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RSI Double-Bottom for Amibroker (AFL)
Rating:
3 / 5 (Votes 3)
Tags:
trading system, amibroker, exploration, rsi
Rising double bottom in RSI is a fairly reliable buy signal (given a reasonably healthy market). Using a backtest database of 50 stocks (137,500 bars) diversified across industries, beta, net return, and capitalization, the backtest gives the following results:
Percent profitable: 77.0%
Ratio avg win/avg loss: 1.23
Risk adjusted ann. return: 24.63%
Profit factor: 4.12
Total number of trades: 217
Number winning trades: 167
Number losing trades: 50
By Jim Varney – jvarn359 [at] yahoo.com
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 | /* RSI DOUBLE-BOTTOM AmiBroker exploration by Jim Varney jvarn359@ya^NOSPAM^hoo.comThe RSI Double-Top exploration is based on the theory that a rising doublebottom in RSI (the second bottom is higher than the first) is bullish, while afalling double top in RSI is bearish.Using A backtest database of 50 stocks (137,500 bars) diversified acrossindustries, beta, net return, and capitalization, the backtest gives thefollowing results:[Trade settings: Long only, buy at open next day, sell at open next day. Nostops.]Percent profitable: 77.0%Ratio avg win/avg loss: 1.23 Risk adjusted ann. return: 24.63% Profit factor: 4.12 Total number of trades: 217 Number winning trades: 167 Number losing trades: 50 Setting a stop-Loss Of 20% reduces the percent profitable to 66% but reducesthe drawdown as well.*/// ------- RSI Double-Top AFL -------------------------// get 50-day average volume and compare today's volumeVfifty = MA(V, 50);Volidx = V/Vfifty;// set the RSI periodmyRSI = RSI(8);// scan for a rising RSI double bottom in a 21-day windowMonthlow = LLV(myRSI, 21);Lastlow = LLV(myRSI, 8);Higherlow = Monthlow < Lastlow;rsimin = (Lastlow < 30) AND Higherlow AND myRSI < 50;// scan for a falling RSI double top in a 21-day windowMonthhigh = HHV(myRSI, 21);Lasthigh = HHV(myRSI, 8);Lowerhigh = Monthhigh > Lasthigh;rsimax = (Lasthigh > 70) AND Lowerhigh AND myRSI > 60;Filter = (C > 2) AND (Vfifty > 10000);Buy = Filter AND RSImin;Sell = RSImax;Buy = ExRem( Buy, Sell );Sell = ExRem( Sell, Buy );AddColumn( C, "Price", format = 1.2);AddColumn( V, "Vol", format = 1.0);AddColumn( Volidx, "Vol/50day Vol", format = 1.1);AddColumn( Buy, "Buy", format = 1.0 );AddColumn( Sell, "Sell", format = 1.0 ); |
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