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RE: [amibroker] Re: Market Thermometer



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<SPAN 
class=031242413-02062003>DT,
<SPAN 
class=031242413-02062003>perhaps what we are seeing is signs of exhaustion 
rather than buy signals when the value jumps. A quick look through a universe 
sorted by temp shows a list of very extended stocks.....
 
Regards, 
Jayson 
<FONT face=Tahoma 
size=2>-----Original Message-----From: DIMITRIS TSOKAKIS 
[mailto:TSOKAKIS@xxxxxxxxx]Sent: Monday, June 02, 2003 3:49 
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: 
Market ThermometerMark,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%TheSell=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 
alternativeBuy=Cross(matemp,temp);Sell=Cross(temp,MAtemp);ranks the 
profits between -44% and -99%.The describedA)  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.orBuy=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> > <A 
href="">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.Send 
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