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Dear Bill,
Thank you for your reply.
There is, perhaps, a misunderstanding here, referring to
this "glutton for punishment".
In the case you do not know, the scan of the whole market takes 22
seconds, with the use of an 800 Mhz PIII for 385 stocks for 390 days.
On the other side, read please the few lines of #3341.
It took ~5 seconds.
I will revert with details on the subject.
Dimitris Tsokakis
--- In amibroker@xxxx, "wavemechanic" <wd78@xxxx> wrote:
> 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. as it will undoubtedly change
over time.
>
> Bill
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxx
> Sent: Monday, July 23, 2001 6:11 AM
> Subject: [amibroker] Oversold and Overbought Time
>
>
> 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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