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Riding the trend is great, bu the trends these days are very
short lived. Is there a way get into the trend much quicker?
nand
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> Jayson,
> My Long entry is when the red line becomes green.
> The initial, fast trend detector is the black line [steady
smoothing
> period=20]
> The variable trend detector is the green-red line.
> The first trendy bars the variable smoothing is not activated, the
> period t1 is equal to t
> and the result is a quick entry.
> The variable trend detector begins to diverge after 20 consequtive
> trendy bars [this is the reason we need
> a quite smooth trend detector with minimised lag] and increases
> rapidly its smoothing period.
> The result is a delayed exit, which is better for prolonged trends.
> The threshold of 20 bars may change, according to your point of
view,
> from the line
> trendbars=20;// calibrate here the start of variable smoothing
> You may use the initial, fast detector for 15 or 25 or more bars.
> I think 20 is good for N100 fluctuations.
> In this version, after the threshold, the smoothing period
increases
> by +2 per bar. At the end of a 40-bar
> trend you will actually use a 20+2*20=60 periods smoothing, which
is
> also good for proper exits.
> [The first version was increasing by +1 the smoothing period every
> trendy day from the beginning of the trend]
> The last 3 years we saw prolonged trends in N100, I hope the same
for
> the future. If Nasdaq becomes a Nikkei,
> for example, then this study is nearly useless.
> Thank you for this dialogue, you help a still experimental concept.
> Dimitris Tsokakis
> PS. See also the DELL example in Steve´s message.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> > DT,
> > I am trying to understand what you are doing here. Are you
looking
> to make
> > entry after the static and variable indicator diverge? does not
> this leave
> > you vulnerable to the stock becoming exhausted with you late in
the
> emerging
> > trend? I am trying to see the possible pitfalls of using this
going
> forward
> > rather than looking back at the result......
> >
> > TIA
> > Jayson
> > -----Original Message-----
> > From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
> > Sent: Monday, April 21, 2003 5:56 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] TREND DETECTORS WITH VARIABLE PERIOD (II)
> >
> >
> > Here is an alternative.
> > The first method was increasing the smoothing period for every
> trendy day,
> > from the beginning till the end.
> > It will do it even if the trend lasts 3 or 13 or 53 bars.
> > A more realistic approach is to increase the period AFTER some
> threshhold
> > bars.
> > Keep the smoothing fast up to the 20th trendy bar and then
increase
> the
> > period to stay more in the market and enjoy
> > the last [and the most interesting] part of the [prolonged] trend.
> > This will help to ignore the premature exit signals, ignore the
> probable
> > first pull-backs and catch the usual double peak
> > formation, but, the code will examine this possible scenario
AFTER
> the 20
> > confirmed trend bars.
> > The gif speaks better :
> > The initial trend detector is the black DEMA(StochD(40),20).
> > The variable detector stays closely for the first 20 bars and
then
> changes
> > to a much slower mode.[green-red line]
> > The obvious benefit is to ignore premature exit at the first peak
> P1,
> > re-entry at R1 and goes to a final exit at P2.
> > The code for IB is
> >
> > t=20;x=DEMA(StochD(40),t);Plot(x,"",1,8);
> > tA=50;xA=DEMA(StochD(40),tA);//Plot(xA,"",7,8);
> > Cond1=Ref(x,-1)==LLV(x,3);Plot(50*Cond1,"",5,2);
> > Cond2=Ref(x,-1)==HHV(x,3);Plot(50*Cond2,"",4,2);
> > k1=BarsSince(Cond1);k2=BarsSince(Cond2);
> > Plot((k2>k1)*10,"",5,2);Plot((k2<k1)*10,"",4,2);
> > Coeff=2;
> > trendbars=20;// calibrate here the start of variable smoothing
> > t1=IIf(k2>k1 AND k2>trendbars,t+coeff*k1,IIf(k1>k2 AND
> > k1>trendbars,t+coeff*k2,t));
> > x1=DEMA(StochD(40),t1);
> > Plot(x1,"",(x1>Ref(x1,-1))*5+(x1<Ref(x1,-1))*4,8);
> > GraphXSpace=2;
> >
> > Dimitris Tsokakis
> >
> >
> > Yahoo! Groups Sponsor
> >
> >
> >
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