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Anyway, from the trading point of view, the described rules and
expectations are totally catastrophic.
Both crossovers place the Long system between -75% and -85%
The
Sell=Cross(MAtemp,temp);
Buy=Cross(temp,MAtemp);
gives ONLY two profitable stocks for the N100 database.[+7% and +74%]
All the rest have severe losses, the best is at -21% !!
The alternative
Buy=Cross(matemp,temp);
Sell=Cross(temp,MAtemp);
ranks the profits between -44% and -99%.
The described
A) The best time to enter a new position is when mkt thermometer
falls below its MA.
B) exit positions when Mkt Thermometer rises to triple the height of
it's moving average.
or
Buy=Cross(MAtemp,temp);
Sell=temp>3*MAtemp;
is a bit better, -15% for the market [since Jan2000], but +48% for
the last 165 [bullish] bars.
[note however that the B&H for the last 165 bars was +53% !!]
The next point
C) get ready for an explosive move if the Thermometer stays below
its MA for 5-7 trading day.
seems reasonable:
Buy=BarsSince(temp<=MAtemp)==4;
Sell=BarsSince(Buy)==6;
is not loosing much money, but, it is far from interesting profits.
As you see, AFL gives quick own check for these "bright" ideas.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> DT- Actually, if Elders' Market Thermometer measures how far the
most
> extreme point of today, either high or low, protrudes *outside* of
> yesterday's range (as the original poster wrote), then it would be
> more accurate to assign a value of 0 to inside days instead of
> calculating abs (inside days are the only time negative values would
> occur).
> Temp = IIf(Inside()==1,0,Max(H-Ref(H,-1),Ref(L,-1)-L));
> But good point on the relative values.
>
> Mark
>
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx>
> wrote:
> > A good description is at
> > http://www.purebytes.com/archives/omega/2002/msg04479.html
> > To avoid negative values, he calculates abs and then introduces
an
> > average of the temp, to define entry/exit points.
> > The above description is similar to AFL
> >
> > TEMP=Max(abs(H-Ref(H,-1)),abs(Ref(L,-1)-L));
> > Plot(TEMP,"temp",1,2);Plot(MA(temp,22),"average temp",4,1);
> >
> > The basic disadvantage of this temp is the deal with absolute
prices.
> > Recent CSCO temp is 0.3 to 0.6.
> > Two years ago it was ten times today´s values.
> > You may have better relative values with
> >
> > RELATIVETEMP=Max(abs(H-Ref(H,-1))/MA(H,3),abs(Ref(L,-1)-L)/MA
(L,3));
> > Plot(RELATIVETEMP,"Relative temp",1,2);Plot(MA
> > (RELATIVETEMP,22),"average temp",4,1);
> >
> > DT
> > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx>
> > wrote:
> > > --- In amibroker@xxxxxxxxxxxxxxx, "dtfreak1025"
<dtfreak1025@xxxx>
> > > wrote:
> > > > Hi Group;
> > > > I am trying to get the following Windows on Wall St.
> > > > formula into AmiBroker.
> > > >
> > > > if(hi<ref(hi-1)and lo>ref(lo,-1),0,if ((hi - ref(hi,-1))>
> > > > (ref(lo,-1) - lo), hi -ref(hi,-1), ref(lo,-1) - lo))
> > > >
> > > > The Formula is:
> > > >
> > > > Temperature = the greater of either (HIGHtoday -
HIGHyesterday)or
> > > > (LOWyesterday - LOWtoday)
> > >
> > > Follow this definition and simply use
> > >
> > > temperature=Max(H-Ref(H,-1),Ref(L,-1)-L);
> > >
> > > Dimitris Tsokakis
> > >
> > > > Elders' Market Thermometer measures how far the most extreme
> > point
> > > of
> > > > today,either high or low, protrudes outside of yesterdays
> > range.The
> > > > greater the extension of todays bar outside of yesterday's,
the
> > > > higher the Market temperature.
> > > >
> > > >
> > > > Any help would be appreciated
> > > > TIA to all.
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