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Tom,
There is something that I do not understand.
You do not know ref(close,1) and you accept for the
last day the convention ref(close,1) to be equal to
lastvalue(close), which is not true of course.
Instead of
mo=Close/Ref(Close,1)*100 - RSI(14);
you may use
moo=Ref(Close,-1)/Close*100 - Ref(RSI(14),-1);
It is real for any day and has no time problem.
You will notice that moo has 1 day lag compared to
mo, but mo is useful only for the past and everyday has an
unrealistic concession for tomorrow, i.e. is a bit useless.
Does it help ?
Dimitris Tsokakis
--- In amibroker@xxxx, Tom McDaniel <tmtempe@xxxx> wrote:
> Tom-
>
> Two versions are listed below: the original posting by Jaco and one
that
> I have modified and tweaked (this is a work in progress).
>
> I am bothered by the presence of the ref (close, 1) in the
indicator.
> As I understand it this represents tomorrow's close (which is
unknown
> today!). When doing a scan for today AFL replaces tomorrow's close
with
> today's close, which is fine. However, when doing a back test for
all
> past dates tomorrow's close is a known quantity.
>
> My concerns or questions:
>
> * If a buy signal today is based on tomorrow's close being equal
to
> today's close will the signal disappear if tomorrow is a down
day?
> * Could I get a buy signal yesterday for yesterday that doesn't
show
> up until today because today's close is higher than
yesterday's?
>
> I have posted these questions some time back to the group but did
not
> get any response.
>
> I have found that the CCI with colored bars performs similarly to
the
> MRI but the backtested performance is significantly inferior. I
worry
> that the difference is due to the ref(close, 1) artifact discussed
> above.
>
> I would appreciate any clarity that anyone can supply.
>
> Regards,
> -Tom McDaniel
>
>
> /* MRI developed by Jaco Jonker */
>
> mo=close/ref(close,1)*100 - rsi(14);
> mo2=ma(mo,100);
> graph0=mo;
> graph1=rsi(14);
>
>
>
> title= "MRI(100):"+name() + writeval( graph0 );
>
>
> /* MRI developed by Jaco Jonker */
> /* Modified by T. L. McDaniel */
> /* Initially Optimized to 19 days 7/2/2001*/
>
> Maxgraph=5;
> Time=19;
> mo=close/ref(close,1)*100 - rsi(Time);
> mo2=ma(mo,100);
> graph0Color=5;
> graph0=mo;
> Graph1Color=6;
> graph1=rsi(Time);
> Graph2style=4;
> graph2=adx(Time);
>
> graph3style=2;
> graph4style=1;
> graph3barcolor=iif(rsi(Time)>mo,5,4);
> graph3=rsi(Time)-mo;
> graph4=rsi(Time)-mo;
>
> Buy=cross(rsi(Time),mo) ;
> Sell=cross(mo,rsi(Time));
> Short=cross(mo,rsi(Time));
> Cover=cross(rsi(Time),mo);
>
> title= "DATE REF(Close,1) Close RSI(Time) MO";
> title=("TLMTS "+ Name() +" " + Date()) +" "+writeval(ref(close,1))
+" "+writeval(close)+" "+writeval(rsi(Time)) +" "+writeval(mo);
>
> T = 20;
> title = "301-4 " + name () + " " + fullname() + " "
> + "CCI" + " " + "periods:" + writeval(T);
> maxgraph = 5;
> graph2 = CCI (T);
>
> Uptrend = 100; Downtrend = -100;
>
> graph2barcolor = IIF (graph2 > uptrend, 5,
> IIF (graph2 < downtrend,4,6));
>
>
> graph4 = graph2;
>
> buy = cross (graph2, 0) and (ref (graph2,-1) < 0) and (ref (graph2,-
2) < 0)and (ref (graph2,-3) < 0) and (LLV (rsi(9),10) < 30) and cross
(rsi (9),50);
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