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Hello,
Will check it out.
Best regards,
Tomasz Janeczko
===============
AmiBroker - the comprehensive share manager.
http://www.amibroker.com
----- Original Message -----
From: <bmx888@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, November 23, 2001 7:12 AM
Subject: [amibroker] a possible future leak
> Hi Tomasz,
>
> I compared the result of Peak(C, 5, n=1) with that of MS and found a
> possible future information leak. Let me use an example to better
> explain it.
>
> day Close Peak(C, 5, n=1) Trough(C, 5, n=1)
> day 1 100 0 0
> day 2 110 0 0
> day 3 90 110 0
> day 4 100 110 90
> day 5 85 100 85
>
> AmiBroker put the peak value of day 4 as 100 instead of 110. This can
> only happen when amibroker peeks day 5's close and expect a downturn
> ahead.
>
> I think one needs a >5% down turn to define a peak. MS seems to give
> correct result. I also tried to fix the issue using ref(Peak(C, 5,
> n=1), -1) in Amibroker. A quick look seems to suggest the results
> from both software are more comparable after using ref (peak, -1)
> function.
>
> You seems to use the most recent high as the peak value when the
> trend is up. This method has a future info leak issue. Can you please
> confirm if my understanding is correct. I think a better way is to
> wait till the reversal turn to define the peak/trough value.
>
> Bai
>
>
>
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
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