Richard- I have been watching stochrsi(8,5) and have found some interesting correlations:
Enter:
mov((rsi(8) - LLV(RSI(8),8))/ (HHV(RSI(8),8) - LLV(RSI(8)8))),5,W)*100 > REF(mov((rsi(8) - LLV(RSI(8),8))/ (HHV(RSI(8),8) - LLV(RSI(8)8))),5,W)*100),-1) AND REF(mov((rsi(8) - LLV(RSI(8),8))/ (HHV(RSI(8),8) - LLV(RSI(8)8))),5,W)*100,-1) < 15
Exit:
mov((rsi(8) - LLV(RSI(8),8))/ (HHV(RSI(8),8) - LLV(RSI(8)8))),5,W)*100 < REF(mov((rsi(8) - LLV(RSI(8),8))/ (HHV(RSI(8),8) - LLV(RSI(8)8))),5,W)*100),-1) AND REF(mov((rsi(8) - LLV(RSI(8),8))/ (HHV(RSI(8),8) - LLV(RSI(8)8))),5,W)*100,-1) > 85
Now I tested 555 stocks which had either rs or eps greater than 70 per TC2000 PRO filters
They also met two other tests: tsf(c,13) > tsf(c,89) [time series forecast 13 > 89]
and high last six months greater than 1.55 times low last six months.
For this population of stocks- 44% had a system test result of over 100% for a two year period with no stops.
but when evaluating them by price the results were as follows:
top 50- 82% over 100% system test
top 150 - 66% over 100% system test
bottom 150 - 20% over 100% system test.
In other words stocks above $32 had very good results with stocks above $50 having excellent correlation.
On the other hand- stocks under $15 had much poorer correlation.
Stocks over $50 some of the results:
SYMBOL 2 YR PROFIT # WINNING TRADES VS TOTAL TRADES
INTC 282% 15/18
PSFT 1455% 19/19
TLAB 116% 12/17
HFS 306% 11/16
EFII 893% 14/16
QTRN 444% 12/18
SDTI 1778% 12/16
G 192% 16/20
USRX 560% 13/17
CPQ 117% 10/14
SEG 499% 13/17
BSY 246% 13/17
ASND 1463% 15/17
HBOC 483% 12/13
CSCO 470% 17/18
COMS 242% 11/15
ADPT 429% 11/14
CHK 835% 13/14
RSYS 1087% 7/10
CBTSY 2833% 16/17
Anyway- this seems to work for high cap/high price issues but not as well for lower priced issues.
Comments are welcomed.
andy |
