|
PureBytes Links
Trading Reference Links
|
Anthony:
If you can calculate the probability with Excel, why
can't you do so with AFL? Is your study similar to Fishback's ODDS
probability cones, which is summarized below?
<FONT
size=2>"ODDS Probability Cones (which are greatly influenced by recent price
volatility) provide you with a visual
guide to the most probable range of future prices.<SPAN
> This range (i.e. the cone's width) is
determined by recent volatility in prices, the number of time periods projected,
and the probability percentage (e.g., 68% confidence, 90% confidence,
etc.). The more volatile the security
prices, the wider the expected range of future prices and hence the wider the
cones. The cones always widen fromthe
apex even if recent volatility is very low, because as time increases, the
better the odds of a significant price move." From <A
href="">http://www.paritech.com/education/technical/indicators/volatility/odds.asp.
Bill
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
ajf1111@xxxxxxxx
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, July 27, 2001 9:25 PM
Subject: [amibroker] re: Dec 2001
cotton
Dimitri;Thank you for your response to
explorations. The study that I am trying to acheive can be used for stocks
as well as commodities.Along with a visual confirmation as to bullish
or bearish a market, I also try to quantify market direction with several
indicators confirming. To that end, one of my confirming studies
deals with probabilities.I have created several spreadsheets in microsoft
excel 97, which allow me to find the standard deviation, Historical
Volatility, and Probability of market movement. By using these
measurements and time, I am able to determine what is the Probabilityof a
target price to be acheived or not. ( ex. 60% ,70%, 80%, 90%). If
you would like me to upload a copy of this spreadsheet. Let me
Know.Back to the exploration. I guess amibroker can not handle
this type of study. A sample report of this type of study might
look like this;testing data: 90 days of historytest
1: If Friday's close > Thursday's
close
Monday's close: higher--
11
lower -- 1test 2: If Friday's
close < Thursday's
close
Monday's close: higher--
11
lower -- 1test 3: If Friday's
close = Thursday's
close
Monday's close: higher--
11
lower -- 1As you can see with this type of test, there is a90%
chance of Monday's close being higher. The Probability is 90%, My visual
confirmation (technical analysis) is bullish, My indicators are
bullish, I will initiate a bullish strategy.If you Know of a
program that can produce this type of study, please let me know.
Again, thank
you,Anthony
Your
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
|