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CCI uses AVERAGE price (Avg) (not close, high, low, etc).
One would need to write either:
Avg = ( Foreign("!VIX", "H") + Foreign("!VIX", "L") + Foreign("!VIX", "C") ) / 3; // overwrite Avg !!
cc = CCI(period);
or write:
cc = CCIa( ( Foreign("!VIX", "H") + Foreign("!VIX", "L") + Foreign("!VIX", "C") ) / 3, period );
Hope this helps.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: Dave Merrill
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, September 02, 2003 7:10 AM
Subject: RE: [amibroker] optimizing trades based on a foreign CCI not working as expected
um, it would appear that I'm asleep at the switch tonight. there's no need for the gyrations with the price arrays to use a
foreign ticker, because CCIa takes any array you want. I know this.
I still don't understand why swapping out the price arrays doesn't work with the original price-based CCI, so if anyone has an
answer to that anyway, great.
but I'm going to bed now, a little behind my brain, it seems.
dave
hi jayson, thanks for jumping in.
aren't you supposed to put things back to the underlying stock after you calculate a function that works directly off the OHLVC
arrays? otherwise, anything else you do, graph price for example, will still be using the foreign infos. or maybe I don't
understand...
there's an unrelated error in this code, but I don't think it explains the problem I asked about. the sign of the thresholds in
the buy and Sell assignments is reversed. without the foreign CCI, it should read:
period = Optimize("period", 2, 1, 100, 1);
threshold = Optimize("threshold", 25, -100, 100, 25); //includes negative now
Buy = Cross(cc, -threshold); //sign changed
Sell = Cross(threshold, cc); //sign changed
Short = Sell;
Cover = Buy;
but as I say, I don't think that's why the foreign one doesn't work like I expect. it *is* why performance wasn't what I
expected in most cases though (:-).
dave
you change the OHLCV back tot the underlying stock at the bottom of your code. try simply....
period = Optimize("period", 2, 1, 100, 1);
threshold = Optimize("threshold", 25, 0, 100, 25);
O = Foreign("!VIX", "O");
H = Foreign("!VIX", "H");
L = Foreign("!VIX", "L");
C = Foreign("!VIX", "C");
V = Foreign("!VIX", "V");
cc = CCI(period);
Buy = Cross(cc, threshold);
Sell = Cross(-threshold, cc);
Short = Sell;
Cover = Buy;
----------------
Regards,
Jayson
-----Original Message-----
From: Dave Merrill [mailto:dmerrill@xxxxxxx]
Sent: Monday, September 01, 2003 11:26 PM
To: AmiBroker
Subject: [amibroker] optimizing trades based on a foreign CCI not working as expected
can anyone tell me why these two tests give the same results for every index
I tried?
both versions go long and short based on a CCI, optimizing for best returns.
version 1 uses the CCI of the issue under test, and version 2 uses the CCI
of another index, I thought.
but I get the same results no matter what foreign index I use, including
contrarian ones like the VIX you see below.
what am I missing?
thanks,
dave
----------------
VERSION 1
----------------
period = Optimize("period", 2, 1, 100, 1);
threshold = Optimize("threshold", 25, 0, 100, 25);
cc = CCI(period);
Buy = Cross(cc, threshold);
Sell = Cross(-threshold, cc);
Short = Sell;
Cover = Buy;
----------------
VERSION 2
----------------
period = Optimize("period", 2, 1, 100, 1);
threshold = Optimize("threshold", 25, 0, 100, 25);
saveO = O;
saveH = H;
saveL = L;
saveC = C;
saveV = V;
O = Foreign("!VIX", "O");
H = Foreign("!VIX", "H");
L = Foreign("!VIX", "L");
C = Foreign("!VIX", "C");
V = Foreign("!VIX", "V");
cc = CCI(period);
O = saveO;
H = saveH;
L = saveL;
C = saveC;
V = saveV;
Buy = Cross(cc, threshold);
Sell = Cross(-threshold, cc);
Short = Sell;
Cover = Buy;
----------------
Dave Merrill
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