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Dimitris,
There have been many ideas raised here on this message
board, many of them come from you. Each one I explore helps me to develop an
awareness for the behavior of indicators and shows ways to code in afl many
techniques. Slowly, I think that I am progressing. I feel sure that some day I
will have a system that I will understand and that will work for me.
Thanks for all of your help.
Greg
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dtsokakis
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Monday, June 24, 2002 3:30 PM
Subject: [amibroker] Re: The D-ratio and
its application
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 acrossthe
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 endedyet
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 wasmore
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=1last
quotation.> For N100 stocks, the ,"HIGHESTDEMA
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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