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CS & list,
I'm not up to speed on AB code...yet. Here's
a TSF approach that can work well. Attached is a chart of KLAC, showing
triggers on the Forecast Oscillator (same indicator). The Forecast
Oscillator is a TSF set to 13 periods (in this example). In this case,
whenever price moves more than 11% (in the opposite direction of your position)
from the projected linear regression, you reverse your position (all signals are
calculated EOD, and position are put on the following opening) . Since
1/1/2000, this has produced results, in KLAC, of 28-9 with a return of $159(no
slippage or commissions). Just thought I'd toss in an approach that, at
times, can extract a few pennies.
Take care,
Steve
<A
href="">www.cedarcreektrading.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
CS
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Monday, April 22, 2002 8:24
AM
Subject: Re: [amibroker] Re: Time Series
Forecast
"The Time Series Forecast indicator is based on the trend of
a security's price over a specified time period. The trend is determined
by calculating a linear regression trendline using the "least squares fit"
method. The least squares fit technique fits a trendline to the data in
the chart by minimizing the distance between the data points and the linear
regression trendline. Any point along the Time Series Forecast is
equal to the ending value of a Linear Regression trendline plus its
slope. For example, the ending value of a Linear Regression trendline
(plus its slope) that covers 10 days will have the same value as a 10-dayTime
Series Forecast. This differs slightly from the Linear Regression
indicator (see Linear Regression Indicator) in that the Linear Regression
indicator does not add the slope to the ending value of the regression
line. This makes the TSF a bit more responsive to short term price
changes. If you plot the TSF and the Linear Regression indicator
side-by-side, you'll notice that the TSF hugs the prices more closely than the
Linear Regression indicator.
Rather than plotting a straight Linear Regression trendline,
the Time Series Forecast indicator plots the ending values of multiple Linear
Regression trendlines. The resulting Time Series Forecast indicatoris
sometimes referred to as a "moving linear regression" study or a "regression
oscillator.""
I use it as a type of moving average or smoother of other
indicators. Sometimes.
-CS
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Cathy
Finnegan
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, April 21, 2002 5:54
PM
Subject: RE: [amibroker] Re: Time
Series Forecast
<FONT color=#0000ff face=Arial
size=2>This looks interesting! I just plotted it,,, What's
it supposed to ..er.. indicate.. show..
do??
<FONT color=#0000ff face=Arial
size=2>
<FONT color=#0000ff face=Arial
size=2>cathy
<FONT face=Tahoma
size=2>-----Original Message-----From: CS
[mailto:csaxe@xxxx]Sent: Sunday, April 21, 2002 8:42
PMTo: <A
href="">amibroker@xxxxxxxxxxxxxxx; <A
href="">pacific5_au@xxxxSubject:
Re: [amibroker] Re: Time Series Forecast
See if this gets through.
T1=7; //Periods
Y=C; //array
<FONT
color=#0000ff>TSF=LinRegSlope(Y,T1)+((T1*Sum(Cum(1)*Y,T1)-Sum(Cum(1),T1)*Sum(Y,T1))/(T1*Sum((Cum(1)^2),T1)-
<FONT
color=#0000ff>(Sum(Cum(1),T1)^2))*Cum(1)+(MA(Y,T1)-MA(Cum(1),T1)*(T1*Sum(Cum(1)*Y,T1)-
<FONT
color=#0000ff>Sum(Cum(1),T1)*Sum(Y,T1))/(T1*Sum((Cum(1)^2),T1)-(Sum(Cum(1),T1)^2))));
GraphXSpace=2;
Graph0=TSF;
Graph1=Y;
Title="Time Series Forecast
Periods="+WriteVal(T1);
-CS
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A href=""
title=pacific5_au@xxxx>pacific5_au
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, April 21, 20025:08
PM
Subject: [amibroker] Re: Time
Series Forecast
Hi CSThanks for your post. Unfortunatelythe
file is empty 0 kb when down loaded. Could you plse re-up the file
as a zip file or just post the code text. (a Yahoo
situation.)Many thankspacific--- In <A
href="">amibroker@xxxx..., "CS" <<A
href="">csaxe@xxxx...> wrote:>
-CS> ----- Original Message -----
> From: Owen Davies > To: <A
href="">amibroker@xxxx... > Sent:
Sunday, April 21, 2002 8:25 AM> Subject: [amibroker]
Time Series Forecast> > > Has anyone
coded this Metastock indicator for AmiBroker?>
According to the Equis Help description, it's the end point
of> the linear regression line plus the slope.
Not something I'm> competent enough to produce for
AB, alas.> > Thanks.>
> Owen Davies> > >
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