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Hi, folks:
AmiBroker 3.4 has a few new features for which you may not have a
description. Here are some definitions and extra references copied from a
variety of sources:
PARABOLIC TIME/PRICE SYSTEM
The Parabolic Time/Price System is a trend following system developed by
Welles Wilder. It was introduced in his book, "New Concepts in Technical
Trading Systems." It is called parabolic because when it is plotted on a
chart, stops look like a parabola. It is designed to set protective trailing
price stops. When its value is below price it is a protective stop price for
long positions. When it is above price it is a protective stop for short
positions.
The Parabolic Time/Price System attempts to provide room for price movement
during an initial trade. It then closes in with successively tighter
protective stops. It does so by using a series of progressively shorter,
exponential moving averages every time price reaches a new high/low in its
current trend. The stops never back-up. The stops are a function of time and
price.
The Parabolic Time/Price System is also referred to as the SAR (Stop and
Reverse), because the system always keeps you in the market. The position is
reversed when the protective stop is reached. When price reaches a Parabolic
Time/Price System value the current trade is closed and a new position is
taken in the opposite direction.
Decline in distance between price and Parabolic Time/Price System value
indicates weakness in a trend.
Also: http://www.crbindex.com/techtip/tipv3n03.htm
Wilders ADX
(Note: references to colour may not match AmiBroker)
Welles Wilder developed the Average Directional Movement Index (ADX) to signal
the beginning and the end of price trends, if any. It does not suggest trend
direction. Basically, if the market is trending either up or down, the ADX
line should be rising. If the ADX line peaks then begins to fall, it signals
the end of the current trend.
You might want to use the ADX line to gauge trend intensity: markets with
higher ADX values could be in a stronger trend compared to those with lower
ADX values.
The ADX line is blue and its value is the top number on the plot label. Also
shown are the plus Directional Movement Indicator (+DI) and the minus
Directional Movement Indicator (-DI) lines, which are used to form the ADX
line. The +DI line is cyan whose value is the middle number on the plot label,
and the -DI line is magenta whose value is the lower number on the plot label.
Look for signals when the +DI and -DI lines cross.
You enter the lookback period length for averaging the +DI, the -DI, and the
ADX lines. Wilder used 14 periods for everything.
Also: http://www.pewd.com/adxr.htm
AVERAGE TRUE RANGE
Average True Range measures an issue's volatility. Welles Wilder, Jr. in his
book "New Concepts in Technical Trading Systems", defines Average True Range
as the largest of: The distance between intra-day highs and lows. The distance
between the previous close and today's high. The distance between yesterday's
close to today's low.
In "New Concepts in Technical Trading Systems" Wilder cites that bottoms often
occur when Average True Range values are higher. This is a result of selling
pressure widening the Average True Range. Low Average True Range values occur
in sideways moving markets. The longer the value remains low, the greater the
chance for a break-out from a consolidation.
The Average True Range is the average of those ranges over a set number of
periods. The Average True Range is often higher at periods of higher than
average volatility. The Average True Range is often lower at periods of lower
than average volatility. The Average True Range is considered bullish when it
is at an 18 period low, and bearish when at a 18 period high.
FIBONACCI
With AmiBroker warming up to Fibonacci ratio trading, here is a good starting
reference: http://www.equis.com/free/taaz/fibonacci.html
The first sample fib set has an obvious error (should be 144, 233, 377, then
610). ;^(
Ref: http://math.holycross.edu/~davids/fibonacci/fibonacci.html
Bonuses:
Joe DiNapoli: probably nobody alive is better at fibonacci trading than Joe.
Here is an on-line interview with one of the world's best
http://www.hardrightedge.com/wizard/joe.htm
I've known Neal Hughes (the host) for years...
Joe's own site is at www.fibtrader.com.
20 Trading Rules: http://www.hardrightedge.com/wheel/tcrules1.htm
Beginners: http://www.hardrightedge.com/wheel/beginners.htm
--
---===///||| Donald Dalley |||\\\===---
The World of AmiBroker Support
http://webhome.idirect.com/~ddalley
UIN/ICQ#: 65203020
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