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Fred,
yes, true. I myself initially had wondered why such
small StdDev's like 0.2 and 0.5 were used. As you
demonstrate, these lines aren't used at all in the
decision making.
UM
----- Original Message -----
From: "Fred" <fctonetti@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, April 07, 2003 4:35 AM
Subject: [amibroker] Re: Asymmetrical Deviation Bands Trading System ?
> UM,
>
> The AA really consists of no more then the following, I'll let you
> decide whether it's valid or not.
>
> G1 = DEMA(Avg,8);
> Buy = Cross(G1, Trough(G1, 1, 1));
> Sell = Cross(Peak(G1,1,1),G1);
> Short = Sell;
> Cover = Buy;
>
> --- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > Hi Jim,
> > the "Check" button in AA says that it seems that the formula
> > references future quotes IMHO because of the use of the
> > following function:
> > SYNTAX trough(ARRAY, change, n = 1)
> > FUNCTION
> > Gives the value of ARRAY n-th trough(s) ago.
> > This uses the Zig Zag function (see Zig Zag) to determine
> the troughs.
> > Caveat: this function is based on Zig-Zag indicator and
> may look into the future
> >
> > But, maybe it is only a wrong warning.
> > The AFL/AA/BT guru's should check it too...
> > IMHO the system looks too good to be true.
> > Below is a version for both the IB and testing in AA.
> > UM
> >
> >
> > /*******************************************/
> > /* Asymmetrical Deviation Bands v1 */
> > /* Author Marc Valley 2003*/
> > /* Buy, Sell, Filter, AddColumn lines added by UM */
> > /**/
> > //MaxGraph = 8;
> > HUB = BBandTop(High, 24, .20);
> > LUB = BBandTop(High, 15, .50);
> > LLB = BBandTop(Low, 8, 1.00);
> > G1 = DEMA(Avg,8);
> > //G4 = DEMA(Close,4);
> > SUB = BBandBot(High, 16, .50);
> > SLB = BBandBot(Low, 16, .25);
> > Plot(HUB ,"HUB ",7,4); // YELLOW LINE
> > Plot(LUB ,"LUB ",2,4);
> > Plot(LLB ,"LLB ",4,4);
> > Plot(G1 ,"G1 ",1,4); //BLACK
> > //Plot(G4 ,"G4 ",5,4);
> > //Plot(SUB ,"SUB ",colorOrange,4);
> > Plot(SLB,"SLB",5,4);
> > //Plot(Peak(G1,1,1),"Peak",4,4);
> > //Plot(Trough(G1,1,1),"Trough",5,4);
> > Buy = Cross(G1, Trough(G1, 1, 1));
> > Plot(Buy * G1,"Entry",5,6);
> > Sell = Cross(Peak(G1,1,1),G1);
> > Plot(Sell * G1,"Exit",4,6);
> > GraphXSpace = 2;
> > Filter = Buy or Sell;
> > AddColumn(Buy, "B", 1.0);
> > /*******************************************/
> >
> >
> >
> > ----- Original Message -----
> > From: "jnk1997" <jnk1997@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Sunday, April 06, 2003 8:38 PM
> > Subject: [amibroker] Asymmetrical Deviation Bands Trading System ?
> >
> >
> > > Has anyone developed an AFL trading formula for the following
> > > indicator generously supplied by Marc Valley? Visual buys and
> sells
> > > appear on the indicator, It would be nice to backtest and
> posssibly
> > > optimize for individual stocks.
> > >
> > > All input welcome, AFL trading formula, Optimization.. etc....
> > >
> > > Thanks
> > > Jim
> > >
> > >
> > >
> > > /* Asymmetrical Deviation Bands v1 */
> > > /* Author Marc Valley 2003*/
> > >
> > >
> > > //MaxGraph = 8;
> > >
> > > HUB = BBandTop(High, 24, .20);
> > > LUB = BBandTop(High, 15, .50);
> > > LLB = BBandTop(Low, 8, 1.00);
> > > G1 = DEMA(Avg,8);
> > > //G4 = DEMA(Close,4);
> > >
> > > SUB = BBandBot(High, 16, .50);
> > > SLB = BBandBot(Low, 16, .25);
> > > Plot(HUB ,"HUB ",7,4); // YELLOW LINE
> > > Plot(LUB ,"LUB ",2,4);
> > > Plot(LLB ,"LLB ",4,4);
> > > Plot(G1 ,"G1 ",1,4); //BLACK
> > > //Plot(G4 ,"G4 ",5,4);
> > > //Plot(SUB ,"SUB ",colorOrange,4);
> > > Plot(SLB,"SLB",5,4);
> > > //Plot(Peak(G1,1,1),"Peak",4,4);
> > > //Plot(Trough(G1,1,1),"Trough",5,4);
> > > Plot(Cross(G1,Trough(G1,1,1))*G1,"Entry",5,6);
> > > Plot(Cross(Peak(G1,1,1),G1)*G1,"Exit",4,6);
> > > GraphXSpace = 2;
>
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