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Here is my Virtual Close calculation/interpretation based on
Siligardos method
The calculation of the Virtual Close
a. INTRODUCTION
The RevEngRsi indicator, as described by Giorgos Siligardos in
June 2003 TASC issue,returns the price Value required for the RSI to move to
a certain level on the next bar. When the individual RSI is lower [higher]
than the MeanRSI, then the stock underperforms [outperforms] the market.If
we replace the individual RSI with the MeanRSI, then RevEngRSI will return the
Virtual Close, as if the stock was Equalweighted to the market.
Then we may easily calculate the underperformance
[outperformance] % for each stock.
b. CALCULATION
Value=Foreign("~SUMRSI","C")/Foreign("~Count","V");// this is
the MeanRSIWildPer = 14;ExpPer = 2 * WildPer - 1;AUC = EMA( Max( C -
Ref( C, -1 ), 0 ), ExpPer );ADC = EMA( Max( Ref( C, -1 ) - C, 0 ), ExpPer
);x = (WildPer - 1) * ( ADC * Value / (100-Value) - AUC);RevEngRSI =
IIf( x >= 0, C + x, C + x * (100-Value)/Value
);VirtualClose=RevEngRSI;
c. EXAMPLE
If we try a quantitative description, we will frequently come
to absurd results:Suppose June6, 2003 when MSFT RSI is 35.53 and the MeanRSI
is 62.40. This relation would give that MSFT underperforms the market by
100*(-1+62.40/35.53)=75% which is not that realistic.The Virtual MSFT
close for the same day is calculated 26.57 and MSFT actual Close [23.67]
underperforms the market by 100*(-1+26.57/23.67)=12% which is much more
descriptive and makes sense :
MSFT needs a +12% rally to catch the market
phase.
d. APPLICATIONS
Since underperformance [outperformance] is expressed in
VirtualClose-Close terms, we may easily get interesting statistical results for
the past behavior of each stock.
a. MSFT last Close underperforms the N100 market by
12.27%b. MSFT underperforms the market the last 41 barsc. The max
underperformance % in MSFT history was 23%d. The max MSFT
underperformance period was 50 bars, back on June2000e. The historical
OUTper/UNDERper ratio of outperformance/underperformancetiming of the stock
: MSFT outperformed the N100 market the 43.63% of the last 41
months
Dimitris Tsokakis
PS
After creating the MeanRSI with
AddToComposite(RSI(),"~SUMRSI","C");
AddToComposite(1,"~COUNT","V");
Buy=0;
then paste in an Indicator builder window
the
// Vitrual Close, by D. Tsokakis, June 2003
// based on Siligardos method, TASC June 2003
issue
Value=Foreign("~SUMRSI","C")/Foreign("~Count","V");WildPer
= 14;ExpPer = 2 * WildPer - 1;AUC = EMA( Max( C - Ref( C, -1 ), 0 ), ExpPer
);ADC = EMA( Max( Ref( C, -1 ) - C, 0 ), ExpPer );x = (WildPer - 1) * (
ADC * Value / (100-Value) - AUC);RevEngRSI = IIf( x >= 0, C + x, C + x *
(100-Value)/Value );VirtualClose=RevEngRSI;Plot(
VirtualClose,"",4,4);ratio=IIf(revengrsi<C,100*(-1+C/revengrsi),100*(-1+revengrsi/C));Hratio=LastValue(Highest(100*(-1+C/revengrsi)));Lratio=LastValue(Highest(100*(-1+revengrsi/C)));Hcond=Hratio==100*(-1+C/revengrsi);Lcond=Lratio==100*(-1+revengrsi/C);underbars=BarsSince(RevEngRSI<C);Outbars=BarsSince(RevEngRSI>C);Maxunder=Highest(underbars);tMuY=ValueWhen(Maxunder==underbars,Year());tMuM=ValueWhen(Maxunder==underbars,Month());Maxout=Highest(Outbars);tMoY=ValueWhen(Maxout==outbars,Year());tMoM=ValueWhen(Maxout==outbars,Month());Plot(
Close, "" , Hcond*4+Lcond*3+1, 64);Title=Name()+" Close
"+WriteIf(RevEngRSI>C," underperforms [the last
"+WriteVal(underbars,1.0)+" bars] the market by "+WriteVal(ratio,1.2)+"
% [max "+WriteVal(Lratio,1.0)+" %]. Max Underperform period was
"+WriteVal(Maxunder,1.0)+" bars, back on
"+WriteVal(tmuM,1.0)+"/"+WriteVal(tmuY,1.0)," outperforms [the last
"+WriteVal(Outbars,1.0)+" bars] the market by "+WriteVal(ratio,1.2)+" %
[max "+WriteVal(Hratio,1.0)+" %]. Max outperform period was
"+WriteVal(Maxout,1.0)+" bars, back on
"+WriteVal(tmoM,1.0)+"/"+WriteVal(tmoY,1.0));
and the complementary
// Underperformance/Outperformance past behavior
Value=Foreign("~SUMRSI","C")/Foreign("~Count","V");WildPer
= 14;ExpPer = 2 * WildPer - 1;AUC = EMA( Max( C - Ref( C, -1 ), 0 ), ExpPer
);ADC = EMA( Max( Ref( C, -1 ) - C, 0 ), ExpPer );x = (WildPer - 1) * (
ADC * Value / (100-Value) - AUC);RevEngRSI = IIf( x >= 0, C + x, C + x *
(100-Value)/Value
);Plot(1,"",(C<=RevEngRSI)*4+(C>RevEngRSI)*5,2);Plot(0,"",1,1);Title=Name()+"
outperforms the market the
"+WriteVal(100*Cum(C>RevEngRSI)/Cum(IsTrue(RevEngRSI)),1.2)+" % of the
last "+WriteVal(Cum(Month()!=Ref(Month(),-1)),1.0)+" months";
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