Range Expansion Index 
** AFL Plot and Buy/Sell Rules by Dickie Paria 
*/


Plot( TDREI, "TDREI", colorRed, styleThick );
Plot (0,"",colorSeaGreen,styleNoLabel);

Plot (-45,"",colorBlue,styleNoLabel); // shows a blue line through -45
Plot (45,"",colorBlue,styleNoLabel); // shows a blue line through 45

Graph0 = TDREI;

RAD_TO_DEG = 180/3.1415926; // radians to degrees
LinRegAngleTDREI = RAD_TO_DEG * atan( LinRegSlope( TDREI, 3 ) );

Buy = EMA(Avg, 50) > EMA(Avg, 100) AND LinRegAngleTDREI > 30 AND 
TDREI >= -45 AND TDREI < 0 ;
Sell = LinRegAngleTDREI < -20 OR (TDREI <= 45 AND TDREI > 0) ;
 




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