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Try an example in Ind. builder mode:
R=DEMA((C-O)/(H-L),30);Plot(R,"R",1,1);
COND0=R>=0 AND Ref(R,-1)<0;Z0=1+BarsSince(COND0);
AREA0=10*IIf(R>=0,Sum(R,Z0),0);Plot(AREA0,"BULL",5,2);
COND01=R<0 AND Ref(R,-1)>=0;Z01=1+BarsSince(COND01);
AREA01=10*IIf(R<0,Sum(R,Z01),0);Plot(AREA01,"BEAR",4,2);
Title="R="+
WriteVal(R,1.2)+", BULL="+
WriteVal(AREA0,1.2)+", BEAR="+
WriteVal(AREA01,1.2);
It is interesting.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> Chuck,
> I have already created an indicator based on this (H-L)/(C-O) ratio.
> It gives interesting info for trend detection, duration and
strength
> and I will post it next week.
> Dimitris Tsokakis
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> <chuck_rademacher@x> wrote:
> > I mentioned to you one of the things that I have learned after
many
> years of
> > developing trading systems. I told you that I filter stocks
using
> the
> > ratio of total candle height to candle body size over some period
> of time.
> >
> > Have a look at two charts: AAR and ABJ
> >
> > I have no idea what these companies do or who runs them, but I
> think that
> > most traders would prefer to trade AAR and not ABJ, if given the
> choice.
> > Why do you suppose that is the case? It's kind of hard to put
in
> words,
> > but I sure don't like the look and feel of ABJ. So, I try to
> quantify it
> > so that I can use AB, MetaStock or TradeStation to filter out ABJ
> for the
> > time being. I may want to look at again later, but not right
> now. In
> > fact, my systems will have a fresh look every day. But, we've
> already beat
> > that to death.
> >
> > In order to quantify why I don't like the look of ABJ, I
discovered
> that I
> > can calculate the ratio of total candle height to candle body
> height over
> > some number of days and if the ratio is "high", I simply won't
> trade it.
> > You'll have to figure out for yourself how many days to look at
and
> what
> > kind of value is "high".
> >
> > Of course, there are those people who would like to trade ABJ for
> the very
> > reason that I don't want to trade it. But their systems or
> methods would
> > be quite different from mine. When ABJ takes on the look of AAR
> (next
> > week, next month or next year), I will automatically have a look
at
> it using
> > my systems. Until then, it flunks test number 23.
> >
> > Perhaps I've just saved someone 40 years of research? I hope so.
> >
> > Cheers
> > -----Original Message-----
> > From: gosub283 [mailto:gosub283@x...]
> > Sent: Saturday, March 29, 2003 7:27 PM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: TESTING THE UNIVERSE ? (for GoSub)
> >
> >
> > Chuck,
> >
> > Thanks again.
> >
> > That Candle height...Candle body thing...
> > I looks like an "efficiency" criteria that
> > I saw using "average true range vs. time".
> > In other words, you are looking for efficient,
> > low volatility (low atr) markets.
> >
> > Cheers,
> > gosub 283
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
> > <chuck_rademacher@x> wrote:
> > > I think I approach this problem in a different way. I agree
> with
> > you on
> > > all three points (A,B,C) mentioned below. Why then, you
might
> > ask, do I
> > > still want my system to look at all of the stocks in the
> universe?
> > >
> > > To me the answer is easy. I don't want to sit down daily,
> weekly
> > or monthly
> > > and portion the stocks out to nice little groups
of "tradeable"
> > and "not
> > > tradeable". I don't think that I'm smart enough and I surely
> > don't have
> > > the time.
> > >
> > > However, I can write systems that will do all of this for
me.
> In
> > order for
> > > these systems to do the intended job, however, they need to
see
> all
> > of the
> > > stocks every day. I let the system decide whether the each
> > stock "appears"
> > > to be tradeable or not. By letting the system do the
> deciding, I
> > can be
> > > fishing instead of perusing charts. I've been trading for 40
> years
> > and have
> > > yet to look at a chart to make any sort of trading
decision. I
> > have looked
> > > at charts in order to transfer the look and feel of a chart
to
> my
> > trading
> > > systems, but not for making actual trading decisions.
> > >
> > > So, I'm a single-click trader and I'm trading on behalf of
> several
> > hedge
> > > funds. My systems make a single pass through all of the
active
> > stocks and
> > > decide which ones to trade and in which direction. I blindly
> > enter the
> > > orders before the market opens and I'm done (trading) for the
> > day. I spend
> > > the rest of the day doing research on how to improve my
systems.
> > If the
> > > sun is shining and it's not too windy, I'm fishing!
> > >
> > >
> > > -----Original Message-----
> > > From: gosub283 [mailto:gosub283@x...]
> > > Sent: Saturday, March 29, 2003 5:28 PM
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Subject: [amibroker] TESTING THE UNIVERSE ?
> > >
> > >
> > > Hi everyone,
> > >
> > > Please bear with me on this subject because
> > > it's one which I have not yet found the answer
> > > and one which I am not an expert. This question is based
> > > on my current assumptions and is open to comment,
> > > correction, or debate.
> > >
> > > (This has been discussed before but, as an onlooker,
> > > I did not see a solution.)
> > >
> > > Here it is:
> > >
> > > What is the point of testing the whole universe
> > > of stocks with a trading system if it is generally
> > > understood that..
> > > A) Some stocks are just not "system" tradeable
> > > B) Some systems are best suited to certain markets.
> > > C) Some stocks have unique "personalities" which work
> > > with some trading techniques but not others.
> > >
> > > It seems to me that a test of the whole universe will give
> > > a squewed result because the performance of the system
> > > will be lowered by the "untradeables" and the ones with
> > > the "wrong personality".
> > >
> > > I have written filters which divide up the universe into two
> > > personality groups.(Good ones on the left...bad ones on the
> right)
> > > This has helped to narrow down the basket a little.
> > > But maybe there's another reason to test the whole universe
> > > that I m not aware of. Any comments on this ? (for or
against)
> > >
> > > PS: I think the focus should be on devising ways to define
> > > and catagorize "personalities", then go exploit them.
> > > (Definately easier said than done) ;-(
> > >
> > > Cheers,
> > > Gosub283
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > >
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