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Steve,
Your observation is basic for Dratio trading systems I have posted in
the past.
Buy ascending Dratio line [usually at high level] and Sell
descending [sometimes Sell the still ascending line !!]
Example1: The quite successful CSCO Dratio [for CSCO and the market]
R=1000*(H-L)/(H+L);
Z=20;D1=34;D2=37;
RRR=DEMA(R,Z);
F1=RRR>=D2;F2=RRR<=D1;
Sell=F2;Buy=F1;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Plot(RRR,"",1,8);Plot(D1,"D1",8,1);Plot(D2,"D2",8,1);
Plot(Buy*RRR,"",5,2);Plot(Sell*RRR,"",4,2+4);
Plot(LastValue(Lowest(RRR)),"",11,1);
Plot(LastValue(Highest(RRR)),"",11,1);
See for CSCO how the signals are generated.
Example2: The ^VIX dratio system for the N100 market
H=Foreign("^VIX","H");L=Foreign("^VIX","L");
R=1000*(H-L)/(H+L);
Z=Optimize("Z",48,47,52,1);
RRR=DEMA(DEMA(R,Z),20);
D1=Optimize("D1",32,27,32,1);
D2=Optimize("D2",48,45,55,1);
F1=RRR>=D2;F2=RRR<=D1;
Sell=F2;Buy=F1;
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=Sell;Cover=Buy;
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
Plot(RRR,"",1,1);
Plot(d1,"",8,1);Plot(d2,"",8,1);
Plot(Buy*RRR,"Buy",5,2);
Plot(Sell*RRR,"Sell",4,2);
Perhaps your BEBE prefers ascending crosses for both Buy/Sell signals
A first optimization would help for the initial research...
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond" <steve2@xxxx> wrote:
> Dimitris,
>
> You are correct, the curves for Dratio40 DO cross. I'm unsure just
what is being measured here, though. Look at the attached chart which
shows BEBE going through 5 weeks of bullish behaviour followed by 5
weeks bearish. Dratio40 just keeps climbing the whole time!
>
> Steve
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