|
PureBytes Links
Trading Reference Links
|
Ken,
I sent the gif three minutes after the first
post...but, I'm never surprised by how posts get "swirled" in hyperspace,
only to show up many minutes, or hours, later.
Take care,
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Ken Close
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Monday, April 22, 2002 11:29
AM
Subject: RE: [amibroker] Re: Time Series
Forecast/Forecast Oscillator
Steve: thanks
for sharing the idea. The chart you said you included does not display
for me....Outlook says it has html code and it can not be displayed. Can
you capture a gif and send that to the group??
<SPAN
class=060032817-22042002>
<SPAN
class=060032817-22042002>Thanks,
<SPAN
class=060032817-22042002>
Ken
<FONT face=Tahoma
size=2>-----Original Message-----From: Steve Karnish [<A
href="">mailto:kernish@xxxx]Sent:
Monday, April 22, 2002 12:23 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker] Re: Time Series
Forecast/Forecast Oscillator
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 thetrend
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 thesame
value as a 10-day Time 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 indicator is sometimes referred to as a "moving linear regression"
study or a "regression oscillator.""
I use it as a type of moving average or smoother ofother
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, 2002 5:08
PM
Subject: [amibroker] Re: Time
Series Forecast
Hi CSThanks for your post. Unfortunately
the file is empty 0 kb when down loaded. Could you plse re-upthe
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> > >
Your use of Yahoo! Groups is subject to the Yahoo! Terms of
Service.Your use of Yahoo! Groups is
subject to the Yahoo!
Terms of Service. Your use of
Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of
Service. Your use of Yahoo! Groups
is subject to the Yahoo! Terms
of Service. Your use of Yahoo! Groups is
subject to the Yahoo! Terms of
Service. Your use of Yahoo! Groups is
subject to the Yahoo! Termsof
Service. Your use of Yahoo! Groups is subject to the<A
href="">Yahoo! Terms of Service.
|