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UM,
yes, I think the location within the bbands is quite
interesting. Here is what I use to see where the stock
is in relation to the bands. I find this easier to interpret then
the bands on the price graph
bbh=((C+2*StDev(C,20) - MA(C,20)) / (3*StDev(C,20)))*3 - 2;
Plot(bbh,"",4,2+4);
Plot(2,"",1,4); //2 is the 2sds away from the the center
Plot(0.5,"",6,4);
Plot(-2,"",1,4);
Plot(-0.5,"",6,4);
--- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> Hi nand,
>
> I mean a system which can do better than
> the 50:50 (or 48:52) which is the "usual"
> random outcome for UP or DOWN.
> A simple example: say the price of a stock is
> below the lower Bollinger Band. Here the probability
> becomes much greater for an UP than if it were
> in the middle or above the upper band.
>
> My current studies try to predict the outcome of
> the next 1 bar only, for more bars much more work
> would be necessary. But, IMHO 1 bar is fully sufficient,
> because the game starts over again the next bar...
>
> BTW, C++ is definitely not necessary for this,
> any language where you can sort a table (ie. array
> of arrays or structures) would be sufficient, for
> example simple C. It also could be that eventually ABs
> scanner and backtester will be enhanced for creating
> and testing of such types of systems too.
>
> UM
>
>
> ----- Original Message -----
> From: "nkis22" <nkishor@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Wednesday, April 30, 2003 6:53 PM
> Subject: [amibroker] Re: Systems for indices
>
>
> > UM,
> >
> > yes, hit ratio of prediction is worth folowing. IMO
> > predicting systems are worth the effort. It would so nice to know
> > for example, after MA cross over, what it the probability for
> > next 3 bars to close up or down etc. THen not only we get the
> > signal from the crossover, but we also have some idea of
> > most probable outcome. I like it. In fact I look at this kind
> > of anlaysis too but not having much progress - I think I have
> > to learn C++.
> >
> > ANthony is right in pointing out that t he overall upward
> > bais is only p=.52, this is from a massive research report
> > several years ago.
> >
> > nand
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, uenal.mutlu@xxxx wrote:
> > > Anthony,
> > >
> > > I was meaning that the prediction should be done
> > > using a real world system which takes care of indicator
> > > values etc. Simply said, using a "normal" system, but which
> > > is specialized on one index or ticker only and gives for
> > > each day an up/down forecast. If this is done for all trade
> > > days and over a longer periode then the statistics (hit ratio)
> > > will give a good indication on the overall quality of the
system.
> > > So, what is the difference of this approach to "normal" systems:
> > > - here the system has to predict the outcome of every trade
day
> > > (this is mostly not the case with usual systems; they enter
a
> > > position and stay longer than a day in the trade)
> > > The chance is of course 50:50, but I'm a believer that this
should
> > > be improvable using TA,FA, maths etc.
> > >
> > > I'm currently testing such a system which has a hit ratio
(correct
> > > prediction of the next days outcome as up OR down for all in
N100)
> > > of about 56%. Somewhere I had read (I think it was in Jeff
Cooper's
> > > book) that he on average has a hit ratio of more than 60%. Such
a
> > > beast I would like to have.
> > >
> > > BTW, the 56% hit ratio translates to about 851 to 495% profit
since
> > > 10/1/2001 (that's in 19 months; for simplicity without counting
> > commissions)
> > > depending on the number of securities one trades per trade (1
to 5
> > tested).
> > > The risk is about only 2.8% of the initial cash.
> > >
> > > Using a smaller period in the indicators used within the code
> > increases
> > > the chances but at the same time also the risks (what else? :-
). It
> > brings
> > > even 1039 to 393% (again for 1 to 5 securities per trade), but
the
> > risk now is
> > > about 11.6% of the initial cash.
> > >
> > > So, if the results are good also for other and longer time
frames,
> > then
> > > I think I've found the Holy Grail (HG), don't you think so? :-)
> > >
> > > UM
> > >
> > > ----- Original Message -----
> > > From: "Anthony Faragasso" <ajf1111@xxxx>
> > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > Sent: Wednesday, April 30, 2003 3:23 PM
> > > Subject: Re: [amibroker] Systems for indices
> > >
> > >
> > > > No....I believe studies have been done...I have also prepared
my
> > own
> > > > explorations in AMI which shows
> > > > Generally that it is 50 / 50 ( with a slight bias to
> > up ....ex..52 / 48..
> > > > etc.) where the next day will close ...up
> > > > or down....
> > > >
> > > > looking back at the past data....we then are looking for
> > Patterns ( I have
> > > > created explorations in AMI to do this also ) which gives the
> > probability of
> > > > the following.
> > > >
> > > > Example:
> > > >
> > > > Will Monday close up if Friday is less than thursday, or
Friday
> > is greater
> > > > than Thursday..
> > > > Will Monday close Down if Friday is less than Thursday, or
Friday
> > is greater
> > > > than thursday.
> > > >
> > > >
> > > > HIT RATIO;
> > > >
> > > > Simplified example:
> > > >
> > > > 9 wins * $ 1.00 = $ 9.00
> > > > 1 loss * $ 10.00= (- $ 10.00 )
> > > >
> > > > TOTAL...............= ( - $ 1.00 )
> > > >
> > > > It should be the Quality of the Wins in relation to the
Losses.
> > > >
> > > > 1 win * $ 10.00 = $ 10.00
> > > > 9 loss * $ 1.00 = ( - $ 9.00 )
> > > >
> > > > TOTAL..............= $ 1.00
> > > >
> > > > Anthony
> > > >
> > > > -------Original Message-------
> > > >
> > > > From: amibroker@xxxxxxxxxxxxxxx
> > > > Date: Wednesday, April 30, 2003 6:25:25 AM
> > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > Subject: Re: [amibroker] Systems for indices
> > > >
> > > > BTW, reducing (atomicing) any system development, and also
> > > > the backtesting, to this absolute main goal (predict the next
day
> > > > as up or down) makes IMHO everything much simpler and also
> > > > more reliable. Ie. the quality of any system should be
measured
> > > > in how its "hit ratio" on average is, based on daily data of
the
> > past.
> > > > Not less and not more is required to develop a good system.
> > > > One should concentrate all efforts on this single issue only,
ie.
> > > > trying to achieve the highest possible hit ratio on average.
> > > > Isn't it?
> > > > UM
> > > >
> > > >
> > > >
> > > > ----- Original Message -----
> > > > From: <uenal.mutlu@xxxx>
> > > > To: <amibroker@xxxxxxxxxxxxxxx>
> > > > Sent: Wednesday, April 30, 2003 11:54 AM
> > > > Subject: [amibroker] Systems for indices
> > > >
> > > >
> > > > > Hi,
> > > > > I'm looking for systems which can predict on a daily basis
> > > > > whether a specific index will rise or fall the next day.
> > > > > It would be good if the hit ratio were >= 57 % on average
> > > > > for past data.
> > > > >
> > > > > For example for any of the following indices:
> > > > > Nasdaq composite (^IXIC)
> > > > > Nasdaq100 (^NDX)
> > > > > Standard&Poors500 (^SPX)
> > > > > Dow Jones Industrial (^DJI)
> > > > > or for any other index (fe. ^SOXX, ^BTK, ^XAU ...)
> > > > >
> > > > > Thx,
> > > > > UM
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