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Hi,
Here
is my first try for Dev-stop.
//dev-stop C.Kase,
ver.1.0
perstop=20;
Hh1=HHV(H,2);
Ll1=LLV(L,2);
tr=Max(Hh1-Ll1,Max(abs(Hh1-Ref(C,-2)),abs(Ll1-Ref(C,-2))));
MAtr=MA(tr,perstop);
sd=StDev(tr,perstop);
ddev1=MAtr+sd;
ddev2=MAtr+2.2*sd;
ddev3=MAtr+3.5*sd;
Since I have a day
job, it is highly unlikely to use the Kase system for trading. I do not have
access to real time data, nor the time to follow it (Kase has 4 screens, 1
weekly, 1 daily, one monitor 1/5 from daily and one timing screen 1/3
to 1/5 from the monitor period). Also, for the moment i cannot code properly a
divergence (so to be able to backtest properly and use KCD and PeakOsc).
However, I intend to backtest and eventually use Dev-Stop (for the moment i use
3*ATR(20) as a trailing stop) and the Permission screen (Stochastic in a
5-day timeframe, not necessarily weekly).
About the permission
screen, I tried to code it as a function and i have the following problem: when
I call it in a daily chart, instead of having the same value for 5
days, i have the period value per day. Does anyone know how I can "expand"
back this value? The code is below (part of it is borrowed from a file found in
Amibroker Library). I want to use it inserted in a daily
chart.
function
KasePerm()
{
barnum = Cum(1);
numbars = LastValue(barnum);
factor = 5; // compress FACTOR bars into 1
// number of compressed bars
numcbars = ceil(numbars /
factor);
delta = numbars - barnum;
factorbeginidx = - factor * delta - factor + 1 + delta;
factorendidx = - factor * delta + delta;
newo = IIf(barnum < numbars -
numcbars, 0, Ref(O,
factorbeginidx));
newh = IIf(barnum < numbars -
numcbars, 0, Ref(HHV(H, factor), factorendidx));
newl = IIf(barnum < numbars -
numcbars, 0, Ref(LLV(L, factor), factorendidx));
newc = IIf(barnum < numbars -
numcbars, 0, Ref(C,
factorendidx));
Daystart_str = WriteVal(Ref(Year(), factorbeginidx),
1.0) + "-"
+
WriteVal (Ref(Month(), factorbeginidx),
1.0) + "-" + WriteVal(Ref(Day(),
factorbeginidx), 1.0);
Dayend_str = WriteVal(Ref(Year(), factorendidx), 1.0) + "-" +
WriteVal (Ref(Month(), factorendidx),
1.0) + "-" + WriteVal(Ref(Day(),
factorendidx), 1.0);
per=9;
FSK = 100*(newc-LLV(newl,per)) / (HHV(newh,per)-LLV(newl,per)) ;
FSDSSK = MA( FSK,3 );
SSD = MA( FSDSSK,3 ) ;
result=IIf(FSDSSK>SSD,1,-1);
return result;
}
res=KasePerm();
Plot (res,"KasePerm",colorblack,styleLine);
Thanks,
Razvan
I myself
never coded the Dev-stop yet.
By the way there were a few code
improvements mentioned here:
http://finance.groups.yahoo.com/group/amibroker/message/61756
http://finance.groups.yahoo.com/group/amibroker/message/61855
I'd
be very interested to hear if any of you guys managed to extract
some
consistent profits with it, at least in backtesting. I hardly
use any
traditional TA, still think Kase's work is exceptional but
never got to
implement it.
-treliff
--- In amibroker@xxxxxxxxxxxxxxx,
"MPLM (Intel EPSD) Razvan Andrei"
<randrei@xxxx> wrote:
>
Hi,
> I think I found the problem, was in data: for a period equal with
minLB the
> Close was constant, as a result Kvol become 0 and KSDIup
and KSDIdn
cannot
> be calculated (division by 0!).
>
Thanks,
> Razvan
> -----Mesaj
original-----
> De la: Jerry Gress
[mailto:pleasenospamplease@xxxx]
> Trimis: 10 februarie 2005
12:32
> Către: amibroker@xxxxxxxxxxxxxxx
>
Subiect: RE: [amibroker] Re: Cynthia Kase indicators
>
>
> HI,
>
>
>
> I have
no problems with this code, Using AB 4.60 on tick intraday
data.
>
The only problem is high cpu usage in real time over 50%.
>
>
>
> Jerry Gress
>
>
Stockton, Ca.
>
>
>
> -----Original
Message-----
> From: MPLM (Intel EPSD) Razvan Andrei
[mailto:randrei@xxxx]
> Sent: Wednesday, February 09, 2005
11:41 PM
> To: amibroker@xxxxxxxxxxxxxxx
>
Subject: [amibroker] Re: Cynthia Kase indicators
>
>
>
> Hi,
>
> thank you for your code.
I paste it as it was in your post and I
have a
> small problem: for
many stocks, everything is going well until a
moment when
> KPeakOsc
becomes {Empty} PeakOutMax and PeakOutMin become 0. After
this
>
moment PeakOutMax and Min remain {Empty}. Do you have any ideea how
can
I
> avoid this?
>
> Did you managed to look
(and code ;)) the Kase Dev-Stop?
>
> Thanks
again,
>
> Razvan
>
> -----Mesaj
original-----
> De la: treliff
[mailto:treliff@xxxx]
> Trimis: 4 februarie 2005
18:43
> Către:
amibroker@xxxxxxxxxxxxxxx
> Subiect: [amibroker]
Re: Cynthia Kase indicators
>
>
>
there's a thread here re. the PeakOscillator which includes KSDI
>
> http://finance.groups.yahoo.com/group/amibroker/message/60990
>
>
> --- In amibroker@xxxxxxxxxxxxxxx,
Stas Desy <stasdesy@xxxx>
wrote:
>
> Hi All,
>
>
> > Does anybody now of an
implementation of Cynthia Kase
> > studies in
AB ?
> > I'm particularly interested in KSDI
(serial dependency
> > index).
>
>
>
>
>
> Check
AmiBroker web page at:
> http://www.amibroker.com/
>
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
> Check AmiBroker web page
at:
> http://www.amibroker.com/
>
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
>
>
>
>
> Check AmiBroker web page
at:
> http://www.amibroker.com/
>
> Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
>
>
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