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1. Because the market s reversals are fairly regular phase error can be fairly constant We exploited this property by adding lag to the indicator making it so late as to put it back in phase again but with the market s next reversal This idea is implemented in the following demonstration system The installed trading system JRC reverse RSX contains the following three lines of code Input series H L L1 5 P1 9 L2 22 lag 8 IF JRC RSX JRC JMA series lag L1 P1 L2 crosses below 50 Then Buy at market IF JRC RSX JRC JMA series lag L1 P1 L2 crosses above 50 Then Sell at market To run this demonstration load in the daily S amp P500 futures price data we supplied Loading instructions are provided earlier in this manual Note that for the time period used the point value of the S amp P was 500 Next insert the system JRC reverse RSX and set the following parameters values Cost parameters Commission 30 Slippage 150 Margin 15 000 System parameters series H L price series to be analyzed L1 5 length of JMA P1 9 phase of JMA L2 22 length of RSX lag 8 added lag to the price time series Money Management 3850 Max number of bars referenced MaxBarsBack 40 Default Trade Number 1 contract 18 Note that because this is a reversal market system it is blind to long price trends For example although all of 1995 was one huge uptrend for2. All Trades Total Gross Total Ratio net profit 45 183 Open position P L profit 101 452 Gross loss of trades 102 Percent profitable avg win avg loss 2 58 Avg trade win amp loss Max intraday drawdown S 115 533 Profit factor 1 80 Max contracts held Account size required S2b4 233 Return on account This system is only for demonstration purposes Do not trade real money using this system it does not have all the necessary safety features for limiting exposure to risk In addition the maximum drawdown of this paper traded system may be too large for your trading account NOTE Before running any trading system make sure e Cost parameters are appropriate for the market being traded e System parameters are appropriate for the market being traded 14 The following examples require Jurik tools RSX and JMA This section illustrates the power of combining RSX with another tool of ours the JMA Jurik Moving Average To run the demonstrations described herein you will need to have installed both JMA and RSX onto your TradeStation application software Details about JMA and how to acquire it are available on our web page at http www jurikres com catalog ms_ama htm Most technical indicators can be smoothed by applying JMA to the indicator s output In addition you can also apply JMA to data before it is fed to an indicator This form of pre processing may transform the nature of a technical indicator in
3. JRC RSX 2k To run this demonstration load in the U S Bond data we supplied loading instructions are provided earlier in this manual Next insert the system JRC RSX ZONES and set the following parameters values Cost parameters Commission 30 Slippage 50 Margin 2700 System parameters Rlen 12 LongZone 74 ShrtZone 34 Max number of bars referenced MaxBarsBack 50 Default Trade Number 1 contract 11 This very simple system was profitable during the 6 years of trading yielding a 44 000 profit when trading with only 2 700 margin and a worst case drawdown of less than 10 000 JRC RSX Zones USBONDS TXT Daily 01 02 84 01 03 90 Performance Summary All Trades Total net profit 44 315 Open position P L S 1 718 Gross profit 140 888 Gross loss 96 573 Total of trades 182 Percent profitable 41 76 Ratio avg win avg loss 2 03 Avg trade win amp loss 243 Max intraday drawdown 9 860 Profit factor 1 46 Max contracts held Account size required S 12 560 Return on account This system is only for demonstration purposes Do not trade real money using this system it does not have all the necessary safety features for limiting exposure to risk In addition the maximum drawdown of this paper traded system may be too large for your trading account NOTE Before running any trading system make sure e Cost parameters are appropriate for the market being traded e System parameters
4. are 32 bit programs which makes them completely different than TradeStation 4 and SuperCharts 4 hereafter referred to as TS4 SC4 which are 16 bit programs Consequently the Jurik modules designed for TS4 SC4 are not compatible with TS2000 To get Jurik modules for TS2000 you must run the installer and designate that platform EXPANDED NAMES Easy Language studies functions indicators and systems will include during transfers imports amp exports all functions required to make them work Therefore any studies that you import to TS2000 that were developed in TS4 SC4 will also transfer with them any Jurik functions that they utilize Because these functions are not compatible with TS2000 see incompatibility notice above it is imperative that they not overwrite the Jurik modules already installed in TS2000 To accomplish this the names of all Jurik functions indicators and systems for TS2000 have been expanded to include the suffix 2k For example if this user manual refers to a function named JRC RSX its expanded name for TS2000 is JRC RSX 2k You will need to modify any studies you transferred in from TS4 SC4 so that they will now include the 2k suffix on the names of all Jurik functions that they utilize Executive Summary brief instructions for those who don t read user manuals Use the JRC RSX indicator just as if it were the classical RSI indicator It uses a proprietary function called JRC RSX You can code your
5. smoothing with low lag System parameter definitions e RLEN length of RSX e WLEN length of the double weighted moving average e LONGZONE RSX level above which no sell short commands may be executed e SHRTZONE RSX level below which no buy long commands may be executed To run this demonstration load in the U S Bond data we supplied loading instructions are provided earlier in this manual Next insert the system JRC RSX ZONES 2 and set the following parameters values Cost parameters Commission 30 Slippage 50 Margin 2700 System parameters Rlen 10 Wlen 24 LongZone 77 ShrtZone 38 Max number of bars referenced MaxBarsBack 50 Default Trade Number 1 contract 13 This simple system was profitable during the 6 years of trading yielding a 45 000 profit when trading with only 2 700 margin and a worst case drawdown of less than 12 000 The detailed performance statistics show a profit factor of 1 80 a nice increase over 1 46 from the previous system Consequently significantly fewer trades were needed to maintain the same overall net profit as profit per trade almost doubled in value The downside is that maximum drawdown increased thereby lowering ROA from 352 to 317 When designing any system there are multiple factors to consider and as is typically the case a tradeoff exists between them JRC RSX Zones 2 USBONDS TXT Daily 01 02 84 01 03 90 Performance Summary
6. 3 258 4860 or fax 323 258 0598 and tell us your name phone number the platform you are installing to TS4 SC4 TS2000 PS2000 and the identification code After receiving your password proceed to step 3 3 Close your software application SuperCharts TradeStation or ProSuite Leaving it open may interfere with the installation process You do NOT need to shut down the data server 4 Using Windows Explorer or File Manager double click or run JRSACT_2 EXE Enter your security block number or Customer ID number if applicable SuperCharts end of day users probably have no security block number Also enter your password Click OK Select all and only those tools you currently have license to use otherwise the password will not be accepted Click OK Follow other instructions on screen 5 At this point all the Jurik tools eg JMA VEL CFB WAV DDR RSX you currently have license to use were placed as Easy Language files on your hard drive The next page shows how to transfer import them into your TradeStation software product Step 2 TRANSFER IMPORT Transferring to TradeStation 4 0 SuperCharts 4 0 Run TOOLS VERIFY_ALL to ensure all linkages are correct Using either QuickEditor or PowerEditor use the FILE OPEN command to bring up a dialog box then press the TRANSFER button Select Transfer FROM Easy Language Archive File and press the OK button Transfer in RSX whose default filepath is C JRSOMEGA EASY
7. A in ProSuite 2000 TradeStation 2000 Select menu command FILE NEW TradeStation Chart Select menu command INSERT SYMBOL then press NEW DIR Select DATA TYPE as ASCII and press the BROWSE button and find the C JRSOMEGA DATA folder Press OK to exit the Browse box Press OK to exit the NEW DIRECTORY box Select either USBONDS TXT or SP500 TXT and press PLOT Select First Line of Data File Select date format MONTH DAY YEAR for SP500 or select YEAR MONTH DAY for USBONDS Press OK In the Settings box set DATA TYPE future For S amp P set SEARCH FOR SP For BONDS set SEARCH FOR US Deselect EXACT MATCH press FIND FOR S amp P Select S amp P500 Index in the DATA NAME field set MIN MOVE 5 VALUE 500 Press OK FOR BONDS Select TREASURY BONDS 30 Yr set MIN MOVE 1 VALUE 1000 Press OK In Format Symbol box For Bonds enter First Date as 1 03 84 and Last Date as 1 03 90 For S amp P Enter First Date as 1 01 83 and Last Date as 1 10 96 Press OK DEMO 1 Comparing RSX to RSI Load any price data onto a chart Insert onto your chart the indicator Custom 2 line Before pressing the PLOT button make sure the Format box is selected For the field Input 1 enter the formula RSI close 10 For the field Input 2 in TradeStation SuperCharts 4 enter the formula JRC RSX close 10 or in TradeStation 2000 enter th
8. Consulting Aurora CO www jurikres com Installation Instructions The software accompanying this manual is designed to be used inside TradeStation Technologies formerly Omega Research TradeStation 4 SuperCharts 4 TradeStation 2000 ProSuite 2000 or TradeStation Pro If you do not have an up to date version call TradeStation Technologies for the appropriate upgrade Getting Jurik s tools into a TradeStation software application is a 2 step process e INSTALLATION to create ELA or ELS files containing the Jurik modules e TRANSFER to move the modules into your TradeStation software product Step 1 INSTALLATION 1 The name of the installation software is JRSACT_2 EXE 2 If you HAVE received a password from Jurik Research on a colored sheet of paper that came with this software then SKIP THIS STEP and proceed to step 3 Otherwise using Windows Explorer or File Manager double click or run the installer program JRSACT_2 EXE If you have TradeStation 4 or SuperCharts 4 enter your security block number if you have one SuperCharts end of day users probably have no security block number so they should leave the field blank If you have TradeStation 2000 or ProSuite 2000 enter your TradeStation Customer ID number Working through select all the Jurik tools you currently have license to use Eventually the program will give you an identification code To receive your activation password from us e mail to nfs nfsmith net or call 32
9. ING LAW The license agreement shall be construed and governed in accordance with the laws of California In any legal action regarding the subject matter hereof you agree to have venue be in the State of California 7 COST OF LITIGATION In any legal action regarding the subject matter hereof the prevailing party shall be entitled to recover in addition to any other relief granted reasonable attorney fees and expenses of litigation 8 TERMINATION The license will terminate automatically if you fail to comply with the limitations described herein On termination you must destroy all your copies of the Software and Documentation 9 NO WAIVER The failure of either party to enforce any rights granted hereunder shall not be deemed a waiver by that party as to subsequent enforcement of rights in the event of future breaches 10 MISCELLANEOUS If any provision of this Agreement is held to be unenforceable such provision shall be reformed only to the extent necessary to make it enforceable 2000 Jurik Research and Consulting Aurora CO www jurikres com JURIK RESEARCH RSX Relative Trend Strength Index Add In Tool for TradeStation Technologies Software U S 30Year Bonds sti th hi Mi h hpi ij p l Yi W p h My W E d i i Mi iN h iy i i P ity USER S GUIDE TradeStation Technologies TradeStation 4 SuperCharts 4 ProSuite 2000 TradeStation Pro 2000 Jurik Research and
10. Jurik Research Limited Use Software License Agreement TO READ THIS DOCUMENT YOU MUST AGREE TO THE FOLLOWING TERMS AND CONDITIONS Jurik Research amp Consulting JRC grants you a non exclusive license to use the accompanying software documentation Documentation in the manner described as follows 1 LICENSE GRANT As licensor JRC grants to you and you accept a non exclusive license to use the enclosed Documentation only as authorized in this agreement 2 COPYRIGHT This Document is copyrighted and protected by both United States copyright law and international treaty provisions All rights are reserved You may not permit other individuals to use the Documentation except under the terms in this agreement No part of the Documentation may be reproduced or transmitted in any form or by any means for any purpose other than the purchaser s personal use without the written permission of JRC You may not remove any proprietary notices or labels on the Documentation You may print this document only for your personal use 3 LIMITED WARRANTY Information in the Documentation is subject to change without notice and does not represent a commitment on the part of JRC The user s sole remedy in the event a typographical or other error is found in the Documentation within the warranty period is that JRC will replace the documentation The above express warranty is the only warranty made by JRC It is in lieu of any other warranties whether exp
11. LANG JRC_RSX ELA You may have elected to change this filepath during installation Enter the filepath and press OK Select Transfer All and press OK All JMA related tools will be automatically transferred Do not assume all transferred modules were properly verified Execute TOOLS VERIFY_ALL to ensure all linkages are correct Importing to TradeStation 2000 ProSuite 2000 FY N Using the PowerEditor execute FILES VERIFY_ALL to ensure all linkages are correct Execute the FILE IMPORT_and_EXPORT command Select Import Easy Language Archive Files to import ELS files Press the OK button Import RSX whose default filepath is C JRSOMEGA EAS YLANG RSX ELS You may have elected to change this filepath during installation Enter the filepath or use the browser to find it Make sure you select to import all studies contained within the ELS file Press OK During importation it may want to load the same function several times so you may repeatedly see a dialog box asking if you want to overwrite an already existing module To speed up the import process select YES TO ALL Do not assume all the imported modules were properly verified Execute the command FILES VERIFY ALL to ensure all linkages are correct IMPORTANT NOTICE When upgrading from TradeStation 4 or SuperCharts 4 to TradeStation 2000 or TradeStation Pro INCOMPATIBILITY TradeStation 2000 and TradeStation Pro hereafter referred to as TS2000
12. are appropriate for the market being traded 12 DEMO 3 RSX Zones 2 Trading System The previous demonstration had a profit factor of only 1 46 This means that only 1 46 was gained for each 1 lost Wed like to improve this performance while keeping maximum drawdown MDD low and the Return on Account ROA high Examination of the actual trades reveals many were entered prematurely despite the fact that the RSX zones were designed to prevent this The question then becomes How do get additional confirmation before entering a trade In this demonstration additional confirmation of a trend reversal is attained by requiring the bar of entry to move sufficiently in the direction of the anticipated new trend direction This is accomplished by requiring the bar low to be below a moving average before entering a SHORT trade and requiring the high to be above the moving average before entering a LONG trade The installed trading system is called RSX Zones 2 and is coded as follows Inputs Rlen 10 Wlen 24 LongZone 77 ShrtZone 38 vars RSX 0 Wavg 0 RSX JRC RSX 2k h 1 rlen Wavg waverage waverage h l 2 Wlen Wlen If RSX lt RSX 1 and RSX lt LongZone and L lt Wavg then sell If RSX gt RSX 1 and RSX gt ShrtZone and H gt Wavg then buy Although not as good as Jurik s JMA moving average the double weighted moving average employed in this system does a fair job of
13. as you can You may apply more than one discount coupon toward the purchase of your next tool Anti Piracy Reward Policy Jurik tools are world renown for excellence and value We manage to keep costs down with large sales volume maintained in part by protecting our copyrights with the following anti piracy policy We have on permanent retainer one of the best intellectual property law firms in the U S We do not perform cost benefit analysis when it comes to litigation We prosecute all offenders We register portions of our software with the U S Copyright office entitling us to demand the offender compensate Jurik Research for all legal costs which is typically over 10 000 per lawsuit We offer up to 5000 reward for information leading to the prosecution of any offender s Risk amp Liability Hypothetical or simulated performance results have certain inherent limitations Simulated performance is subject to the fact that they are designed with the benefit of hindsight We must also state here that due to the frequently unpredictable nature of the marketplace past performance of any trading system is never a guarantee of future performance In addition all trading systems have risk and commodities trading leverages that risk We advise you never to place at risk more than you can afford to lose It s only common sense The user is advised to test the software thoroughly before relying upon it The user agrees to assume th
14. direction of trend A fast moving upward trend with 90 of the last 20 bars moving in the same direction will produce a strong RSX value a value close to either 0 or 100 Congested price movement will have about half of the price bars moving up and half moving down In that case RSX will produce a neutral value of 50 out of 100 just as the classical RSI would Trend momentum and purity are import aspects to consider when timing trade entries and exits The following demonstration trading system is based on the following key rules Buy when RSX is rising sell when RSX is falling However if RSX is in either extreme long short range let the current position continue until RSX falls out of the extreme range There s no point in ending a trade when the trend is going strong The installed trading system is called JRC RSX ZONES and has the following code Inputs rlen 12 LongZone 74 ShrtZone 34 vars RSX 0 RSX JRC RSX 2k ht 1 rlen If RSX lt RSX 1 AND RSX lt LongZone then sell else if RSX gt RSX 1 and RSX gt ShrtZone then buy System parameter definitions e RLEN specifies the length of RSX e LONGZONE specifies the RSX level above which no sell short commands may be executed e SHRTZONE specifies the RSX level below which no buy long commands may be executed In TradeStation 4 and SuperCharts 4 it uses the function JRC RSX whereas in TradeStation 2000 it uses the function
15. duce a time series Consequently you cannot reference past values of it directly However you can do so indirectly by referring its output to a variable and then seeking past values of that variable For example INVALID EXPRESSION result JRC RSX flex series length 7 VALID EXPRESSION valuel JRC RSX flex series length result valuel1 7 Note This method of referencing past values of variables in not permitted inside type SIMPLE functions JRC RSX flex is not automatically evaluated on every bar You must control when it gets evaluated This can be advantageous For instance you can take a moving average of only Tuesday s closing prices when using a daily chart by writing code so that RSX is called only on Tuesdays For example if DateOfWeek Date 2 then result JRC RSX flex close length Max number of bars RSX will reference equals the lookback of the input time series plus the lookback of RSX itself INPUT to RSX FULL EXPRESSION MaxBarsBack close JRC RSX close 21 21 close 5 JRC RSX close 5 21 21 5 average close 5 14 JRC RSX average close 5 14 21 21 14 5 Why use RSX The popular RSI indicator is very noisy RSX eliminates noise completely There is only one convincing way to illustrate the power of RSX In the chart below we see daily bars of U S Bonds analyzed by RSX and the classical RSI RSX is very smooth Typically any indicator can be smoothed by a movin
16. e do not recommend using any time series other than simple combinations of Open High Low and Close for example H L C 3 This gives results with the least lag The next parameter is LENGTH and it determines the function s time scale Larger values produce a smoother result The default value for LENGTH is 8 The third line of code above calls the user function JRC RSX This user function contains a proprietary algorithm It is encrypted and cannot be viewed The last line tells the indicator to draw a plot of RSX s results Set the indicator s PROPERTIES so that its maximum number of bars referenced MaxBarsBack is as specified in the Executive Summary section of this manual You may want to design your own indicators that use the underlying user function directly To see how to do this read the Executive Summary earlier in this manual SuperCharts users can easily build their own RSX indicator by specifying it as follows Indicator Name my_RSX Ploti Formula JRC RSX price length MaxBarsBack 1 see Executive summary for more info Inputs Name Default Value Series close Length 8 The formula for ploti may use complex expressions for PRICE PRICE can be any calculation that produces a series such as High Low Close 3 or any function that produces a series as its output such as average close 14 In the later case the formula for Ploti might look like this JRC RSX average close 14 LENGTH De
17. e entire risk of using the software In no event shall JRC be responsible for any special consequential actual or other damages regardless of type and any lost profit resulting from the use of this software 20
18. e formula JRC RSX 2k close 10 Set it to plot on any subgraph other than subgraph 1 Press OK button For the chart below we used daily US Bonds data Your chart may look different The heavy line is RSX and the thin lighter line is RSI Note RSX smoothness Smoothness can be adjusted by varying the LENGTH parameter Small values make RSX respond rapidly to price change and larger values produce smoother flatter curves Typical values for LENGTH range from 5 to 80 NOTE ALL DEMONSTRATION SYSTEMS Historical back testing does not prove a system will be profitable in the future but it can demonstrate whether or not a system would be worthless in the future The example trading systems described in this manual are for illustration purposes only Do not trade real money using these demonstration systems A real trading system should be tested extensively for various kinds of flaws including over sensitivity to parameter settings A real trading system requires not one but several mutually concurring indicators as well as good money management rules useful for assessing how much to invest and for placing exit stops 10 DEMO 2 RSX Zones Trading System RSX measures two aspects of market trend simultaneously momentum and purity Trend momentum is the speed with which price is moving and trend purity is concerned with the relative proportion of bars that are actually moving in the
19. e time series to be analyzed L1 length of JMA P1 phase of JMA L2 length of RSX BUYLINE RSX level that triggers a buy command SELLINE RSX level that triggers a sell command To run this demonstration load in the U S Bond data we supplied loading instructions are provided earlier in this manual Next insert the JRC thresh RSX and set the following parameters values Cost parameters Commission 30 Slippage 50 Margin 2700 System parameters series close price series to be analyzed L1 2 length of JMA P1 49 phase of JMA L2 9 length of XMA Buyline 39 threshold to enter long Selline 54 threshold to enter short Money Management 2550 Max number of bars referenced MaxBarsBack 50 Default Trade Number 1 contract 16 This simple system was more profitable than demonstrations 2 and 8 Overall net profit was 60 000 profit factor was 2 06 average trade was 609 and ROA was almost 500 Note This demonstration system has more input variables that the prior demonstrations naturally lending it to be more finely tuned to the market s behavior However there is always the danger of developing systems that are too complex enabling it to memorize specific trades rather than learn the general behavior of a market This is why it is crucial to keep your system as simple as possible With regards to this system its complexity consists of a money management stop and the
20. g average but the penalty is added lag to the resulting signal Not only is RSX smoother than RSI but its smoothness comes without added lag RSX permits more accurate analysis helping you avoid many trades that would have been prematurely trigged by the jagged RSI Once you begin using RSX you may never apply the classical RSI again U S 30Year Bonds ye 7 My l il r W i M h uf it l f M g pi Y h li at i uf j A Wh Rsx 20 80 20 RSI for use in Power Editor for use in Quick Editor User Guide After installing RSX the indicator JRC RSX is ready for use You may use it within TradeStation and SuperCharts the same way as you would use the classical RSI indicator The indicator JRC RSX consists of the following Easy Language code INPUTS PRICE CLOSE LENGTH 8 VARS RSXplot 0 RSXplot JRC RSX PRICE LENGTH PLOT1 RSXplot JRC RSX The first line of code says the indicator requires 2 input parameters The first one is PRICE which defines the time series to be processed It defaults to the closing price of each bar PRICE can be any simple calculation that produces a series such as High Low Close 3 or any function that produces a series as its output such as average close 14 In the later case a line of code may look like this RSXplot JRC RSX average close 14 LENGTH Although any type series function can be used to generate input to JRC RSX w
21. monstrations The remaining portion of this user manual contains demonstrations that show the power of RSX The demon strations include systems for the S amp P and for US 30 Yr Bonds The installer created two data files in the JRSOMEGA DATA directory USBONDS TXT and SP500 TXT You are invited to perform the same experiments as we did Just follow the instructions in the manual and you should get similar results To load the sample data for any demonstration following these steps SN NO Ne LOADING SAMPLE U S T BOND DATA or SP500 DATA in TradeStation 4 SuperCharts 4 Select menu command FILE NEW WINDOW CHART In the INSERT PRICE DATA box select DIRECTORY radio button Press NEW DIR and enter C JRSOMEGA DATA in the DIRECTORY field and select ASCII Press OK Select USBONDS TXT or SP500 TXT Select Prompt for Format Press PLOT Select FIRST LINE OF DATA FILE and press OK In SETTINGS box e Select FUTURE as data type enter US for Bonds or SP for SP500 in the SEARCH FOR field Deselect EXACT MATCH Press FIND Select TREASURY BONDS 30 Yr or S amp P500 Index in the DATA NAME field For the S amp P specify these price settings Min Move 5 Value 500 e Press OK In FORMAT PRICE DATA box select SETTINGS tab For Bonds enter First Date as 1 03 84 and Last Date as 1 03 90 For S amp P Enter First Date as 1 01 83 and Last Date as 1 10 96 Press OK LOADING SAMPLE U S T BOND DATA or SP500 DAT
22. own Easy Language modules to employ the user function as follows valuel JRC RSX SERIES LENGTH SERIES is the time series to be processed such as the daily closing price To use closing prices replace SERIES in the above expression with close This input series can also be any QuickEditor expression that produces a series For example SERIES could be replaced by 7 average close 14 LENGTH is roughly the number of bars used in the calculation of RSX and it determines the degree of smoothness Small values make RSX respond rapidly to price change and larger values produce smoother flatter curves Typical values for LENGTH range from 5 to 30 You can even use decimal numbers such as 28 3 There may be times when you want to feed RSX your own calculated time series variable instead of the standard open low low and close For this purpose we have a special version of RSX called JRC RSX flex In the following example the time series variable is calculated just prior to feeding RSX series close 0 5 stdev high 10 result JRC RSX flex series 14 NOTE Although JRC RSX flex has this advantage over JRC RSX it also has two important disadvantages Both are directly the result of the properties of type SIMPLE user functions in Easy Language You need to decide which version of RSX is more appropriate in your coding The two disadvantages of the flex version are 1 JRC RSX flex does not pro
23. ressed or implied including but not limited to any implied warranty of merchantability of fitness for a particular purpose This disclaimer of warranty constitutes an essential part of the agreement Some jurisdictions do not allow exclusions of an implied warranty so this disclaimer may not apply to you 4 LIMITATION OF LIABILITY The user agrees to assume the entire risk of using the software described by the Documentation In no event shall JRC be liable for any indirect incidental consequential special or exemplary damages or other damages regardless of type including without limitation damages for loss of profit or goodwill resulting from the use of this documentation In no event shall JRC be liable for any damages even if JRC shall have been informed of the possibility of such damages or for any claim by any other party Some jurisdictions do not allow the exclusion or limitation of incidental or consequential damages so this exclusion and limitation may not apply to you JRC s total liability to you or any other party for any loss or damages resulting from any claims demands or actions arising out of or related to this agreement shall not exceed the license fee paid to JRC for use of the software described by the Documentation 5 TITLE You acquire no right title or interest in or to the Documentation Title ownership rights and intellectual property rights shall remain in Jurik Research and or its respective suppliers 6 GOVERN
24. the S amp P this system did not capitalize on it and for most of the year was out of the market Nonetheless this system s profit factor is almost 2 0 ROA is 510 and the average trade nets a 1330 profit JRC reverse RSX SP500 TXT Daily 01 03 83 01 10 96 Performance Summary All Trades Total net profit 166250 Open position P L Gross profit 345485 Gross loss Total of trades 125 Percent profitable Ratio avg win avg loss L337 Avg trade win amp loss Max intraday drawdown 17580 Profit factor T93 Max contracts held Account size required 32580 Return on account This system is only for demonstration purposes Do not trade real money using this system it does not have all the necessary safety features for limiting exposure to risk In addition the maximum drawdown of this paper traded system may be too large for your trading account NOTE Before running any trading system make sure e Cost parameters are appropriate for the market being traded e System parameters are appropriate for the market being traded 19 IF YOU FIND A BUG YOU WIN If you discover a legitimate bug in any of our preprocessing tools please let us know We will try to verify it on the spot If you are the first to report it to us you will receive the following two coupons redeemable toward your acquisition of any of our preprocessing tools a 50 discount coupon a free upgrade coupon You may collect as many coupons
25. three lines of code as shown on the previous page JRC thresh RSX USBONDS TXT Daily 01 02 84 01 03 90 Performance Summary All Trades Total net profit 60361 Open position P L 1093 Gross profit Sail 1 9 705 Gross loss 59343 Total of trades 99 Percent profitable 49 Ratio avg win avg loss 2 06 Avg trade win amp loss 609 Max intraday drawdown 9400 Profit factor 2 02 Max contracts held Account size required 12100 Return on account This system is only for demonstration purposes Do not trade real money using this system it does not have all the necessary safety features for limiting exposure to risk In addition the maximum drawdown of this paper traded system may be too large for your trading account NOTE Before running any trading system make sure e Cost parameters are appropriate for the market being traded e System parameters are appropriate for the market being traded 17 DEMO 5 Reverse RSX Trading System This demonstration illustrates a strategy for trading reversal markets In addition to RSX it uses the function JMA Jurik Moving Average Its design philosophy is based on the notion that reversal markets flip direction too fast for trend following systems to track For example by the time a trend following indicator registers an uptrend the market may have already reversed into a downtrend When this occurs we say the indicator is out of phase with the market s swings
26. to a completely new function For example plot A in the chart below shows the RSX indicator with no pre smoothing by JMA In plots B C and D JMA s smoothness parameter is 10 30 and 60 respectively As pre smoothness increases note how RSX tends to yield more extreme values In plot D RSX yields only two values its maximum and minimum indicating trend up and trend down ee A ve hye y A MA atm ura a The formula for plot A JRC RSX JRC JMA close 0 0 14 B JRC RSX JRC JMA close 10 0 14 C JRC RSX JRC JMA close 30 0 14 D JRC RSX JRC JMA close 60 0 14 The next two demonstrations show how pre smoothing with JMA yields trading systems better than those shown in demonstrations 2 and 3 15 DEMO 4 Threshold RSX Trading System In this demonstration we take the RSX signal whose input was pre smoothed by JMA and compare it to two threshold values for triggering buy sell signals If the signal crosses above BUYLINE then buy long If the signal crosses below the SELLINE then sell short The installed trading system is called JRC thresh RSX and its code is as follows Input series close L1 2 P1 49 L2 9 Buyline 39 Selline 54 IF JRC RSX JRC JMA series L1 P1 L2 crosses above BuyLine Then Buy on Close IF JRC RSX JRC JMA series L1 P1 L2 crosses below SelLine Then Sell on Close System parameter definitions SERIES the pric
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