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Peter,
many thanks for the detailed reply, I will make a further study.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "bluesinvestor" <investor@xxxx>
wrote:
> Dimitris,
>
> You are correct ... I did not make any other modifications other
than
> what you suggested in your prior email (sorry).
>
> Attached is another version that takes variable arrays for IAF and
> MaxIAF. Below are answers to your comments.
>
> Regards,
> Peter
>
> -----Original Message-----
> From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Sent: Saturday, May 03, 2003 6:22 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Var IAF Re: DIMITRIS- Question
>
> Peter,
> thank you very much for your reply.
> I can not make a lot of comments on your code, see my
> http://groups.yahoo.com/group/amibroker/message/39501
> experimental idea.
> I hope you will excuse my naive comments below.
> Dimitris Tsokakis
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "bluesinvestor" <investor@xxxx>
> wrote:
> > Dimitris,
> >
> > It does not seem to make a big difference with a variable IAF.
> >
> > Peter
> >
> > // Initialize IAF Array
> > X=(DEMA(StochD(40),20)-50)/50;
> > IAF=0.05*(1.1+abs(X));
>
> this function varies [for ^NDX] from 0.055 to 0.105
> It is important for the MaxAF selection
> Fixed in attached version
>
> >
> > function SARafl( Cvar, Hvar, Lvar, MaxAF )
> > {
> > //IAF = 0.02; // acceleration factor
> > //MaxAF = 0.02; // max acceleration
>
> It does not make sense to me. MaxAF should be at least 10*IAF
> Fixed - actually 20*IAF based on your prior email
>
> > psar = Cvar; // initialize
> > long = 1; // assume long for initial conditions
> > af = IAF[ 0 ]; // init acelleration factor
>
> I suppose here you define the initial af value
> yes
>
> > ep = Lvar[ 0 ]; // init extreme point
> > hp = Hvar [ 0 ];
> > lp = Lvar [ 0 ];
> >
> > for( i = 2; i < BarCount; i++ )
> > {
> > if ( long )
> > {
> > psar [ i ] = psar [ i-1 ] + af * ( hp - psar [
> > i-1 ] );
>
> I suppose here you create the various psar values.
> af has still it initial value ? I do not see variable af here.
> af changes in other portions of the code - it is variable
>
> > }
> > else
> > {
> > psar [ i ] = psar [ i-1 ] + af * ( lp - psar [
> > i-1 ] );
>
> af still has its initial value ?
> not necessarily
>
> > }
> >
> > reverse = 0;
> > //check for reversal
> > if ( long )
> > {
> > if ( Lvar [ i ] < psar [ i ] )
> > {
> > long = 0; reverse = 1; // reverse
> > position to Short
> > psar [ i ] = hp; // SAR is Hvar
> > point in prev trade
> > lp = Lvar [ i ];
> > //af = IAF;
> > af = IAF[ i ];
> af changes here ---------^
> > }
> > }
> > else
> > {
> > if ( Hvar [ i ] > psar [ i ] )
> > {
> > long = 1; reverse =
> 1; //reverse
> > position to long
> > psar [ i ] = lp;
> > hp = Hvar [ i ];
> > //af = IAF;
> > af = IAF[ i ];
> af changes here ---------^
> > }
> > }
> >
> > if ( reverse == 0 )
> > {
> > if ( long )
> > {
> > if ( Hvar [ i ] > hp )
> > {
> > hp = Hvar [ i ];
> > //af = af + IAF;
> > af = af + IAF[ i ];
> > if( af > MaxAF ) af = MaxAF;
> > }
> >
> > if( Lvar[ i - 1 ] < psar[ i ] ) psar[
> i
> > ] = Lvar[ i - 1 ];
> > if( Lvar[ i - 2 ] < psar[ i ] ) psar[
> i
> > ] = Lvar[ i - 2 ];
> > }
> > else
> > {
> > if ( Lvar [ i ] < lp )
> > {
> > lp = Lvar [ i ];
> > //af = af + IAF;
> > af = af + IAF[ i ];
> > if( af > MaxAF ) af = MaxAF;
> > }
> >
> > if( Hvar[ i - 1 ] > psar[ i ] ) psar[
> i
> > ] = Hvar[ i - 1 ];
> > if( Hvar[ i - 2 ] > psar[ i ] ) psar[
> i
> > ] = Hvar[ i - 2 ];
> >
> > }
> > }
> > }
> > return psar;
> > }
> >
> > Plot( Close, "Price", colorBlack, styleCandle );
> > Plot( SARafl(C,H,L,0.02), "SAR", colorRed, styleDots |
styleNoLine |
> > styleThick );
> >
> > Filter=1;
> > AddColumn(SAR(.02,.02),"SAR");
>
> you use the same IAF, maxAF here ?
> just for comparison . this is the built-in SAR() function
>
> > AddColumn(SARafl(C,H,L,0.02),"SARafl");
>
> 0.02 is very low for maxIAF
> this is variable in the current code
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