|
PureBytes Links
Trading Reference Links
|
It appears to me that Dv = H+L -2C is basically a
measure of the daily range - unscaled. Indeed, if the price increasesor
decreases dramatically, and the % variation remains the same this change in
price would be reflected. Good observation.
I, frankly, don't find the exponential fittoo
convincing. On the other hand, it does appear that the volatility has
decreased since peaking arin late 2000.
Cheers,
Richard
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
slwiser
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, July 04, 2002 9:36
AM
Subject: [amibroker] Re: Exponential
Damping
DimitrisI usually do
not say much but looking at these three graphs, it appears to me (course I
could be wrong) that the expoential aspect of these graphs is a result not
of buying/selling pressure but the actual value of the stock over these
periods. MSTF has maintain a value between 50 and 70 over this
period, while Yahoo has dropped from well over 100 to around 10 during
this period. QQQ has dropped from over 100 to around 25 during this
period. The range between these are 1.4 for MSTF, over 5 for Yahoo
and over 4 for QQQ. This value ranges should be normalize to make it
accurate I would think. Maybe the ATR provide a better picture than
the H+L-2C that you use to show buying pressure. Maybe just
normalize the stock values before doing something like your doing would
work.Just a thought. BTW, keep up the good work. Ideals arewhat
we need to work with and you are an ideal
person.SLwiser--- In amibroker@xxxx, "Dimitris Tsokakis"
<TSOKAKIS@xxxx> wrote:> Close value is not always the average of
H, L. If there is a strong buying pressure, Close will be near H and
> if the selling pressure is strong, Close will be near L.>The
quantity Dv=H+L-2*C is descriptive enough.> For many stocks the Dv
graph follows the last 30 months an exponential damping, as you may see
from> > Dv=H+L-2*C;> Plot(Dv,"",9,2);>
DvH=LastValue(Highest(Dv));> DvL=LastValue(Lowest(Dv));>
Coeff=0.005;> A1=DvH*exp(-Coeff*Cum(1));>
A2=DvL*exp(-Coeff*Cum(1));> Plot(A1,"",1,8);Plot(A2,"",1,8);>
> Exponential coefficient 0.005 is satisfactory for many
examples.> In some cases ( YHOO) you may go up to 0.0075 or come down
to 0.0025 (MSFT).> Some stocks do not follow this exponential decay
model.> Dimitris TsokakisYour
use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
|