Home made indicators anyone?
- Thread starter Remiraz
- Start date
Having my second cup of copy for this morning, thank you. There is no need for you to be so aggressive. I know you are not Tomas, I was just kidding about this "Mr. ....", because you keep on mentioning that. Anyway, it would be nice if you could just change your system settings and publish the result. I swear I do not know if the result is good or bad. The whole indicator was just made up, out of the blue, two minutes drag and drop... you know 
.
.Quote from Kap:
I have my own home made indicators for over bought/sold conditions, they differ for different markets (indexes), and some for arbitrage models, dare I say to date they work 85% of the time.
The old indicators that did work are now so freely available that its better to use them as a contrairian indicators !
"...better to use them as a contrairian indicators !"
Agree 100% !!
[I really wonder if they ever work !!]
Sorry, correction of my earlier post:
"Having my second cup of coffee for this morning, thank you... rest remains the same and I am waiting for a nice reply?
"Having my second cup of coffee for this morning, thank you... rest remains the same and I am waiting for a nice reply?
The only indicators I use are price and volume. These "indicators" are "factory issue," however, their interpretation is home-made.
In my biased view, everything else is just cannon fodder. Price and volume are the legs, and everything else is a crutch. I think that Lobster's example earlier in this thread illustrates this point particularly well.
There is a theory that indicators we are really ways of developing our intuition and correct interpretation of price, and once developed, while we attribute our success to using the right indicator or strategy, it really is our subconscious interpretation of pure price action, nothing else - a placebo effect.
Your experience seems to confirm this theory - if it wasn't the indicator it had to be YOUR thinking that made the difference between break even tests and real time profit.
Though I must say it usually is the other way around, we get our hands on a super indicator and our trading doesn't even come close to back test results
Quote from Volker Knapp:
The lower indicator on the chart is the PositiveVolumeIndex, an indicator created by a member from the wealth-lab site, with a 31 moving average.
The upper indicator is the 10 bar (day) RSI of the PositivVolumeIndex and a 31 moving average. Note how both indicators (RSI and PVI) look a like but also see how much more profitable the 31 SMA would have been on the upper indicator. All done by drag and drop. Am I famous now?
Volker
PS: I would never trade it.
Cool Volker, I take back all those nasty things I said about you, well maybe not all!! A useful volume indicator, never saw one yet that did much for my trading, that has promise. Right when you think it's all been invented......
Max
I can not remember you have said nasty things about me? But if you ever did I surely did not take it personal and I surely know that you believed at that time that you had a good reason to do so. I always believe respecting each others opinion.
But hey, I wanted to post a successful system based on just one indicator. See next posting....
But hey, I wanted to post a successful system based on just one indicator.
See next posting.... So here is the result for a system purely based on an indicator (RSI 20). Here are the rules in simple words taken form the description that came with the system:
This script scales into a stock's decline, using the Relative Strength (RSI) indicator. It opens a new position whenever RSI crosses below 30, 25, 20, 15, 10, and 5. It closes all positions when RSI crosses above 55. It appears to be very efficient and profitable on the Dow 30 and other large cap stocks, but admitedly it would be hard to stomach trading this one.
I pasted the original code at the end of this post.
RESULTS FOR THE PAST 5 YEARS
152 - trades
74% - winners
6.99% - average profit
10.38 - annualized gain
32.44 - Wealth-Lab Score (B&H was 0.63) the bigger the better.
For more details see the equity curve.
TEST SETUP
Start capital - 100.000
Position Seize - 5% of the overall equity
Test period - 5 years
Data - daily
Would I trade the system?
Mmmhhhh, I guess Iwould do a lot more research and test a few more things, but ....
Here is the code:
var BAR, N: integer;
for Bar := 21 to BarCount - 1 do
begin
n := 30;
while n > 0 do
begin
if CrossUnderValue( Bar, RSISeries( #Close, 20 ), n ) then
BuyAtMarket( Bar + 1, IntToStr( n ) );
n := n - 5;
end;
if CrossOverValue( Bar, RSISeries( #Close, 20 ), 55 ) then
for n := 0 to PositionCount - 1 do
if PositionActive( n ) then
SellAtMarket( Bar + 1, n, '' );
end;
var RSIPane: integer;
RSIPane := CreatePane( 75, true, true );
PlotSeries( RSISeries( #Close, 20 ), RSIPane, 205, #Thick );
DrawLabel( 'RSI( Close, 20 )', RSIPane );
AddScanColumn( 'RSI20', RSI( BarCount - 1, #Close, 20 ) );
{$I 'Profit Pane (Bottom)'}
This script scales into a stock's decline, using the Relative Strength (RSI) indicator. It opens a new position whenever RSI crosses below 30, 25, 20, 15, 10, and 5. It closes all positions when RSI crosses above 55. It appears to be very efficient and profitable on the Dow 30 and other large cap stocks, but admitedly it would be hard to stomach trading this one.
I pasted the original code at the end of this post.
RESULTS FOR THE PAST 5 YEARS
152 - trades
74% - winners
6.99% - average profit
10.38 - annualized gain
32.44 - Wealth-Lab Score (B&H was 0.63) the bigger the better.
For more details see the equity curve.
TEST SETUP
Start capital - 100.000
Position Seize - 5% of the overall equity
Test period - 5 years
Data - daily
Would I trade the system?
Mmmhhhh, I guess Iwould do a lot more research and test a few more things, but ....
Here is the code:
var BAR, N: integer;
for Bar := 21 to BarCount - 1 do
begin
n := 30;
while n > 0 do
begin
if CrossUnderValue( Bar, RSISeries( #Close, 20 ), n ) then
BuyAtMarket( Bar + 1, IntToStr( n ) );
n := n - 5;
end;
if CrossOverValue( Bar, RSISeries( #Close, 20 ), 55 ) then
for n := 0 to PositionCount - 1 do
if PositionActive( n ) then
SellAtMarket( Bar + 1, n, '' );
end;
var RSIPane: integer;
RSIPane := CreatePane( 75, true, true );
PlotSeries( RSISeries( #Close, 20 ), RSIPane, 205, #Thick );
DrawLabel( 'RSI( Close, 20 )', RSIPane );
AddScanColumn( 'RSI20', RSI( BarCount - 1, #Close, 20 ) );
{$I 'Profit Pane (Bottom)'}
this is something less complex than alot of things on this thread but i think its helpful.
Concentrating on volume during the day and average volume, just the percentage difference between the two leads you to stocks out of a list of stocks (lets say 100 most active stocks, or new highs/lows) that have a greater likelyhood of moving the next day. At the very least introduce you to new stocks making moves.
Its only a beginning step, you'd have to filter out the resulting list out of one time price movements (like stocks with earnings that just came out).
volume drives everything. i have yet to form my own 'trading stable' but this is one way of learning about what's out there.
my own process has: ADAT, ESPR, KIND, NTLI, NTPA, RSTI, WFII as stocks with potential to make moves tomarrow.
Concentrating on volume during the day and average volume, just the percentage difference between the two leads you to stocks out of a list of stocks (lets say 100 most active stocks, or new highs/lows) that have a greater likelyhood of moving the next day. At the very least introduce you to new stocks making moves.
Its only a beginning step, you'd have to filter out the resulting list out of one time price movements (like stocks with earnings that just came out).
volume drives everything. i have yet to form my own 'trading stable' but this is one way of learning about what's out there.
my own process has: ADAT, ESPR, KIND, NTLI, NTPA, RSTI, WFII as stocks with potential to make moves tomarrow.