More Industry Group Tests

Although the results I am getting so far are reasonable I decided to do some more industry-based testing with different TA (moving average and RSI) before moving on to the next stage of  trading system development .   There's no point in being too hasty.  It's better to have the best possible system than try to develop it too fast.

FMedian("Close(0)",#Industry)/FMedian("Close(n)",#Industry) >

                     (1+0.1*FMedian("ATRN(100,0)",#Industry))

(Please review previous posts for the layman's interpretation of the above formula).  Below is a plot for various lookback periods:

Using a Simple Moving Average with Industry Group Median Stocks

Although I am happy with these results I want to explore some other industry group TA-based formulae before moving to the next step of my system development.  The first exercise was to explore industry's price above a Simple Moving Average (SMA) - still using the industry median stock price of course. 

FMedian("Close(0)",#Industry)/FMedian("SMA(n)",#Industry) > X

The following EXCEL plot shows variations of Simple Moving Average (SMA) period n and threshold X.  All stocks in the industry are held and rebalanced weekly from 03/01/02 to 10/29/08.  Starting principal is $100.

Using Relative Strength Indicator (RSI) With Industry Group Median Stocks

The next two plots use a very common TA formula:   Relative Strength Indicator (RSI). 

FMedian("RSI(n)",#Industry) > X

The first plot varies RSI between 5 and 10 days.

The second plot shows the results of the optimal settings:  RSI(7) > 60.

I absolutely love the optimized short term RSI(7) > 60!  I can see a lot of potential for this both as an entry rule and for a short term holding system.  The results are fairly promising but I have a long way to go before I realize a tradeable system.  I am going to reflect on these results for a while before coming to any decisions on where to go from here.

All for now.

Sponsored by Stock Market News

Comments

[stock picks]

Thanks for the blogs. You have done really nice work. But i want to know more about stock alerts. can any one know?

stock alerts