|
PureBytes Links
Trading Reference Links
|
The body of a candle C-O, divided by H+L to have its
measure free from absolute values, gives an all-time oscillator
with almost steady profits in bullish or bearish
periods.
The results for the period from 1996 till now speak
better.
The basis of the system was ^NDX OHLC and
ten cascade smoothing procedures were applied to eliminate the
"noise".
An RSI transformation was applied to the smoothed line to
produce the D_oscillator.
// The D_oscillator and its application, by
D. Tsokakis, June 2003
<FONT face=Arial
size=2>O=Foreign("^NDX","O");
<FONT face=Arial
size=2>H=Foreign("^NDX","H");
<FONT face=Arial
size=2>L=Foreign("^NDX","L");
<FONT face=Arial
size=2>C=Foreign("^NDX","C");t0=10;R0=DEMA((C-O)/(H+L),t0);R0=DEMA(R0,T0);R0=DEMA(R0,T0);R0=DEMA(R0,T0);R0=DEMA(R0,T0);R0=DEMA(R0,T0);R0=DEMA(R0,T0);R0=DEMA(R0,T0);R0=DEMA(R0,T0)
;R0=DEMA(R0,T0)
;D_oscillator=RSIA(R0,2*T0);X=30;Y=Optimize("Y",75,60,80,5);Buy=Cross(D_oscillator,X);Sell=Cross(D_oscillator,Y);Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);//
STOP=Optimize("STOP",20,20,100,20);ApplyStop(0,1,STOP,1);
<FONT face=Arial
size=2>Plot(D_oscillator,"",1,1);Plot(30,"",8,1);Plot(75,"",8,1);Title=Name()+",
D_oscillator = "+WriteVal(D_oscillator,1.2);
I used the settings Buy, Sell at Open, delay=+1, commission
0.5%.
The D_oscillator behaved well with the main European Indexes
too, as you see in the attached gif.
The Exposure and the System drawdown were also satisfactory,
in general.
Stops did not improve the system performance.
The last two lines are for the Ind. builder plot.
Dimitris Tsokakis
Yahoo! Groups Sponsor
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
Attachment:
UN1.gif
Attachment:
Description: "Description: GIF image"
|