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DT, exactly, very poor performance, just like most seemingly "bright"
ideas.
Mark
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> Mark,
> 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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