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See also a [descriptive] quantitative application for Crude Oil
recent rally. This is the main idea : If you go long and the trend is
prolonged, the initial +20% changes to +30% [vs a theoretical +37%].
Not bad at all, especially if you are not on the train from the
beginning [I think it happens many times. A delayed entry is not a
crime, if you know the proper moment to leave the train...]
>From my examination, this method skips the first two or three
whipsaws. It will usually tell you to leave the trend BEFORE the
ultimate peak and, I think, it protects you from sharp changes. In
the CL case, you could easily loose 3months profits into 3 days and
it is not good !![as you remember, the period was confused by
military news and many traders decided to "wait for one more week and
then..." and lost one of the best oil movements...]
DT
--- In amibroker@xxxxxxxxxxxxxxx, "rmortonmd" <ronmd@xxxx> wrote:
> Thank you for your reply. BTW, what do the zero values at the top
> indicate?
> ron
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> <TSOKAKIS@xxxx> wrote:
> > There are explanations after the // for many lines.
> > --- In amibroker@xxxxxxxxxxxxxxx, "rmortonmd" <ronmd@xxxx> wrote:
> > > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> > > Dimitris,
> > > As a newbie to this program, I have seen a variety of
> interesting
> > > indicators and find this one to be most intriguing. I have
> several
> > > questions about this particular indicator: (1) there are 7
equal
> > > signs 3 of which have values different than 0 and I was
> wondering
> > > what they indicated and if it were possible to label them in
the
> > > program. (2) There are 3 curves, a yellow one, black one and
> one
> > > that alternates between red and green, I assume that the last
> curve
> > > indicates buy and sell signals but what are the other two?
> Again,
> > > is it possible to label these (in the comments section would be
> > > fine).
> >
> > Plot(x,"",1,8);// fast trend detector, BLACK
> > Plot(xA,"",7,8);// slow trend detector, YELLOW
> > x1=DEMA(StochD(40),t1);// the variable trend detector, GREEN-RED
> > The last line is GREEN for bullish trends and RED for bearish
> trends.
> > Buy/sell signals need more requirements.
> > Green/Red bars at 50 gives the start and the end of the fast
> uptrend.
> > Note that colours may change in your graph according to your
> > preferences selection. In my colour pallete, 1 is black, 4 is
red,
> 5
> > is green and 7 is yellow.
> > DT
> > > Thank you,
> > > ron
> > > <TSOKAKIS@xxxx> wrote:
> > > > Thank you for your comments.
> > > > It is not complete yet, I have to check a lot. I hope it will
> be
> > > > simple at the end...
> > > > DT
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "goldwing01"
> <GOLDWING01@xxxx>
> > > > wrote:
> > > > > Thank you Dimities nice piece of work with TREND DETECTOR.
I
> > can
> > > > see
> > > > > what you are doing thanks.
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis"
> > > > <TSOKAKIS@xxxx>
> > > > > wrote:
> > > > > > Some uptrends are sustainable for more than 10-20 days.
> > > > > > A fast trend detector, like DEMA(StochD(40),20) would buy
> at
> > > B0
> > > > and
> > > > > sell at S0.
> > > > > > The very next days it would force the trader to follow
the
> > > > > undesirable whipsaws W1, W2 and probably loose
> > > > > > a part of the B0/S0 profits.[see the black line]
> > > > > > A slow trend follower like DEMA(StochD(40),50) would
start
> at
> > > B1
> > > > > [missing the interesting first 7 bars]
> > > > > > and stop at S1[6 bars after the actual end of the trend].
> The
> > > use
> > > > > of the slow period helps to avoid whipsaws but expose the
> > profits
> > > > > > to a probable dramatic decrease after the actual peak. If
> the
> > > > start
> > > > > of the trend was sharp with the well known gap ups
> > > > > > then the remaining profits would not be similar to this
> great
> > > > trend.
> > > > > [see the yellow line].
> > > > > > The technical analyst wish would be
> > > > > > 1. to begin ASAP,
> > > > > > 2. avoid the whipsaws and
> > > > > > 3. get out as closer to the actual peak.
> > > > > > It is the basic T/A problem with almost any indicator and
> > here
> > > is
> > > > a
> > > > > solution proposal : the variable smoothing.
> > > > > > Begin with the fast indicator and, as the trend goes on,
> > > increase
> > > > > smoothing factor adding +1 delay per bar.
> > > > > > If the trend holds for 20 bars, the beginning would be
> per=20
> > > and
> > > > > today you would run a per=40.
> > > > > > If the trend stops for any reason, sharply back to per=20
> to
> > > > begin
> > > > > another, bearish cycle.
> > > > > > The result is the ENTRY/EXIT of the att. ^NDX gif
> > > > > > Paste in your IB the
> > > > > >
> > > > > > /*TREND DETECTOR WITH VARIABLE PERIOD, by D. Tsokakis,
> > > Apr2003*/
> > > > > > t=20;// the initial fast period
> > > > > > x=DEMA(StochD(40),t);
> > > > > > Plot(x,"",1,8);// fast trend detector
> > > > > > tA=50;// slow period
> > > > > > xA=DEMA(StochD(40),tA);
> > > > > > Plot(xA,"",7,8);// slow trend detector
> > > > > > Cond1=Ref(x,-1)==LLV(x,3);
> > > > > > Plot(50*Cond1,"",5,2);// the start of the fast uptrend
> > > > > > Cond2=Ref(x,-1)==HHV(x,3);
> > > > > > Plot(50*Cond2,"",4,2);// the end of the fast uptrend
> > > > > > k1=BarsSince(Cond1);// uptrend bar counter
> > > > > > k2=BarsSince(Cond2);// downtrend bar counter
> > > > > > Plot((k2>k1)*10,"",5,2);
> > > > > > Plot((k2<k1)*10,"",4,2);
> > > > > > t1=IIf(k2>k1,t+k1,t+k2);// the variable period
> > > > > > x1=DEMA(StochD(40),t1);// the variable trend detector
> > > > > > Plot(x1,"",(x1>Ref(x1,-1))*5+(x1<Ref(x1,-1))*4,8);
> > > > > > GraphXSpace=1;
> > > > > >
> > > > > > The method accepts further calibration if you replace t1
> with
> > > > > > coeff=0.5; // delay calibration, set coeff from 0.5 to 1.5
> > > > > > t1=IIf(k2>k1,t+coeff*k1,t+coeff*k2);// the calibrated
> > variable
> > > > > period
> > > > > > according to your needs.
> > > > > > The DEMA smoothing gives very reliable results and
accepts
> > > > variable
> > > > > periods by design.
> > > > > > Dimitris Tsokakis
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