- Katılım
- 23 Eki 2020
- Mesajlar
- 1,797
For my last MetaStock system test, (05_StochRSI_13 & 55) I used the StochRSI formula described at the Equis site then modified it slightly. The original formula was: |
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StochRSI ((RSI(14)-LLV(RSI(14),14))/((HHV(RSI(14),14))-LLV(RSI(14 ),14))) |
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I didn't want to use a specific number such as 14 for my formula, but want to be able to use my favorite Fibonacci numbers. I also wanted to smooththe formula with Tema smoothing. I finally settled on the Fibonacci numbersof 13 and 55 for my formulas. I also subtracted 0.5 from the result so Icould plot the formula as a histogram. Therefore my formulas became: |
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Tema StochRSI_13 Periods := Input("Enter Tema Smoothing Periods",5,233,13); Tema(((RSI(Periods) - LLV(RSI(Periods),Periods)) / ((0.0001 + HHV(RSI(Periods),Periods)) - LLV(RSI(Periods),Periods))) -0.5,Periods) |
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Tema StochRSI_55 Periods := Input("Enter Tema Smoothing Periods",5,233,55); Tema(((RSI(Periods) - LLV(RSI(Periods),Periods)) / ((0.0001+HHV(RSI(Periods),Periods)) - LLV(RSI(Periods),Periods))) -0.5,Periods) |
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After I decided on the formulas, the next step was how to use them in a system test. I plotted the two formulas above several of my favorite stocks andlooked at them for buying patterns. Since they are plotted as a histogramI looked at zero crossovers to the upside as buys and to the downside assells. Then instead of a zero crossover, I used an optimized value crossover.After some experimenting, I found that the shorter length crossover gavebetter signals if I also required the longer length one to be negative, andconfirmed an up move by also requiring that a short term moving average wasmoving up. Finally I saw that there was usually a good buy signal when thelonger term formula crossed the optimized value and the shorter term formulawas above zero. Therefore my open long signal became: |
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MetaStock System Test 05 - Tema StochRSI_13 & 55 Open Long : (Alert(Cross(Fml("Tema StochRSI_13"),opt1),21) AND Fml("Tema StochRSI_55") < 0 AND Mov(C,21,VAR) > Ref(Mov(C,21,VAR),-8)) OR Alert(Cross(Fml("Tema StochRSI_55"),opt1),13) AND Fml("Tema StochRSI_13") > 0 |
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I couldn't find a good close long signal, but did find that a reverse toa short on the longer term StochRSI crossing an optimized value confirmedby a falling moving average seemed to work well. Therefore my Open Short became: |
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Open Short : Alert(Cross(opt2,Fml("Tema StochRSI_55")),13) AND Mov(C,21,VAR) < Ref(Mov(C,21,VAR),-8) The optimization valiues are: opt1: Min = -0.3 Max = 0 Step = 0.1 opt2: Min = -0.3 Max = 0 Step = 0.1 |
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