The AIQ code is provided here for Francesco Bufi’s adaptive thresholds technique and his four test systems, as described in his article in the October 2024 Stocks and Commodities issue (“Overbought/Oversold Oscillators: Useless Or Just Misused?”).

Did people like J. Welles Wilder and John Murphy (pioneers in technical analysis and the authors of several notable books in the field) work with no purpose other than to cheat us? Or have their techniques perhaps stopped working? Are some of these techniques indeed useless, as some would claim? Here’s a test to find out.

Francesco Bufi presents a strategy based on the relative strength index (RSI) that continuously adjusts the buying level.

Since the author optimized the test systems for intraday trading and the AIQ code provided here is based on daily bar trading, the parameters may need to be adjusted to get a realistic test.

!Overbought/Oversold Oscillators: Useless Or Just Misused?
!Author: Francesco P. Bufi, TASC October 2024
!Coded in AIQ by: Richard Denning, 8/17/2024

!INPUTS:
C is [close].
C1 is valresult(C,1).
H is [high].
L is [low].
TrendLen is 200.
RSILen is 2.
BuyLevel is 14.
UpBuyLevel is 12.
DnBuyLevel is 4.
AdaptLen is 8.
KAdaptive is 6.
ExitBars is 3.

!BAT:
StdDev is sqrt(variance(C,AdaptLen)).
value1 is StdDev.
value2 is slope2(C,AdaptLen).
value3 is value2/value1.
value3a is iff(value3>0.5,0.5,iff(value3<-0.5,-0.5,value3)).
BAT is value3a.

!TREND:
SMA is simpleavg(C,TrendLen).
Trend is iff(C > SMA,1,-1).

!! RSI WILDER
!To convert Wilder Averaging to Exponential Averaging use this formula:
!ExponentialPeriods = 2 * WilderPeriod - 1.
U is C - C1.
D is C1 - C.
W1 is RSILen.
rsiLen1 is 2 * W1 - 1.
AvgU is ExpAvg(iff(U>0,U,0),rsiLen1).
AvgD is ExpAvg(iff(D>=0,D,0),rsiLen1).
rsi is 100-(100/(1+(AvgU/AvgD))).

!SYSTEMS FOR TESTING:
! Sys1:
Buy1 if rsi<BuyLevel.

!Sys2:
Buy2 if rsi<BuyLevel and Trend=1.

!Sys3:
Buy3 if (Trend=1 and rsi<UpBuyLevel) or (Trend=-1 and rsi<DnBuyLevel).

!Sys4:
BL is BuyLevel*KAdaptive*BAT.
Buy4 if rsi<BuyLevel*KAdaptive*BAT. 

Sell if {position days} >= ExitBars.

ShowValues if 1.

—Richard Denning
rdencpa@gmail.com
for AIQ Systems

In the first segment, Steve Hill CEO of AIQ Systems retested some older EDS strategies from decades past and discovered what still works today. In the second segment, David Wozniak of TFRTrader covered his fall sector and industry group technical analysis update. (TFRTrader special offer available at https://aiqeducation.com/tfr-2/

The 3 best performing of the golden oldies EDS strategies are available below. Save all these files to your /wintes32/EDS Strategies folder

Candlestick bullish Engulfing – must occur close to the Lower Bollinger Band

Download the EDS file

Download the backtest file

Volume Climax Reversal Indicator System

Download the EDS file

Download the backtest file

Pullback in 66 Day Uptrend

Download the EDS file

Download the backtest file

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Recording of Zoom event from September 18, 2024.

ETFs cater to various needs, from short-term trading to long-term investing. As their popularity has grown, brokers and fund groups have provided more resources for building diversified portfolios. But which indicator tools are best for trading decisions?

PowerPoint presentation Download

Download the AIQ list file for the top 100 ETFs by volume Download Save this file to your /Wintes32 folder.

The 100 ETF data files are also available in this zip file Download, Unzip these to your /wintes32/tdata folder and have them overwrite any existing files you have

In the August edition of Stocks and Commodities magazine, Buff Pelz Dormeier discusses Volume flows that help to validate trending and even non trending price movements. This study presents an updated trend-following trading system based on combining the ADX with the trend thrust indicator and volume price confirmation indicator.

The AIQ code for VPCI and related indicators is given below. This code can be used to develop trading systems, or the indicator can be used as a filter for existing systems. I tried different plotted indicator displays and decided that two smoothed VPCI indicators plotted as a histogram, which shows the difference between the two smoothed indicators, would give the most useful display.

The indicator plot shown below uses parameters of 50 and 10 days to compute the VPCI, then takes two simple averages of this VPCI using 5 days and 10 days. The difference between these two smoothed indictors is then plotted as a histogram.

!! CONNECITON & AFFINITY BETWEEN PRICE & VOLUME
! Author: Buff Dormeier, TASC July 2007
! Coded by: Richard Denning 5/11/07

! PARAMETERS
Price 	is [close].
LT	is 50.
ST	is 10.
S	is 5.
SS	is 10.

! SIMPLE MOVING AVERAGE OF PRICE (SMA)
SMA_L 	is sum(Price,LT) / LT.
SMA_S	is sum(Price,ST) / ST.
V	is [volume].

! VOLUME-WEIGHTED MOVING AVERAGE (VWMA)
VTOT_L 	is sum(V,LT).
VWMA_L	is sum(Price * (V / ^VTOT_L),LT).

VTOT_S	is sum(V,ST).
VWMA_S	 is sum(Price * (V / ^VTOT_S),ST).

! VOLUME-PRICE CONTRADICITION/CONFIRMATION (VPC + / - )
VPC	is VWMA_L - SMA_L.

! VOLUME PRICE RATIO (VPR)
VPR 	is  VWMA_S / SMA_S.

! VOLUME MULTIPLIER (VM)
VMA_S	is sum(V,ST) / ST.
VMA_L	is sum(V,LT) / LT.
VM	is VMA_S / VMA_L.

! VOLUME-PRICE CONFIRMATION INDICATOR (VPCI)
VPCI	is VPC * VPR * VM.

! SMOOTHED VOLUME-PRICE CONFIRMATION INDICATOR(sVPCI)
sVPCI	is sum(VPCI,S) / S.
ssVPCI	is sum(VPCI,SS) / SS.

! INDICATOR FOR HISTORIGRAM PLOTTING. 
dsVPCIss is sVPCI - ssVPCI.

FIGURE 9: AIQ. SPY shown with 50-day VWMA (red), 10-day VWMA (yellow) and sVPCI, ssVPCI (50,10,5,10) historigram (lower indictor plot in white).

—Richard Denning
rdencpa@gmail.com
for AIQ Systems