The importable AIQ EDS file based on Markos Katsanos’ article in July issue of Stocks & Commodities magazine, “Buy & Hold, Or Buy & Sell?” can be obtained on request via email to info@TradersEdgeSystems.com. The code is also available below:
Synopsis….Here is a system that with a few simple rules will reduce drawdown and improve the profitability of your portfolio without having to go short or use put options…
!Buy & Hold, Or Buy & Sell? !Author: Markos Katsanos, TASC July 2021 !Coded by: Richard Denning, 5/17/2021 C is [close]. C1 is valresult(C,1). H is [high]. L is [low]. LL3 is lowresult(L,3). HH3 is highresult(H,3). LL14 is lowresult(l,14). HH14 is highresult(H,14). LL40 is lowresult(L,40). HH40 is highresult(H,40). V is [volume]. WilderLen is 2. ATRlen is WilderLen*2-1. VIX is TickerUDF("VIX",C). VIXDN is (VIX/highresult(VIX,15,1)-1)*100. VIXUP is (VIX/lowresult(VIX,15,1)-1)*100. VIXDNMIN is -30. VIXUPMIN is 100. ! AVERAGE TRUE RANGE HD if hasdatafor(ATRlen+20) >= ATRlen. TR is Max(H - L,max(abs(C1 - L),abs(C1 - H))). ATR is iff(HD,expavg(TR,ATRlen),0). ATRDN is (ATR/highresult(ATR,15,1)-1)*100. ATRUP is (ATR/lowresult(ATR,15,1)-1)*100. UP is (highresult(C,2)/lowresult(C,4)-1)*100. DN is (lowresult(C,2)/highresult(C,4)-1)*100. CCH is (lowresult(C,10)/highresult(C,100)-1)*100. HHB is scanany(C=^highresult(C,4),4) then offsettodate(month(),day(),year()). VOLUP is V/simpleavg(V,50,HHB-1)*100. LLB is scanany(C=^lowresult(C,4),4) then offsettodate(month(),day(),year()). SMA10 is simpleavg(C,10). BUYINITIAL if SMA10 >= valresult(SMA10,1) AND StochK3 < 40 AND hasdatafor(20)>=10. B2 if UP > 6 AND (VIXDN<VIXDNMIN OR ATRDN<2*VIXDNMIN) AND CCH<-15 AND lowresult(StochK40,^LLB)<25 AND lowresult(StochK14,^LLB)<25 AND StochK14>=StochK40. Buy if BUYINITIAL or B2. SELL if C<simpleavg(C,20) AND DN<-6 AND (VIXUP>VIXUPMIN OR ATRUP>2*VIXUPMIN) AND VOLUP>80 AND highresult(StochK40,^HHB)>85 AND highresult(StochK14,^HHB)>85 AND StochK40>=StochK14. Stoch3 is (C - LL3) / (HH3 - LL3) * 100. StochK3 is simpleavg(Stoch3,3). Stoch14 is (C - LL14) / (HH14 - LL14) * 100. StochK14 is simpleavg(Stoch14,3). Stoch40 is (C - LL40) / (HH40 - LL40) * 100. StochK40 is simpleavg(Stoch40,3). ShowData if 1.
Figure 7 shows a backtest of the weekly system using the Nasdaq 100 list of stocks from 5/17/1999 to 5/17/2021.
FIGURE 7: AIQ. Shown here is a summary of the EDS weekly backtest using the Nasdaq 100 list of stocks from 5/17/1999 to 5/17/2021.
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