Página 21 | Resultados búsqueda de scripts para "spx"

SPY Master v1.0 This is a simple swing trading algorithm that uses a fast RSI-EMA to trigger buy/cover signals and a slow RSI-EMA to trigger sell/short signals for SPY, an xchange-traded fund for the S&P 500. The idea behind this strategy follows the premise that most profitable momentum trades usually occur during periods when price is trending up or down. Periods of flat price actions are usually where most unprofitable trades occur. Because we cannot predict exactly when trending periods will occur, the algorithm basically bets money on all trade opportunities during all market conditions. Despite an accuracy rate of only 40%, the algorithm's asymmetric risk/reward profile allows the average winner to be 2x the average loser. The end result is a positive (profitable) net payout. TRADING RULES: Buy/Cover = EMA3(RSI2) cross> 50 Sell/Short = EMA5(RSI2) cross< 50 BACKTEST SETTINGS: - Period = March 2011 - Present - Initial capital = $10,000 - Dividends excluded - Trading costs excluded PERFORMANCE COMPARISON: There are 657 trades, which means 1,314 orders. Assuming each order costs $2 (what I pay for at Interactive Brokers), total trading costs should be $2,628. -SPY (buy & hold) = 132.73 ---> 193.22 = +45.57% (dividends excluded) -SPY Master v1.0 = $12,649 - $2,628 = $10,021 = +100.21% DISCLAIMER: None of my ideas and posts are investment advice. Past performance is not an indication of future results. This strategy was constructed with the benefit of hindsight and its future performance cannot be guaranteed.

ISM Indicator As a Strategy Here's a very easy code, plotting the ISM against the SPX. In this exercise, i wanted to see if one could use the ISM indicator only to generate buy/sell signal, and what would be the performance. What is the ISM The ISM Manufacturing Index monitors employment, production inventories, new orders and supplier deliveries.By monitoring the ISM Manufacturing Index, investors are able to better understand national economic conditions. When this index is increasing, investors can assume that the stock markets should increase because of higher corporate profits. The opposite can be thought of the bond markets, which may decrease as the ISM Manufacturing Index increases because of sensitivity to potential inflation. Buy/Sell Signal ISM above 50 usually good economic condition and vice versa when below 50 . For this code I used 48.50 as my buy/sell signal line. Results To test this on a longer time period, I use the SPX index instead of SPY. The results are surprisingly good. 76.92% profitability with 3.03 profit factor. Conclusion Investors could use the ISM with other indicators to determine better entry and exit point. I will see if combining the ISM with other custom indicators , could generate better result. Feel free to share your results here. Cheers Algo.

RSI-EMA Indicator This indicator calculates and plots 2 separate EMAs of the RSI. The default settings below work great on SPX/SPY daily chart. General rule is if an EMA is above 50, the stock's near term outlook is bullish. If an EMA is below 50, the near term outlook is bearish. Personally, I like to use a fast EMA as a buy signal and a slow EMA as a sell signal. Default settings: RSI = 50 EMA1 = 100 EMA2 = 200

AK_ TREND ID AS A STRATEGY : FOR EDUCATIONAL PURPOSES ONLY Just converted the AK_ TREND ID into a strategy , to show the efficiency of this simple indicator. I used SPX in this example, to display that the indicator has been accurate for a long time.

Confluence script This is modified version of Dale Legan's "Confluence" indicator written by Gary Fritz. ================================================================ Here is Gary`s commentary: * I moved the core Confluence computations into a Confluence function. Since the Confluence indicator returned several "states" (bull, bear, grey, and zero), he modified the return value a bit: -9 to -1 = Bearish -0.9 to 0.9 = "grey" (and zero) 1 to 9 = Bullish The "grey" range corresponds to the "grey" values plotted by Dale's indicator, but they're divided by 10. So -0.4 is equivalent to "grey -4" in Dale's indicator. * I got rid of a bit of extra computation in the function. I didn't try to do a hard-core Pierre-style optimization :-), but I noticed several significant chunks of calculation were being done several times each bar, and I commented them out and replaced them with an intermediate variable. It still calls sine/cosine a dozen times on each bar, which accounts for the bulk of the processing time, but I think it's a bit easier to understand what the code is doing this way. (It also seems to work better -- see below.) For the most part I didn't try to use mnemonic names for these intermediate variables, because I don't understand exactly what the values represent!! * I'm appending a simplified Confluence indicator using the function. * I've also appended a simple Confluence system. This system sets an entry stop above/below the current bar if Confluence goes into bull/bear mode, and similarly sets an exit stop below/above the bar where it exits bull/bear mode. There's also an optional "aggressive" stop mode that tightens the stops if the market moves in your direction; for example, if the high is 1000 and your "Trigger" offset is 2, the initial stop is set at 1002. If the next bar has a high of 997, the stop is tightened to 997+2=999. Interestingly, when I first wrote this system, I ran into a strange MaxBarsBack problem. The Confluence indicator worked just fine with a MaxBarsBack setting of "Auto-Detect." But systems don't have a setting like that -- you have to specify a fixed value. But NO fixed value (up to the maximum of 999) worked for either the system OR the indicator! And I couldn't see anywhere that it was looking back that many bars. Then, when I did the optimization on the Confluence code, the MaxBarsBack problem mysteriously disappeared. Sometimes TradeStation is just spooky... Any ideas what happened? I've appended a sample system report for the system on SPX, using the default parameters. The system actually does pretty well. It probably won't make anyone rich, but I thought some folks might enjoy playing with it. There are some other things you could do with it -- e.g. it might be interesting to change it to look for long opportunities when Confluence hits -9, and short when it hits 9.