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Dimitris,
I haven't run a complete optimization yet. It
looks like it will tie up my computer for a long time, so I'll try
later.
Something I've noticed when looking at INTC chart, is
that there is a long buy at 24/09/01 ending at 22/10/01. There was more that
could have been made after this trade ended but no signals from the afl as it is
now. When I look at the D-Ratio chart pane it looks like maybe using HHV and LLV
of the yellow line would give might get more out of a trade. Peak to troughof
yellow would be a long buy and trough to peak would be a short. I don't think I
have the know how to rearrange your afl to test for results using the yellow
line for buy and sell signals, if this approach interests you, maybe you would
be so kind to try it out and let me know what your results are. I'm looking
forward to reading your comments and hope that my comments will be
useful.
Greg
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dimitris
Tsokakis
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, June 24, 2002 6:01 AM
Subject: [amibroker] The D-ratio and its
application
A. Definition
The D-ratio is defined as
D-ratio = 500*(H-L)/(H+L)
To avoid sudden spikes but keep the line properties, it is
useful to consider a fast moving average like
DEMA(D-ratio,5), which usually oscillates in the [0,100]
region.
Slightly negative values or values above 100 may appear, but
not frequently.
B. Range
The range of D-ratio and its DEMA comes from the
Exploration
/*D-ratio range*/
<FONT
size=2>R=500*(H-L)/(H+L);Z=5;RRR=DEMA(R,Z);Rmin=LastValue(Lowest(R));RminF=floor(LastValue(Lowest(R)))+1;Rmax=LastValue(Highest(R));RmaxC=ceil(LastValue(Highest(R)))-1;RRRmin=LastValue(Lowest(RRR));RRRminF=floor(LastValue(Lowest(RRR)))+1;RRRmax=LastValue(Highest(RRR));RRRmaxC=ceil(LastValue(Highest(RRR)))-1;Filter=1;AddColumn(R,"D-ratio");AddColumn(RRR,"DEMA
D-ratio");AddColumn(Rmax,"HIGHEST D-ratio");AddColumn(Rmin,"LOWEST
D-ratio");AddColumn(RRRmax,"HIGHEST DEMA
D-ratio");AddColumn(RRRmin,"LOWEST DEMA D-ratio");
Explore for the n=1 last quotation.<FONT
size=2>For N100 stocks, the ,"HIGHEST DEMA D-ratio" varies from 23 to 95 and
the
"LOWEST DEMA D-ratio" from 2 to 10.
C. Applications
The D-ratio or its smoothed form may give interesting
trading systems.
Search various low levels for the Sell level D1 and various
high levels for the Buy Level D2.
You may search the optimal D1, D2 following the
optimization
/*D-ratio optimized trading system*/<FONT
size=2>
R=500<FONT
face="Times New Roman">*(H-L)/(H+L);
Z=Optimize(<FONT
size=2>"Z",20<FONT
size=2>,5,<FONT
size=2>20,5<FONT face=Verdana
size=2>);<FONT
face="Times New Roman">
RRR=DEMA<FONT
face="Times New Roman">(R,Z);
Rmin=LastValue<FONT
size=2>(Lowest(R));RminF=<FONT
size=2>floor(LastValue<FONT
size=2>(Lowest(R)))+<FONT
size=2>1<FONT
face="Times New Roman">;
Rmax=LastValue<FONT
size=2>(Highest(R));RmaxC=<FONT
size=2>ceil(LastValue<FONT
size=2>(Highest(R)))-<FONT
size=2>1<FONT
face="Times New Roman">;
RRRmin=LastValue<FONT
size=2>(Lowest<FONT
size=2>(RRR));RRRminF=floor<FONT
size=2>(LastValue(<FONT
size=2>Lowest(RRR)))+1<FONT
face=Verdana size=2>;<FONT
face="Times New Roman">
RRRmax=LastValue<FONT
size=2>(Highest<FONT
size=2>(RRR));RRRmaxC=ceil<FONT
size=2>(LastValue(<FONT
size=2>Highest(RRR)))-1<FONT
face=Verdana size=2>;<FONT
face="Times New Roman">
Filter=1<FONT
face="Times New Roman">;<FONT
face="Times New Roman">
AddColumn(R,"D-ratio"<FONT
face=Verdana size=2>);<FONT
face=Verdana size=2>
AddColumn(RRR,"DEMA
D-ratio"<FONT
face="Times New Roman">);<FONT
face="Times New Roman">
AddColumn(Rmax,"HIGHEST
D-ratio"<FONT
face="Times New Roman">);<FONT
face="Times New Roman">
AddColumn(Rmin,"LOWEST
D-ratio"<FONT
face="Times New Roman">);<FONT
face="Times New Roman">
AddColumn(RRRmax,"HIGHEST DEMA
D-ratio"<FONT
face="Times New Roman">);<FONT
face="Times New Roman">
AddColumn(RRRmin,"LOWESTDEMA
D-ratio"<FONT
face="Times New Roman">);<FONT
face="Times New Roman">
AddColumn(RRRmaxC,"HIGHEST DEMA
D-ratio C"<FONT
face="Times New Roman">);<FONT
face="Times New Roman">
AddColumn(RRRminF,"LOWEST DEMA
D-ratio F"<FONT
face="Times New Roman">);
D1=Optimize(<FONT
size=2>"D1",13<FONT
size=2>,RRRminF,RRRminF+0.5<FONT
size=2>*(RRRmaxC-RRRminF),1<FONT face=Verdana
size=2>);<FONT
face="Times New Roman">
D2=Optimize(<FONT
size=2>"D2",17<FONT
size=2>,RRRminF+0.5<FONT
size=2>*(RRRmaxC-RRRminF),RRRmaxC,1<FONT
face=Verdana size=2>);
F1=RRR>=D2;F2=RRR<=D1;
Sell=F2;Buy=F1;<FONT
face="Times New Roman">
Buy=ExRem<FONT
size=2>(Buy,Sell);Sell=ExRem<FONT face=Verdana
size=2>(Sell,Buy);
Short=Sell;Cover=Buy;<FONT
face="Times New Roman">
Short=ExRem<FONT
size=2>(Short,Cover);Cover=ExRem<FONT face=Verdana
size=2>(Cover,Short);
For your indicator builder use the
/*D-ratio graph*/
<FONT
face="Times New Roman">
R=500<FONT
face="Times New Roman">*(H-L)/(H+L);
Z=<FONT
face="Times New Roman">Optimize("Z",20,5,20,5);<FONT
face=Verdana size=2>
RRR=DEMA<FONT
face="Times New Roman">(R,Z);
Rmin=LastValue<FONT
size=2>(Lowest(R));RminF=<FONT
size=2>floor(LastValue<FONT
size=2>(Lowest(R)))+<FONT
size=2>1<FONT
face="Times New Roman">;
Rmax=LastValue<FONT
size=2>(Highest(R));RmaxC=<FONT
size=2>ceil(LastValue<FONT
size=2>(Highest(R)))-<FONT
size=2>1<FONT
face="Times New Roman">;
RRRmin=LastValue<FONT
size=2>(Lowest<FONT
size=2>(RRR));RRRminF=floor<FONT
size=2>(LastValue(<FONT
size=2>Lowest(RRR)))+1<FONT
face=Verdana size=2>;<FONT
face="Times New Roman">
RRRmax=LastValue<FONT
size=2>(Highest<FONT
size=2>(RRR));RRRmaxC=ceil<FONT
size=2>(LastValue(<FONT
size=2>Highest(RRR)))-1<FONT
face=Verdana size=2>;<FONT
face=Verdana size=2>
D1=Optimize(<FONT
size=2>"D1",13<FONT
size=2>,RRRminF,RRRminF+0.5<FONT
size=2>*(RRRmaxC-RRRminF),1<FONT face=Verdana
size=2>);<FONT
face="Times New Roman">
D2=Optimize(<FONT
size=2>"D2",17<FONT
size=2>,RRRminF+0.5<FONT
size=2>*(RRRmaxC-RRRminF),RRRmaxC,1<FONT
face=Verdana size=2>);
F1=RRR>=D2;F2=RRR<=D1;
Sell=F2;Buy=F1;<FONT
face="Times New Roman">
Buy=ExRem<FONT
size=2>(Buy,Sell);Sell=ExRem<FONT face=Verdana
size=2>(Sell,Buy);
Short=Sell;Cover=Buy;<FONT
face="Times New Roman">
Short=ExRem<FONT
size=2>(Short,Cover);Cover=ExRem<FONT face=Verdana
size=2>(Cover,Short);<FONT
face=Verdana size=2>
Plot(R,"D-ratio"<FONT
size=2>,1,<FONT
size=2>1);Plot<FONT
size=2>(RRR,"DEMA D-ratio"<FONT
size=2>,7,<FONT
size=2>8<FONT
face="Times New Roman">);<FONT
face="Times New Roman">
Plot(D2,"Buy Level"<FONT
size=2>,5,<FONT
size=2>1);Plot<FONT
size=2>(D1,"Sell Level",<FONT
size=2>4,1<FONT face=Verdana
size=2>);
Do not forget to
replace above default values for Z, D1, D2 with your optimization
results.
In general,
when the DEMA(D-ratio) is below the red line the stock is Sell [or Short]and
above the green line it is Buy [or Cover]
You may see INTC example in the att. gif.
[for [Z=5, D1=13, D2=17] the % Net profit exceeds +800% from Jan
2000]
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