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Thank you for your comments.
It is not complete yet, I have to check a lot. I hope it will be
simple at the end...
DT
--- In amibroker@xxxxxxxxxxxxxxx, "goldwing01" <GOLDWING01@xxxx>
wrote:
> Thank you Dimities nice piece of work with TREND DETECTOR. I can
see
> what you are doing thanks.
> --- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis"
<TSOKAKIS@xxxx>
> wrote:
> > Some uptrends are sustainable for more than 10-20 days.
> > A fast trend detector, like DEMA(StochD(40),20) would buy at B0
and
> sell at S0.
> > The very next days it would force the trader to follow the
> undesirable whipsaws W1, W2 and probably loose
> > a part of the B0/S0 profits.[see the black line]
> > A slow trend follower like DEMA(StochD(40),50) would start at B1
> [missing the interesting first 7 bars]
> > and stop at S1[6 bars after the actual end of the trend]. The use
> of the slow period helps to avoid whipsaws but expose the profits
> > to a probable dramatic decrease after the actual peak. If the
start
> of the trend was sharp with the well known gap ups
> > then the remaining profits would not be similar to this great
trend.
> [see the yellow line].
> > The technical analyst wish would be
> > 1. to begin ASAP,
> > 2. avoid the whipsaws and
> > 3. get out as closer to the actual peak.
> > It is the basic T/A problem with almost any indicator and here is
a
> solution proposal : the variable smoothing.
> > Begin with the fast indicator and, as the trend goes on, increase
> smoothing factor adding +1 delay per bar.
> > If the trend holds for 20 bars, the beginning would be per=20 and
> today you would run a per=40.
> > If the trend stops for any reason, sharply back to per=20 to
begin
> another, bearish cycle.
> > The result is the ENTRY/EXIT of the att. ^NDX gif
> > Paste in your IB the
> >
> > /*TREND DETECTOR WITH VARIABLE PERIOD, by D. Tsokakis, Apr2003*/
> > t=20;// the initial fast period
> > x=DEMA(StochD(40),t);
> > Plot(x,"",1,8);// fast trend detector
> > tA=50;// slow period
> > xA=DEMA(StochD(40),tA);
> > Plot(xA,"",7,8);// slow trend detector
> > Cond1=Ref(x,-1)==LLV(x,3);
> > Plot(50*Cond1,"",5,2);// the start of the fast uptrend
> > Cond2=Ref(x,-1)==HHV(x,3);
> > Plot(50*Cond2,"",4,2);// the end of the fast uptrend
> > k1=BarsSince(Cond1);// uptrend bar counter
> > k2=BarsSince(Cond2);// downtrend bar counter
> > Plot((k2>k1)*10,"",5,2);
> > Plot((k2<k1)*10,"",4,2);
> > t1=IIf(k2>k1,t+k1,t+k2);// the variable period
> > x1=DEMA(StochD(40),t1);// the variable trend detector
> > Plot(x1,"",(x1>Ref(x1,-1))*5+(x1<Ref(x1,-1))*4,8);
> > GraphXSpace=1;
> >
> > The method accepts further calibration if you replace t1 with
> > coeff=0.5; // delay calibration, set coeff from 0.5 to 1.5
> > t1=IIf(k2>k1,t+coeff*k1,t+coeff*k2);// the calibrated variable
> period
> > according to your needs.
> > The DEMA smoothing gives very reliable results and accepts
variable
> periods by design.
> > Dimitris Tsokakis
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