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Could
you define "pairs trading" please?
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<FONT face=Arial color=#0000ff
size=2>Thx!
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<FONT face=Arial color=#0000ff
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<FONT
face=Tahoma size=2>-----Original Message-----From: Fred
[mailto:fctonetti@xxxxxxxxx] Sent: Friday, April 18, 2003 3:08
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Dynamic Indicators Poll -- VOTE AGAIN, PLEASEYes. I
know. See my previous post, but for example I don't want to have to write
my own Stdev routine for variable periods where it would require a For
loop or a script to get it done. As I've said before, IMHO the best
thing about AB today is it's speed and the LAST thing I want to do is slow
it down w/For loops if I don't have to. The best thing about the future of
AB is of course the support & potential enhancements and I'll be happy
to take the latter in whatever order Tomasz thinks best with my own
personal preference at the moment being the fixing of position size
transactions being automatically limited to total available cash followed
by some other aspects of portfolio trading i.e. pairs and ranking
etc.--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx> wrote:> Fred,> take a look at>
> per=10+Cum(1)%20;//variable period from 10 to 29>
StochKa=MA(100*(C-LLV(L,per))/(HHV(H,per)-LLV(L,per)),3);>
StochDa=MA(MA(100*(C-LLV(L,per))/(HHV(H,per)-LLV(L,per)),3),3);>
Plot(StochDa,"",1,1);Plot(StochD(),"",4,8);> > for
example.> DT> --- In amibroker@xxxxxxxxxxxxxxx, "Fred"
<fctonetti@xxxx> wrote:> > Tomasz,> > > >
I agree completely that these are two different areas ... to me > they
> > are both important with (1) being higher priority then (2)
...> > > > With regards to (1) and more specifically those
functions like ATR > > that require multiple arrays ... I
understand and in the case of > ATR > > I'm not sure I care
if this is even dealt with as again it's simple > > enough like
my example w/MACD to create ones own ATR with a Foreign > >
symbol using straight AFL. > > > > In the case of a
stochastic though it's clearly valid to calculate > it >
> as > > > > 100 * (C - LLV(C, n)) / (HHV(C, n) -
LLV(C, n)) > > > > as opposed to using highs and
lows. However here again I'm not > sure > > I care as
it's easy enough to do these in straight AFL with n being > >
time variant since HHV and LLV are already have the capability of >
> being time variant.> > > > > > --- In
amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" > <amibroker@xxxx>
> > wrote:> > > Hello,> > > > >
> As I mentioned in the other post of mine there are > > > TWO
INDEPENDENT areas:> > > > > > 1. Make input data
array available for functions like RSI> > > 2. Make second
argument (period) accept array too (variable > period).> >
> > > > Somehow people mix those 2 areas.> > >
> > > Fred speaks that he wants all functions to cover at
least> > > area (1).> > > > > > The
posts of Mark refer to area (2).> > > > > > Let me
show you example:> > > > > > RSI( period ) - this
function has no input data array (uses CLOSE > > array>
> > indirectly) and accepts static period> > > >
> > (1) RSIa( ARRAY, period ) - this function accepts input data
> array > > but accepts> > > only static
period> > > > > > (2) RSIa( ARRAY, dynamic_period )
- this function accepts input > > data array > >
> and accepts both static and dynamic_period. > > > (NOTE:
Current version of AB does NOT support this RSIa 'flavour' > >
yet)> > > > > > > > > As to (1):
implementation of this is relatively easy.> > > There is one
caveat however: many analytical functions> > > in fact use MORE
than one input array. For example Stochastics use> > > Close,
Open and High arrays as inputs.> > > ATR too needs OHLC, not only
close.> > > > > > As to (2): not every function is
suitable for this kind of > > operation. Although > > >
theoretically it is possible to rewrite every function to accept >
> such 'variable> > > periods' the practice shows that
transformations that are > recurrent > > in nature>
> > (exponential averages for example) are extremely 'sensitive' if
> > parameter(s)> > > change to fast. A kind of
"frequency modulation" effect appears > > that may produce>
> > distortions therefore one should be careful working with
adaptive > > systems> > > using recurrency-based
transformations.> > > > > > Best regards,>
> > Tomasz Janeczko> > > amibroker.com> > >
----- Original Message ----- > > > From:
<uenal.mutlu@xxxx>> > > To:
<amibroker@xxxxxxxxxxxxxxx>> > > Sent: Friday, April 18,
2003 5:28 PM> > > Subject: Re: [amibroker] Dynamic Indicators
Poll -- VOTE AGAIN, > > PLEASE> > > > > >
> > > > And IMHO also > > > >
LINEARREG, LINREGSLOPE, TSF > > > > should be removed from
your list. Please> > > > check the remaining too... Test it in
AFL editor (it will > inform > > you> > > >
via a small hint window about the params after you type the > >
opening brace).> > > > UM> > > > > >
> > ----- Original Message ----- > > > > From:
<uenal.mutlu@xxxx>> > > > To:
<amibroker@xxxxxxxxxxxxxxx>> > > > Sent: Friday, April
18, 2003 5:21 PM> > > > Subject: Re: [amibroker] Dynamic
Indicators Poll -- VOTE AGAIN, > > PLEASE> > > >
> > > > > > > > > Hi mark, > >
> > > can you clarify BBANDBOT and BBANDTOP; > > > >
> IMHO they both already do accept user defined arguments> > >
> > for all the 3 possible parameters to them. > > > >
> UM> > > > > > > > > > > >
> > > ----- Original Message ----- > > > > > From:
"markf2" <feierstein@xxxx>> > > > > To:
<amibroker@xxxxxxxxxxxxxxx>> > > > > Sent: Friday,
April 18, 2003 4:03 PM> > > > > Subject: [amibroker]
Dynamic Indicators Poll -- VOTE AGAIN, > > PLEASE> > >
> > > > > > > > > > > > > In
Message 38132, Tomasz pointed out that HHV, LLV, > HHVBars, >
> LLVBars,> > > > > > DEMA, TEMA, MA, WMA, REF, and
SUM already work with dynamic> > > > > > parameters.
When I updated the poll to reflect this, ALL > > votes were>
> > > > > lost so please vote again if you're still interested,
LOL.> > > > > > > > > > > > <A
href="">http://groups.yahoo.com/group/amibroker/surveys?id=1071266>
> > > > > > > > > > > I apologize for the
confusion. The fact that the above > > indicators and>
> > > > > functions accept dynamic parameters was reflected in
> release > > notes but> > > > > > not
in the 4.30 users guide that I used to make the poll. > >
The fact> > > > > > that so many of you voted for them
shows you didn't know > > either, and> > > > >
> I've asked Tomasz to include this information in the next> >
> > > > documentation update.> > > > > >
> > > > > > Mark> > > > > >
> > > > > > "No good deed goes unpunished."> >
> > > > --Steve Karnish> > > > > > >
> > > > > > > > > > > > >
Send BUG REPORTS to bugs@xxxx> > > > Send SUGGESTIONS to
suggest@xxxx> > > >
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href="">http://groups.yahoo.com/group/amiquote/messages/)>
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