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Dear Tomasz;
http://www.paritech.com/education/technical/indicators/volatility/odds
.asp
Part 2;
I don't know how to produce a link, but here is the web address. If
you could go to the link provided. Take a look at the probability
cones.
Could this be produced in AMIBROKER,in the indicator builder, sort of
like the Fibonacci study.
Fibonacci study, you visually project the retracements forward in time
to establish price targets.
Could we do the same with the probability study.
Knowing the volatility of the market,and time we are or want to be in
the market, we can derive a probability of movement,(price targets)
whether up or down.
The price target lines can be produced behind the forward price that
we are taken the study from, ( a peak or trough ), then we can
visually transfer the lines forward to derive at price targets.
As we do with Fibonacci retracements.
I feel that this could be a leading edge study. Most programs produce
the study after the move has been made. What do you Think.
Thank you
Anthony
--- In amibroker@xxxx, "Tomasz Janeczko" <amibroker@xxxx> wrote:
> Dear Anthony,
>
>
> Here comes the exploration formula that calculates the numbers you
want:
>
> ///////////////////////////////////////
>
> monday = dayofweek() == 1;
>
> // monday up after friday > thursday
> mup = monday AND ref( close, -1 ) < close AND ref( close, -2 ) <
ref( close, -1 );
>
> // monday down after friday > thursday
> mdown = monday AND ref( close, -1 ) < close AND ref( close, -2 ) <
ref( close, -1 );
>
> // monday up after friday < thursday
> mup2 = monday AND ref( close, -1 ) < close AND ref( close, -2 ) >
ref( close, -1 );
>
> // monday up after friday < thursday
> mdown2 = monday AND ref( close, -1 ) < close AND ref( close, -2 ) >
ref( close, -1 );
>
> totmup = lastvalue( cum( mup ) );
> totmdown = lastvalue( cum( mdown ) );
> totmup2 = lastvalue( cum( mup2 ) );
> totmdown2 = lastvalue( cum( mdown2 ) );
>
> filter = totmup > 0;
>
> numcolumns = 4;
> column0 = totmup;
> column1 = totmdown;
> column2 = totmup2;
> column3 = totmdown2;
>
> //////////////////////////////////////////////////
>
> Please switch to "Range: n last days" and enter 1 into the "n"
field.
> Then click Automatic Analysis "Exploration" button.
>
> Hope this one helps you.
>
> One hint for the future: don't belive people saying something is
impossible.
> If you need AFL guidance ask me.
>
> Best regards,
> Tomasz Janeczko
> ===============
> AmiBroker - the comprehensive share manager.
> http://www.amibroker.com
>
>
> ----- Original Message -----
> From: <ajf1111@xxxx>
> To: <amibroker@xxxx>
> Sent: Saturday, July 28, 2001 6:35 AM
> Subject: [amibroker] Re: Dec 2001 cotton
>
>
> > Bill,
> >
> > Thank you for your link and response, yes I have done it in excel,
> > but, My spreadsheets produce numbers only, I do not produce the
> > probability cone as shown at the link address.
> >
> > I am just getting familiar with AFL code, If you know how to
produce
> > the probability cone in AFL code as shown at the link address,
please
> > submit.
> >
> > Also, If you know how to produce the study / exploration as
previously
> > described, your help would be greatly appreciated.
> >
> > also, thank you for the link to the pattern software.
> >
> > best regards
> > Anthony
> >
> > --- In amibroker@xxxx, "wavemechanic" <wd78@xxxx> wrote:
> > > 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?
> > > "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. 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 from the apex even if recent volatility is very
> > low, because as time increases, the better the odds of a
significant
> > price move." From
> >
http://www.paritech.com/education/technical/indicators/volatility/odds
> > .asp.
> > >
> > > Bill
> > > ----- Original Message -----
> > > From: ajf1111@xxxx
> > > To: amibroker@xxxx
> > > 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 Probability of 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 history
> > > test 1: If Friday's close > Thursday's close
> > > Monday's close: higher-- 11
> > > lower -- 1
> > > test 2: If Friday's close < Thursday's close
> > > Monday's close: higher-- 11
> > > lower -- 1
> > > test 3: If Friday's close = Thursday's close
> > > Monday's close: higher-- 11
> > > lower -- 1
> > >
> > > As you can see with this type of test, there is a 90% 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
> > >
> > >
> > >
> > > Yahoo! Groups Sponsor
> > > ADVERTISEMENT
> > >
> > >
> > >
> > >
> > > Your use of Yahoo! Groups is subject to the Yahoo! Terms of
> > Service.
> >
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
> >
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