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Dimitris:
I think you are going down the
overfit/overoptimization road, and forcing the OS and OB time to be
equal is as arbitrary. Why not just optimize both, thereby letting
the market tell you what it wants. Of course, if you are a glutton for
punishment then you could do it for each issue, and recheck weekly, etc. asit
will undoubtedly change over time.
Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dimitris
Tsokakis
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, July 23, 2001 6:11 AM
Subject: [amibroker] Oversold and
Overbought Time
Oversold and overbought levels are usually selected by
experience and maybe not satisfactory for a certain Market.We can
change levels in order to give a more reliable description of the
Market.
1. When we select 30, 70 , i.e. equal distance from 0, 100,
we have not any reasonto do it. Perhaps 24, 70 for example would be
more realistic.
2. I have the following idea:
I will examine the oversold time for each stock, I will take
its average and so I willdefine the "mean oversold time (MOT)" for the
Market.This will be done for an oversold level which gives MOT >5%of
total days, else oversold is meaningless.
3. Then I will search for a certain overbought level which
gives the same "meanoverbought time". I consider this more fair for
the Market, whereas 30, 70 or 20, 80sounds abritary.In other words, I
ask levels which share the time equally for oversold and
overboughtphases.
Any opinion on this ?(The thought behind the
curtain is that buyers and sellers wait nearly the same time interval,
until they change the trend.)
(formulas are almost prepared, I want to discuss the basic
thought).
Best regardsDimitris TsokakisYour
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