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Rick,
Of course I do not expect this exponential damping for the next ten
years !!![Except if stocks follow the WCOM example...]
I just pointed out that Dv is closely related to prices devaluation
The trading future of this simple exponential is not an easy study.
Many models available but the long term experience is poor.
Dimitris Tsokakis
--- In amibroker@xxxx, "Richard Alford" <richard.alford@xxxx> wrote:
> It appears to me that Dv = H+L -2C is basically a measure of the
daily range - unscaled. Indeed, if the price increases or decreases
dramatically, and the % variation remains the same this change in
price would be reflected. Good observation.
>
> I, frankly, don't find the exponential fit too convincing. On the
other hand, it does appear that the volatility has decreased since
peaking arin late 2000.
>
> Cheers,
>
> Richard
> ----- Original Message -----
> From: slwiser
> To: amibroker@xxxx
> Sent: Thursday, July 04, 2002 9:36 AM
> Subject: [amibroker] Re: Exponential Damping
>
>
> Dimitris
>
> I usually do not say much but looking at these three graphs, it
> appears to me (course I could be wrong) that the expoential
aspect of
> these graphs is a result not of buying/selling pressure but the
> actual value of the stock over these periods. MSTF has maintain
a
> value between 50 and 70 over this period, while Yahoo has dropped
> from well over 100 to around 10 during this period. QQQ has
dropped
> from over 100 to around 25 during this period. The range between
> these are 1.4 for MSTF, over 5 for Yahoo and over 4 for QQQ.
This
> value ranges should be normalize to make it accurate I would
think.
> Maybe the ATR provide a better picture than the H+L-2C that you
use
> to show buying pressure. Maybe just normalize the stock values
> before doing something like your doing would work.
>
> Just a thought. BTW, keep up the good work. Ideals are what we
need
> to work with and you are an ideal person.
>
> SLwiser
>
> --- In amibroker@xxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx> wrote:
> > Close value is not always the average of H, L. If there is a
strong
> buying pressure, Close will be near H and
> > if the selling pressure is strong, Close will be near L.
> > The quantity Dv=H+L-2*C is descriptive enough.
> > For many stocks the Dv graph follows the last 30 months an
> exponential damping, as you may see from
> >
> > Dv=H+L-2*C;
> > Plot(Dv,"",9,2);
> > DvH=LastValue(Highest(Dv));
> > DvL=LastValue(Lowest(Dv));
> > Coeff=0.005;
> > A1=DvH*exp(-Coeff*Cum(1));
> > A2=DvL*exp(-Coeff*Cum(1));
> > Plot(A1,"",1,8);Plot(A2,"",1,8);
> >
> > Exponential coefficient 0.005 is satisfactory for many examples.
> > In some cases ( YHOO) you may go up to 0.0075 or come down to
> 0.0025 (MSFT).
> > Some stocks do not follow this exponential decay model.
> > Dimitris Tsokakis
>
>
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