|
PureBytes Links
Trading Reference Links
|
Using my normal range (1997-2003) I'm unable to get a
profitable system (with ^NDX) even after a little optimisation. Anyone winning
with this?
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=jcasavant@xxxxxxxxxxxx
href="">Jayson
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, April 21, 2003 4:01
PM
Subject: RE: [amibroker] TREND DETECTORS
WITH VARIABLE PERIOD (II)
<SPAN
class=965284414-21042003>DT,
I am
trying to understand what you are doing here. Are you looking to make entry
after the static and variable indicator diverge? does not this leave you
vulnerable to the stock becoming exhausted with you late in the emerging
trend? I am trying to see the possible pitfalls of using this going forward
rather than looking back at the result......
<SPAN
class=965284414-21042003>
<SPAN
class=965284414-21042003>TIA<FONT face=Arial color=#0000ff
size=2>Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Dimitris Tsokakis
[mailto:TSOKAKIS@xxxxxxxxx]Sent: Monday, April 21, 2003 5:56
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
TREND DETECTORS WITH VARIABLE PERIOD (II)
Here is an alternative.
The first method was increasing the smoothing period for
every trendy day, from the beginning till the end.
It will do it even if the trend lasts 3 or 13 or 53
bars.
A more realistic approach is to increase the period AFTER
some threshhold bars.
Keep the smoothing fast up to the 20th trendy bar and
then increase the period to stay more in the market and enjoy
the last [and the most interesting] part of the [prolonged]
trend.
This will help to ignore the premature exit signals, ignore
the probable first pull-backs and catch the usual double peak
formation, but, the code will examine this possible scenario
AFTER the 20 confirmed trend bars.
The gif speaks better :
The initial trend detector is the
black DEMA(StochD(40),20).
The variable detector stays closely for the first 20 bars
and then changes to a much slower mode.[green-red line]
The obvious benefit is to ignore premature exit at the first
peak P1, re-entry at R1 and goes to a final exit at P2.
The code for IB is
t=20;x=<FONT
size=2>DEMA(StochD<FONT
size=2>(40),t);<FONT
size=2>Plot(x,""<FONT
size=2>,1,<FONT
size=2>8<FONT
face="Times New Roman">);
tA=50;xA=<FONT
size=2>DEMA(StochD<FONT
size=2>(40),tA);<FONT
face=Verdana size=2><FONT
face="Times New Roman">//Plot(xA,"",7,8);<FONT
face=Verdana size=2>
Cond1=Ref(x,-<FONT
size=2>1)==LLV<FONT
size=2>(x,3);<FONT
size=2>Plot(50<FONT
size=2>*Cond1,"",<FONT
size=2>5,2<FONT face=Verdana
size=2>);<FONT
face="Times New Roman">
Cond2=Ref(x,-<FONT
size=2>1)==HHV<FONT
size=2>(x,3);<FONT
size=2>Plot(50<FONT
size=2>*Cond2,"",<FONT
size=2>4,2<FONT face=Verdana
size=2>);<FONT
face="Times New Roman">
k1=BarsSince<FONT
size=2>(Cond1);k2=BarsSince<FONT face=Verdana
size=2>(Cond2);<FONT
face=Verdana size=2>
Plot((k2>k1)*10<FONT
size=2>,"",<FONT
size=2>5,2<FONT
size=2>);Plot((k2<k1)*<FONT
size=2>10,""<FONT
size=2>,4,<FONT
size=2>2<FONT
face="Times New Roman">);<FONT face=Verdana
size=2><FONT
face="Times New Roman">
Coeff=2;
trendbars=20;// calibrate here the start
of variable smoothing<FONT face=Verdana
size=2><FONT
face="Times New Roman">
t1=IIf(k2>k1 AND
k2>trendbars,t+coeff*k1,IIf<FONT face=Verdana
size=2>(k1>k2 AND
k1>trendbars,t+coeff*k2,t));<FONT
face="Times New Roman">
x1=DEMA(<FONT
size=2>StochD(40<FONT
face=Verdana size=2><FONT
face="Times New Roman">),t1);<FONT face=Verdana
size=2>
Plot(x1,""<FONT
size=2>,(x1>Ref(x1,-<FONT
size=2>1))*5<FONT
size=2>+(x1<Ref(x1,-<FONT
size=2>1))*4<FONT
size=2>,8<FONT face=Verdana
size=2>);<FONT
face="Times New Roman">
GraphXSpace=2<FONT face=Verdana
size=2>;
Dimitris
Tsokakis
Send BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|