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Herman,
I have never tried, till now, the "market candles".
My first objection is on the method.
When we create the composite ~C, we add, in equal weights, a C1=1$ to
another C2=45$.
If the next day the first stock makes an excellent +25%, it will be
1.25$ and its effect will disappear, since it will add a very small
0.0025 to the total sum of Closes. What is important is the changes
of high C stocks and it does not reflect a reliable picture of the
market.
A +10% in one single stock of 50$ will add 5 units, which is
equivalent to a +50% in 10 stocks of 1$ !!Prices should be normalised
in order to be more effective.
The next objection is on the logic.
If you believe some candles formations are indicative for the next
bar behavior, then it would be better to create the formation
composite.
I always include in the daily runs the "~morningstar" together with
the "~eveningstar" N100 tickers. It is not the first rate decision
tool but, whenever exceeds 10% it becomes a factor you can not
overcome easily [A "~morningstar"=13% is not a reason to sell,
an "~eveningstar"=12% is not a warning to buy any moving object...]
The third objection refers to the market : N100 is quite fast,
sometimes nervous. A candlestick formation nedds two-three bars and
you should wait for the full formation, else the pattern does not
exist. The massive agreement of the market will come [for a 3-day
pattern] in 3-4 days, too late for the N100 behavior.
My research is restricted mainly in the morning/evening star
composites, I have not tried other patterns . The candlestick
patterns results are very poor when compared to the heavy-duty
machine guns [MeanRSI, MeanStochD, MeanCMO, MACDbull etc] of the N100
market.
This is my experience, if there is another magic pattern with massive
behavior I ignore, please drop a note to check it out.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen" <psytek@xxxx>
wrote:
> Perhaps HHP...
>
> But I would expect that if we were adding real time data, i.e. many
> points/day. My formula doesn't know the difference between any of
the OHLC
> price arrays. The Open and Close appear to keep their significance
while the
> High and Low lose it. For some reason the H&L just averages out
into average
> volatility and, at least in composites.
>
> I would like to use composites for short term price prediction,
like price
> movements over the next day or so using Candle stick patterns. This
doesn't
> seem to work - has anybody tried it?
>
> herman
> -----Original Message-----
> From: harveyhp [mailto:harveyhp@x...]
> Sent: December 27, 2003 2:34 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] A Composite problem with High and Lows
>
>
> Herman,
> Isn't this because the NDX and QQQ indices show the highest and
lowest
> momentary values actually reached during the day, whereas the
composites are
> necessarily calculated as if all the components reached their highs
and lows
> simultaneously?
> HHP
> =============
> ----- Original Message -----
> From: Herman vandenBergen
> To: AmiBroker
> Sent: 26 December, 2003 2:06 AM
> Subject: [amibroker] A Composite problem with High and Lows
>
>
> Why do the Highs and Lows (Candle Shadows) in my composites
become
> useless?
>
> The NDX and QQQ Candle plots have normal looking shadows...
nice to work
> with.
>
> However the Highs and Lows in my Composites have lost all
meaningful
> properties...Most shadows in the composite extend up and down to
about the
> same extend while this is not the case with the NDX and QQQ.
>
> I want to perform Candle Analysis on my Composites, how can I
create
> composites with more meaningfull Shadows, like they occur in the
QQQ and
> NDX?
>
> herman
> [Code used to create the composite is at the bottom of this
email]
>
>
>
>
> Buy=Sell=Short=Cover=0;
> AddToComposite(1,"~N100comp","V");
> AddToComposite(O,"~N100comp","O");
> AddToComposite(H,"~N100comp","H");
> AddToComposite(L,"~N100comp","L");
> AddToComposite(C,"~N100comp","C");
>
> SetForeign("~N100comp");
> PlotOHLC(O/V,H/V,L/V,C/V,"N100comp",1,64);
>
>
>
>
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