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Dimitris,
I'm looking at this from a different angle now, maybe
it's the slope of the yellow line that needs to be exploited. Also if a
trendline were used across the two peaks of the yellow line at 24/09/01 and
04/10/01 maybe the long buy would have gone for more profit and the short trade
that hasn't ended yet would not have been initiated or should have been
terminated with a stop. These are just a few thoughts I've had while working my
way through this study, it will be interesting to see if a profitable and
tradable system will evolve.
Greg
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=greg.bean@xxxx
href="">greg
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, June 24, 2002 2:08 PM
Subject: Re: [amibroker] The D-ratio and
its application
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. Peakto
trough of 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@xxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, June 24, 2002 6:01
AM
Subject: [amibroker] The D-ratioand
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 to95 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);<FONT
face="Times New Roman">
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=Verdana
size=2>(R,Z);<FONT
face="Times New Roman">
Rmin=LastValue<FONT
size=2>(Lowest<FONT
size=2>(R));RminF=floor(<FONT
size=2>LastValue(Lowest<FONT
size=2>(R)))+1<FONT
face="Times New Roman">;
Rmax=LastValue<FONT
size=2>(Highest<FONT
size=2>(R));RmaxC=ceil(<FONT
size=2>LastValue(Highest<FONT
size=2>(R)))-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=Verdana
size=2>;<FONT face=Verdana
size=2>
AddColumn(R,<FONT
size=2>"D-ratio"<FONT
face="Times New Roman">);<FONT
face="Times New Roman">
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,"LOWEST DEMA
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);<FONT
face="Times New Roman">
Z=<FONT
face="Times New Roman">Optimize("Z",20,5,20,5);<FONT
face=Verdana size=2>
RRR=DEMA<FONT face=Verdana
size=2>(R,Z);<FONT
face="Times New Roman">
Rmin=LastValue<FONT
size=2>(Lowest<FONT
size=2>(R));RminF=floor(<FONT
size=2>LastValue(Lowest<FONT
size=2>(R)))+1<FONT
face="Times New Roman">;
Rmax=LastValue<FONT
size=2>(Highest<FONT
size=2>(R));RmaxC=ceil(<FONT
size=2>LastValue(Highest<FONT
size=2>(R)))-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><FONT
face="Times New Roman">(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% fromJan
2000]
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