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For Peter & Dimitris,
I use SAR variants in conjunction with a custom composite index for
market timing and then I use these signals to trade hi betas. Of
particular value to me was the powerSAR dll posted by Stephane some
time ago (thank you Stephane) which importantly provided different
acceleration factors for "long" and "short" positions.
I'm not even close to being able to understand your attached code but
I have loaded it into IB and immediately noted that "as is" the
SARafl reversal signals often occured one day (sometimes two) earlier
than the "best" signals from powerSAR.
Would it be possible/difficult to provide this same facilty in SARafl
to independently set the "long" and "short" accelerations. Thank you
both for your many contributions.
Keith
--- 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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