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Indicator -> Moving average -> Rate of change -> Trading rule

by bug man, 3736 days ago
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This list of rules was created by applying a mask or a time-series transformation to some popular indicators. The mask can be found here: SMA - ROC mask

Here is how it works: First of all, an indicator is selected, then a simple moving average is applied to this indicator (smoothing process), finally we calculate the rate of change of this moving average over a specific number of bars.

For each trading indicator, there are several variables to optimize: The indicator parameters if any, the simple moving average period and the rate of change period.

Example:
roc( sma( rsi( 14 ) , 30 ), 20)
In the above example, the rsi parameter (14), the sma (simple moving average) parameter (30) and the roc (rate of change) parameter (20), could be optimized. I have made some back-tests using the relative strength index (rsi) indicator and found some pretty good results.
I have used a simple rule: roc( sma( rsi( 14 ) , 30 ), 20) > X and made several optimizations.
What I have found is that for the same parameter value (sma and roc), the higher the X value is the better the rules performance for a SHORT output (short then cover after n days).


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Type: List of Rules

Object ID: 154


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