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Hi Tom,
In one way or another, Ref(close,1) is useless.
As you understand, day trading is decision making.
And you should decide based on REAL facts, at least
as real as your money is.
So, a buy signal on Wednesday means that you loaded
Wednesday data and some REAL value of an indicator
is translated to a "BUY". If your signal is based on an
hypothetical value for Friday and, especially in our case,
the condition is Close at Friday==Close at Wednesday
(this is the way Amibroker reads ref(Close,1) for the last
day of your data and there would not be any other way
to do it), then you may buy at Friday and after Friday´s
Close you may see that your Buy was wrong.
I think it is enough to forget this logic related to any ref+1
condition.
As for the different results, CCI is a leading indicator and
needs care in handling. Some times it is too "fast" and the
Market should be equally "fast". Many times in the past I was
thinking that an extra leading indicator would be the best
choice, because it could anticipate real facts days before
the event. Experience indicates the use of indicators with
lag -1, 0 or +1. They perform better than a -5 or +5 lag and
the reason is simple. The signal is close to real facts and
performance may be better.
Generally speaking, if we are in a recession period, volatility
will be increased and it would be better to follow real facts
as close as possible.
Just some thoughts, since you asked.
Dimitris Tsokakis
--- In amibroker@xxxx, Tom McDaniel <tmtempe@xxxx> wrote:
> Dimitris-
>
> Interesting you should mention this. I already did just what you
are
> suggesting and found a HUGE difference in the backtest performance
(all other
> conditions identical). Although I did not have time to pursue and
understand
> it, the difference seemed to be much larger than could be explained
by just a
> one day delay in entering a position.
>
> Any thoughts?
>
> -Tom
>
> DIMITRIS TSOKAKIS wrote:
>
> > Tom,
> > There is something that I do not understand.
> > You do not know ref(close,1) and you accept for the
> > last day the convention ref(close,1) to be equal to
> > lastvalue(close), which is not true of course.
> > Instead of
> > mo=Close/Ref(Close,1)*100 - RSI(14);
> > you may use
> > moo=Ref(Close,-1)/Close*100 - Ref(RSI(14),-1);
> > It is real for any day and has no time problem.
> > You will notice that moo has 1 day lag compared to
> > mo, but mo is useful only for the past and everyday has an
> > unrealistic concession for tomorrow, i.e. is a bit useless.
> > Does it help ?
> > Dimitris Tsokakis
> > --- In amibroker@xxxx, Tom McDaniel <tmtempe@xxxx> wrote:
> > > Tom-
> > >
> > > Two versions are listed below: the original posting by Jaco and
one
> > that
> > > I have modified and tweaked (this is a work in progress).
> > >
> > > I am bothered by the presence of the ref (close, 1) in the
> > indicator.
> > > As I understand it this represents tomorrow's close (which is
> > unknown
> > > today!). When doing a scan for today AFL replaces tomorrow's
close
> > with
> > > today's close, which is fine. However, when doing a back test
for
> > all
> > > past dates tomorrow's close is a known quantity.
> > >
> > > My concerns or questions:
> > >
> > > * If a buy signal today is based on tomorrow's close being
equal
> > to
> > > today's close will the signal disappear if tomorrow is a
down
> > day?
> > > * Could I get a buy signal yesterday for yesterday that
doesn't
> > show
> > > up until today because today's close is higher than
> > yesterday's?
> > >
> > > I have posted these questions some time back to the group but
did
> > not
> > > get any response.
> > >
> > > I have found that the CCI with colored bars performs similarly
to
> > the
> > > MRI but the backtested performance is significantly inferior. I
> > worry
> > > that the difference is due to the ref(close, 1) artifact
discussed
> > > above.
> > >
> > > I would appreciate any clarity that anyone can supply.
> > >
> > > Regards,
> > > -Tom McDaniel
> > >
> > >
> > > /* MRI developed by Jaco Jonker */
> > >
> > > mo=close/ref(close,1)*100 - rsi(14);
> > > mo2=ma(mo,100);
> > > graph0=mo;
> > > graph1=rsi(14);
> > >
> > >
> > >
> > > title= "MRI(100):"+name() + writeval( graph0 );
> > >
> > >
> > > /* MRI developed by Jaco Jonker */
> > > /* Modified by T. L. McDaniel */
> > > /* Initially Optimized to 19 days 7/2/2001*/
> > >
> > > Maxgraph=5;
> > > Time=19;
> > > mo=close/ref(close,1)*100 - rsi(Time);
> > > mo2=ma(mo,100);
> > > graph0Color=5;
> > > graph0=mo;
> > > Graph1Color=6;
> > > graph1=rsi(Time);
> > > Graph2style=4;
> > > graph2=adx(Time);
> > >
> > > graph3style=2;
> > > graph4style=1;
> > > graph3barcolor=iif(rsi(Time)>mo,5,4);
> > > graph3=rsi(Time)-mo;
> > > graph4=rsi(Time)-mo;
> > >
> > > Buy=cross(rsi(Time),mo) ;
> > > Sell=cross(mo,rsi(Time));
> > > Short=cross(mo,rsi(Time));
> > > Cover=cross(rsi(Time),mo);
> > >
> > > title= "DATE REF(Close,1) Close RSI(Time) MO";
> > > title=("TLMTS "+ Name() +" " + Date()) +" "+writeval(ref
(close,1))
> > +" "+writeval(close)+" "+writeval(rsi(Time)) +" "+writeval(mo);
> > >
> > > T = 20;
> > > title = "301-4 " + name () + " " + fullname() + " "
> > > + "CCI" + " " + "periods:" + writeval(T);
> > > maxgraph = 5;
> > > graph2 = CCI (T);
> > >
> > > Uptrend = 100; Downtrend = -100;
> > >
> > > graph2barcolor = IIF (graph2 > uptrend, 5,
> > > IIF (graph2 <
downtrend,4,6));
> > >
> > >
> > > graph4 = graph2;
> > >
> > > buy = cross (graph2, 0) and (ref (graph2,-1) < 0) and (ref
(graph2,-
> > 2) < 0)and (ref (graph2,-3) < 0) and (LLV (rsi(9),10) < 30) and
cross
> > (rsi (9),50);
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
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