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Hi Dave
I like your suggestion for llinear regression to pick up divergence. Yes
lets you try to code it for us.
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]On Behalf Of Dave Nadeau
Sent: Saturday, December 02, 2000 5:36 PM
To: metastock@xxxxxxxxxxxxx
Subject: Re: Divergence
John,
I haven't coded this and run it out yet, but here's what I'd try:
I would combine a comparison of Linear Regression Slope with the HHV (or
LLV's)
for different periods of time. Using 1 to 70 periods as you suggest, I'd
probably first screen for those tickers which have made new highs (or lows)
in
the last 20 periods, or last 20-40 periods. Then I'd compare the
LinRegSlope of
the prices with the LinRegSlope of the RSI. I'd then subtract the two and
eliminate any difference less than some threshold (say 0.5 or
1.0--experiment
with the results to find the right amount). I'd probably take it a step
further
and compare the LinRegSlope of 70 periods with say 30 periods then 10
periods of
each series, just to narrow down the pattern.
Once I've established a divergence in slope, I'd then compare the recent
HHV(of
say the last 20 periods) with the HHV of the 20-40 bars ago period with the
40-70 bars ago period. For a negative divergence, I'd want HHV1, HHV2, and
HHV3
of the prices to be constant or increasing, while those of the indicator
should
be decreasing. ...and just the opposite for a positive divergence.
If anyone on the list is interested in the actual coding of this, we can
keep
the thread alive and post some Metastock Formula Language. Or try some
other
approaches.
Dave Nadeau
Fort Collins, CO
jhmtn wrote:
> One of the more interesting indicators of price reversal for me is the
> divergence that occurs between a momentum indicator and the price action.
> For example, if through some time period both price and RSI make a high
and
> then price rises and RSI drops, then divergence has occured between the
> indicator and the price and a reversal in price action "might" occur.
>
> I have not been able to figure out a manner of looping thru the past 1 to
70
> periods of price and momentum indicator values to figure out if the prices
> are showing divergences or not using Metastock.
>
> Does anyone have such a formula or know where i can find it?
>
> Thanks. ................................... John
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