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EXAMPLE:
In Nasdaq 100, the mean overbought time above level 70 for
stochd() is calculated 25 days in totally 390, i.e. ~6.5%.
The mean oversold time below 30 is 31 days and if we want
the same percentage we must decrease the level 30.
In fact, if we place 26 instead of 30, we get ~6.6%.
If the basic thought is correct, then we will have more reliable
results if we consider 26/70 levels.
--- In amibroker@xxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx> wrote:
> Oversold and overbought levels are usually selected by experience
and may
> be 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 reason
> to 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 will
> define 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 "mean
> overbought time". I consider this more fair for the Market, whereas
30, 70 or 20, 80
> sounds abritary.
> In other words, I ask levels which share the time equally for
oversold and overbought
> phases.
>
> 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 regards
> Dimitris Tsokakis
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