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Greg,
There is no need to follow "verbatim" the lines.
I am sure you will see your own way to handle the D-ratio, it is an
interesting parameter.
Just try to code your ideas and see the results and the possible
improvements.AFL is powerful enough for this purpose.
Systems are presented here to give more ideas on T/A, not to be
applied as is.
DT
--- In amibroker@xxxx, "greg" <greg.bean@xxxx> wrote:
> 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
> ----- Original Message -----
> From: greg
> To: amibroker@xxxx
> 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. Peak to 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
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxx
> 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*/
> 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.
> 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*/
> R=500*(H-L)/(H+L);
> Z=Optimize("Z",20,5,20,5);
> 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");
> AddColumn(RRRmaxC,"HIGHEST DEMA D-ratio C");
> AddColumn(RRRminF,"LOWEST DEMA D-ratio F");
> D1=Optimize("D1",13,RRRminF,RRRminF+0.5*(RRRmaxC-RRRminF),1);
> D2=Optimize("D2",17,RRRminF+0.5*(RRRmaxC-RRRminF),RRRmaxC,1);
> F1=RRR>=D2;F2=RRR<=D1;
> Sell=F2;Buy=F1;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> Short=Sell;Cover=Buy;
> Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
>
> For your indicator builder use the
> /*D-ratio graph*/
>
> R=500*(H-L)/(H+L);
> Z=Optimize("Z",20,5,20,5);
> 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;
> D1=Optimize("D1",13,RRRminF,RRRminF+0.5*(RRRmaxC-RRRminF),1);
> D2=Optimize("D2",17,RRRminF+0.5*(RRRmaxC-RRRminF),RRRmaxC,1);
> F1=RRR>=D2;F2=RRR<=D1;
> Sell=F2;Buy=F1;
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> Short=Sell;Cover=Buy;
> Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
> Plot(R,"D-ratio",1,1);Plot(RRR,"DEMA D-ratio",7,8);
> Plot(D2,"Buy Level",5,1);Plot(D1,"Sell Level",4,1);
>
> 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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