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Jayson,
My Long entry is when the red line becomes green.
The initial, fast trend detector is the black line [steady smoothing
period=20]
The variable trend detector is the green-red line.
The first trendy bars the variable smoothing is not activated, the
period t1 is equal to t
and the result is a quick entry.
The variable trend detector begins to diverge after 20 consequtive
trendy bars [this is the reason we need
a quite smooth trend detector with minimised lag] and increases
rapidly its smoothing period.
The result is a delayed exit, which is better for prolonged trends.
The threshold of 20 bars may change, according to your point of view,
from the line
trendbars=20;// calibrate here the start of variable smoothing
You may use the initial, fast detector for 15 or 25 or more bars.
I think 20 is good for N100 fluctuations.
In this version, after the threshold, the smoothing period increases
by +2 per bar. At the end of a 40-bar
trend you will actually use a 20+2*20=60 periods smoothing, which is
also good for proper exits.
[The first version was increasing by +1 the smoothing period every
trendy day from the beginning of the trend]
The last 3 years we saw prolonged trends in N100, I hope the same for
the future. If Nasdaq becomes a Nikkei,
for example, then this study is nearly useless.
Thank you for this dialogue, you help a still experimental concept.
Dimitris Tsokakis
PS. See also the DELL example in Steve´s message.
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> 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......
>
> TIA
> Jayson
> -----Original Message-----
> From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
> Sent: Monday, April 21, 2003 5:56 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [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=DEMA(StochD(40),t);Plot(x,"",1,8);
> tA=50;xA=DEMA(StochD(40),tA);//Plot(xA,"",7,8);
> Cond1=Ref(x,-1)==LLV(x,3);Plot(50*Cond1,"",5,2);
> Cond2=Ref(x,-1)==HHV(x,3);Plot(50*Cond2,"",4,2);
> k1=BarsSince(Cond1);k2=BarsSince(Cond2);
> Plot((k2>k1)*10,"",5,2);Plot((k2<k1)*10,"",4,2);
> Coeff=2;
> trendbars=20;// calibrate here the start of variable smoothing
> t1=IIf(k2>k1 AND k2>trendbars,t+coeff*k1,IIf(k1>k2 AND
> k1>trendbars,t+coeff*k2,t));
> x1=DEMA(StochD(40),t1);
> Plot(x1,"",(x1>Ref(x1,-1))*5+(x1<Ref(x1,-1))*4,8);
> GraphXSpace=2;
>
> Dimitris Tsokakis
>
>
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