Low-lag, low-jitter indicators for DI+, RSI, and Stochastic %K?
Author: lepete
Creation Date: 8/29/2017 10:47 PM
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lepete

#1
Using the Jurik Res add-on package for another platform, I was able to optimize and backtest two strategies with interesting results (attached) after trading EOD for the Dow-30 back to Jan 2002. Because Jurik Res does not plan on creating an add-on package for WL, I was wondering if there are any indicators in TASC which are similar to the three indicators discussed below (DMX, RSX, VEL)?

The first strategy uses the DMX indicator, which is a smoothed, low-lag, low-jitter variant of DI+. Replicating DMX would probably require a cubic spline smoother, or a 4-8-tap FIR accompanied with a fractal inverter. Next to one another, the DMX signal itself looks like DI+, but instead of being jagged it appears to be a smooth cycle with near constant amplitude in the range [-1,1] and varying wavelength with rounded/smoothed peaks and troughs. The simple setup for buys and sells for this strategy uses turns in DMX:

CODE:
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Results of this strategy are attached.

The second strategy uses a double RSX on RSX indicator with VEL for buys and sells, with shorting and covers. RSX is a smoothed, low-lag, low-jitter variant of RSI, and VEL is a smoothed, low-lag, low-jitter momentum or stochastic indicator(?). The code for this strategy is listed below:

CODE:
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I suppose Ehler’s EC could be used to input DI+, RSI, and a fast stochastic; however, it’s not really the same as generating the signals based on the internals. Any suggestions?

(Note that the attached equity curves are very unrealistic, since they are based on 100% equity for each trade).