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Greg,
The D-ratio is quite unsmoothed and HHV, LLV methods will be full of
whipsaws.
Anyway, if you want to experiment, the formula is
R=500*(H-L)/(H+L);
Z=Optimize("Z",20,5,20,5);
RRR=DEMA(R,Z);
X=Optimize("X",5,5,40,5);
H1=HHV(RRR,X);L1=LLV(RRR,X);
S1=L1<RRR AND Ref(L1,-1)==Ref(RRR,-1);
S2=H1==RRR AND Ref(H1,-1)>Ref(RRR,-1);
B1=H1>RRR AND Ref(H1,-1)==Ref(RRR,-1);
B2=L1==RRR AND Ref(L1,-1)<Ref(RRR,-1);
Y1=Optimize("Y1",1,1,2,1);Y2=Optimize("Y2",1,1,2,1);
Buy=IIf(Y1==1,B1,B2);
Sell=IIf(Y2==1,S1,S2);
Short=Sell;Cover=Buy;
S1 and S2 are the probable Sell conditions
B1 and B2 are the probable Buy conditions.
DT
--- In amibroker@xxxx, "greg" <greg.bean@xxxx> wrote:
> Dimitris,
>
> I haven't run a complete optimization yet. It looks like it will
tie up my computer for a long time, so I'll try later.
> Something I've noticed when looking at INTC chart, is that there is
a long buy at 24/09/01 ending at 22/10/01. There was more that could
have been made after this trade ended but no signals from the afl as
it is now. When I look at the D-Ratio chart pane it looks like maybe
using HHV and LLV of the yellow line would give might get more out of
a trade. Peak to trough of yellow would be a long buy and trough to
peak would be a short. I don't think I have the know how to rearrange
your afl to test for results using the yellow line for buy and sell
signals, if this approach interests you, maybe you would be so kind
to try it out and let me know what your results are. I'm looking
forward to reading your comments and hope that my comments will be
useful.
>
> Greg
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxx
> Sent: Monday, June 24, 2002 6:01 AM
> Subject: [amibroker] The D-ratio and its application
>
>
> A. Definition
> The D-ratio is defined as
> D-ratio = 500*(H-L)/(H+L)
> To avoid sudden spikes but keep the line properties, it is useful
to consider a fast moving average like
> DEMA(D-ratio,5), which usually oscillates in the [0,100] region.
> Slightly negative values or values above 100 may appear, but not
frequently.
> B. Range
> The range of D-ratio and its DEMA comes from the Exploration
> /*D-ratio range*/
> R=500*(H-L)/(H+L);
> Z=5;
> RRR=DEMA(R,Z);
> Rmin=LastValue(Lowest(R));RminF=floor(LastValue(Lowest(R)))+1;
> Rmax=LastValue(Highest(R));RmaxC=ceil(LastValue(Highest(R)))-1;
> RRRmin=LastValue(Lowest(RRR));RRRminF=floor(LastValue(Lowest
(RRR)))+1;
> RRRmax=LastValue(Highest(RRR));RRRmaxC=ceil(LastValue(Highest
(RRR)))-1;
> Filter=1;
> AddColumn(R,"D-ratio");
> AddColumn(RRR,"DEMA D-ratio");
> AddColumn(Rmax,"HIGHEST D-ratio");
> AddColumn(Rmin,"LOWEST D-ratio");
> AddColumn(RRRmax,"HIGHEST DEMA D-ratio");
> AddColumn(RRRmin,"LOWEST DEMA D-ratio");
>
> Explore for the n=1 last quotation.
> For N100 stocks, the ,"HIGHEST DEMA D-ratio" varies from 23 to 95
and the
> "LOWEST DEMA D-ratio" from 2 to 10.
> C. Applications
> The D-ratio or its smoothed form may give interesting trading
systems.
> Search various low levels for the Sell level D1 and various high
levels for the Buy Level D2.
> You may search the optimal D1, D2 following the optimization
> /*D-ratio optimized trading system*/
> R=500*(H-L)/(H+L);
> Z=Optimize("Z",20,5,20,5);
> RRR=DEMA(R,Z);
> Rmin=LastValue(Lowest(R));RminF=floor(LastValue(Lowest(R)))+1;
> Rmax=LastValue(Highest(R));RmaxC=ceil(LastValue(Highest(R)))-1;
> RRRmin=LastValue(Lowest(RRR));RRRminF=floor(LastValue(Lowest
(RRR)))+1;
> RRRmax=LastValue(Highest(RRR));RRRmaxC=ceil(LastValue(Highest
(RRR)))-1;
> Filter=1;
> AddColumn(R,"D-ratio");
> AddColumn(RRR,"DEMA D-ratio");
> AddColumn(Rmax,"HIGHEST D-ratio");
> AddColumn(Rmin,"LOWEST D-ratio");
> AddColumn(RRRmax,"HIGHEST DEMA D-ratio");
> AddColumn(RRRmin,"LOWEST DEMA D-ratio");
> AddColumn(RRRmaxC,"HIGHEST DEMA D-ratio C");
> AddColumn(RRRminF,"LOWEST DEMA D-ratio F");
> D1=Optimize("D1",13,RRRminF,RRRminF+0.5*(RRRmaxC-RRRminF),1);
> D2=Optimize("D2",17,RRRminF+0.5*(RRRmaxC-RRRminF),RRRmaxC,1);
> F1=RRR>=D2;F2=RRR<=D1;
> Sell=F2;Buy=F1;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> Short=Sell;Cover=Buy;
> Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
>
> For your indicator builder use the
> /*D-ratio graph*/
>
> R=500*(H-L)/(H+L);
> Z=Optimize("Z",20,5,20,5);
> RRR=DEMA(R,Z);
> Rmin=LastValue(Lowest(R));RminF=floor(LastValue(Lowest(R)))+1;
> Rmax=LastValue(Highest(R));RmaxC=ceil(LastValue(Highest(R)))-1;
> RRRmin=LastValue(Lowest(RRR));RRRminF=floor(LastValue(Lowest
(RRR)))+1;
> RRRmax=LastValue(Highest(RRR));RRRmaxC=ceil(LastValue(Highest
(RRR)))-1;
> D1=Optimize("D1",13,RRRminF,RRRminF+0.5*(RRRmaxC-RRRminF),1);
> D2=Optimize("D2",17,RRRminF+0.5*(RRRmaxC-RRRminF),RRRmaxC,1);
> F1=RRR>=D2;F2=RRR<=D1;
> Sell=F2;Buy=F1;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> Short=Sell;Cover=Buy;
> Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
> Plot(R,"D-ratio",1,1);Plot(RRR,"DEMA D-ratio",7,8);
> Plot(D2,"Buy Level",5,1);Plot(D1,"Sell Level",4,1);
>
> Do not forget to replace above default values for Z, D1, D2 with
your optimization results.
> In general, when the DEMA(D-ratio) is below the red line the
stock is Sell [or Short] and
> above the green line it is Buy [or Cover]
> You may see INTC example in the att. gif.
> [for [Z=5, D1=13, D2=17] the % Net profit exceeds +800% from Jan
2000]
>
>
>
>
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