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[amibroker] My favorite Copper contracts



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The Question : To anticipate the next bar Low.
The main Hypothesis : Next bar RSI() will not be lower than 
min(RSIA(H,14),min(RSIA(L,14),RSIA(C,14)))
Test period=the last 200 bars
Errors:
Error05<0.5%
Error1<1%
Error2<2%
Statistics: 
Longterm05, the percentage of error<0.5% for the last 200 
bars
Longterm1, the percentage of error<1% for the last 200 
bars
Longterm2, for error<2%
The first attempt to answer:
Paste in your Indicator builder [or Automatic analysis] window 
the
 
// Anticipate next bar Low, by D. Tsokakis, June 
2003
<FONT 
size=2>R1=RSIA(H,14);R2=RSIA(L,14);R3=RSIA(C,14);MinR=Min(R1,Min(R2,R3));FACTOR=0.025;
CoL=1-FACTOR;Value=MinR*CoL;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);RSIsupport = IIf( x >= 0, C + x, C + x * 
(100-Value)/Value 
);IntradaySupport=Ref(RSIsupport,-1);NextBarSupport=RSIsupport;
<FONT 
size=2>Plot(IIf(Cum(1)>LastValue(Cum(1))-10,LastValue(IntradaySupport),-1e10),"",4,8);Plot(IIf(Cum(1)>LastValue(Cum(1))-3,LastValue(NextBarSupport),-1e10),"",7,8);Plot(C,"",1,64);App1=1;Approx1=abs(-1+L/IntradaySupport)<=App1/100;test=200;Longterm1=0.5*Ref(Sum(Approx1,test),-1);App2=2;Approx2=abs(-1+L/IntradaySupport)<=App2/100;Longterm2=0.5*Ref(Sum(Approx2,test),-1);
<FONT 
size=2>App05=0.5;Approx05=abs(-1+L/IntradaySupport)<=App05/100;Longterm05=0.5*Ref(Sum(Approx05,test),-1);
Title=Name()+" next bar Low prediction with error < 
"+WriteVal(App2,1.0)+" % was reliable the "+WriteVal(Longterm2,1.0)+" % 
of the last "+WriteVal(test,1.0)+" bars [ "+WriteVal(Longterm1,1.0)+" % 
with error <"+WriteVal(App1,1.0)+" %], [ "+WriteVal(Longterm05,1.0)+" 
% with error <"+WriteVal(App05,1.1)+" %]"  ;  
Filter=1;AddColumn(Longterm05,"Longterm 
ERROR<0.5%",1.0);AddColumn(Longterm1," Longterm 
ERROR<1%",1.0);AddColumn(Longterm2," Longterm ERROR<2% 
",1.0);AddColumn(MA(H/L,200),"Average spread");
Some first notes now :
*The 10-bar red line is today support, already known from 
yesterday.
*The 3-bar yellow line is the prediction for the next bar 
Low.
*As soon as you download intraday EOD for the new day, 

    a. the yellow line will automatically 
become red and will be the same for the whole session. It is 
the intraday support. 
    b. a new yellow line will appear. 
It is the next [unknown] bar support, it is variable as new 
OHLC come and will have 
        its final price by 
the end of the session.After the first half of the session, 
this yellow line [with a reliability confirmation] 
        is very 
interesting, especially when you see high volume 
positions at this level. Sometimes you will have the 
impression 
        that some other 
people also "know" your secret yellow line.
*Highly volatile stocks [MA(H/L,200)>1.08 !!] are not that 
reliable and should be handled with care.
*Change the filter condition to 
Filter=Approx05; 
or 
Filter=Approx1;
 or 
Filter=Approx2;
explore for the n=1 last quotations 
to see the stocks with actual/predicted Low less than 0.55, 1% 
and 2% respectively. for the June16 N100 session we saw
86 stocks with 2% approximation, 68 stocks with 1% and 31 
stocks with just 0.5%. Not bad at all for a positive biased 
day.
*FACTOR may vary between 0.2 to 0.5 with similar 
results.
*Red and yellow line at tha same level may denote accumulation 
at this level and [probably] a turning point...
 
The attached gif explains why Copper is my favorite. It was 
90% reliable, ie for 180 of the last 200 bars the error 
between 
predicted and actual Low was less than 2%. For 126/200 bars 
the error was less than 1%. [for 80/200 bars the error was 
less
than 0.5%]
This is the first, short description of this experimental 
method.
Improvements will hopefully follow.
 
References : 
1. G. Siligardos, Reverse Engineering RSI, TASC June 
2003
<A 
href="">http://www.traders.com/Documentation/FEEDbk_docs/Archive/062003/Abstracts_new/Siligardos/siligardos.html
2. Tomasz Janeczko, TASC June 2003
<A 
href="">http://www.traders.com/Documentation/FEEDbk_docs/Archive/062003/TradersTips/TradersTips.html#amibroker2
3. Tomasz Janeczko  <FONT 
size=2>
<A 
href="">http://www.amibroker.com/members/traders/06-2003.html
3.Two older messages
<A 
href="">http://groups.yahoo.com/group/amibroker/message/2751 

and  
<A 
href="">http://groups.yahoo.com/group/amibroker/message/2758
The list began this discussion two years ago [June21, 2001]!! 
4.The analytic AFL for RSI() 
<A 
href="">http://groups.yahoo.com/group/amibroker/message/5461
5. My unsuccessful efforts to create RSI Keltner channels 
though the RSIHigh, RSILow
<A 
href="">http://groups.yahoo.com/group/amibroker/message/5476






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