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Keith:
I've been trying to find Stephane's PowerSAR for some time now, but I have
no clue where it is. I've looked in the 3rd party area and the Yahoo groups
files area, but I see nothing labeled PowerSAR. Can you point me to where it is?
Thanks a lot.
Al Venosa
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Keith
Bennett
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, May 03, 2003 1:05
PM
Subject: [amibroker] Var IAF another
question
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@xxxx] > 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> <A
href="">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 codeSend
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