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Hello
DT,
<FONT face=Arial color=#0000ff
size=2>
I am
trying to understand your code... if i understand your code correctly then
NextBarSupport is the predicted value for tomorrow's Low.
<FONT face=Arial color=#0000ff
size=2>
To
test other formulas I should then be able to assign another value to
NextBarSupport and, running an exploration, see the statistics
for this variable instead.
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size=2>
<FONT
face=Arial>Doing this and assign (H+L)/2 to <FONT
color=#0000ff>NextBarSupport <FONT
color=#0000ff>(see below in Red) I get better stats than the RSI based
values. Many 100% in the AMEX for example. I think the reason is that you are
really measuring volatility more than anything else. For a low volatility
stock the 2% column even sits at 100%. This agrees with your observation that
low volatility stocks do netter.
To
rate the accuracy of the NextBarSupport<FONT
color=#000000> prediction it should perhaps include a
Volatility term like ATR() or (H-L)... don't ask me how to do that, I tried
...
<FONT face=Arial color=#0000ff
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<FONT face=Arial color=#0000ff
size=2>Herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: Dimitris Tsokakis
[mailto:TSOKAKIS@xxxxxxxxx]Sent: Tuesday, June 17, 2003 7:24
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] My
favorite Copper contracts
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;<SPAN
class=600151423-17062003><FONT face=Arial
color=#0000ff>
<FONT
color=#ff0000>NextBarSupport=)H+L)/2;<SPAN
class=600151423-17062003><FONT face=Arial
color=#0000ff>
<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/5476Send
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