Saturday
Dec062008
More Industry Group Tests
Saturday, December 6, 2008 at 12:43AM | StockMarketStudent | |
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| 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.
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FMedian("Close(0)",#Industry)/FMedian("Close(n)",#Industry) >
(1+0.1*FMedian("ATRN(100,0)",#Industry))
 Using a Simple Moving Average with Industry Group Median StocksAlthough 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 StocksThe 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. |
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