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Hello Ken,
please dont forget, that your posted formula uses peaks and troughs and so a backtest, and so
also the equity curve isn't true.
Thomas
Am 19.04.2002 19:31:21, schrieb "Ken Close" <closeks@xxxx>:
>
>
> An: <amibroker@xxxxxxxxxxxxxxx>
>
> Von: "Ken Close" <closeks@xxxx>
> Datum: Fri, 19 Apr 2002 13:31:21 -0400
> Betreff:[amibroker] Peaks and Troughs System
>
>
>
> Franco/All:
>
> This makes an interesting little trading system. Play with it. Some of the
> equity curves are quite smooth. Some are not.
>
> Ken
>
> Chg = Optimize("Chg",3.5,0.5,6,0.5);
> res = Ref(Peak(H, Chg, 1), -1);
> sup = Ref(Trough(L, Chg, 1), -1);
> Plot(C,"Close",1,64);
> Plot(res,"res",6,1);
> Plot(sup,"sup",4,1);
>
> Buy = H > res;
> Sell = L < sup;
>
> Buy = ExRem(Buy,Sell);
> Sell=ExRem(Sell,Buy);
>
>
>
>
> -----Original Message-----
> From: Ken Close [mailto:closeks@x...]
> Sent: Friday, April 19, 2002 11:02 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Peaks and Troughs detection
>
>
> Franco:
>
>
> What a clever set of indicator lines!! Nice idea.
>
> I modified the code as follows:
>
> Chg = 5;
> res = Ref(Peak(H, Chg, 1), -1);
> sup = Ref(Trough(L, Chg, 1), -1);
> Plot(res,"res",6,1);
> Plot(sup,"sup",4,1);
>
> What is the change percent (Chg) that you think is "best"?? I see you used
> 2.5.
>
> Ken
>
> -----Original Message-----
> From: franco fornari [mailto:ffpsi@x...]
> Sent: Friday, April 19, 2002 9:33 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Peaks and Troughs detection
>
>
> Tomasz,
>
> look, please, at the attached chart. You will see two
> lines wich represent resistance and support
> respectively. They are obtained by the formulas:
>
> res = ref(Peak(H, 2.5, 1), -1);
> sup = ref(Trough(L, 2.5, 1), -1);
>
> My purpose is to use them depending on level of the
> last closing price. Since a support, once broken,
> became a resistance and vice versa, I need a formula
> wich is able to find the lowest (and nearest) peak or
> trough, but higher than the last closing price.
> On the attached chart, the nearest resistance is,
> actually, as you can see, an old support previously
> broken (yellow line).
> All that is for long trades, the opposite for short,
> obviously.
> Hoping to have been more clear,
>
> best regards and thanks in advance
>
> Franco
>
> _____________________________________________________________________
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Thomas
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