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Herman,
then, you know something better than my proposal and you should be
happy. You just forgot to mention it yesterday, when you were asking
for detailed codes ASAP.
Have you ever heard anything about the fair play ?
It would be more honest, yesterday, to say :I know (H+L)/2
use/statistics/performance and I search for something better.
Anyway, I was expecting more creative comments **on this experimental
attempt**, this would help us all improve our knowledge.
You may post your (h+l)/2 study separately and let the readers
compare. Their maturity level is high, in one way or another and we
may trust their criticism.
Until yesterday, AFAIK, we didnīt have *any* proposal for the next
bar Low. I posted my *experimental* attempt and now, all of a sudden,
we have two proposals : one fully exposed to any criticism, since AFL
codes are for the public and another one, with some hints for (H+L)/2
use, some verbal statistics and some "don't ask me how ..."
Fair play, Herman, fair play!!
With all my respect,
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Herman van den Bergen"
<psytek@xxxx> wrote:
> Hello DT,
>
> I am trying to understand your code... if i understand your code
correctly
> then NextBarSupport is the predicted value for tomorrow's Low.
>
> 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.
>
> Doing this and assign (H+L)/2 to NextBarSupport (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 prediction it should
perhaps
> include a Volatility term like ATR() or (H-L)... don't ask me how
to do
> that, I tried ...
>
> Herman.
> -----Original Message-----
> From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
> Sent: Tuesday, June 17, 2003 7:24 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [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
> 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;
> NextBarSupport=)H+L)/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);
> 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
>
>
http://www.traders.com/Documentation/FEEDbk_docs/Archive/062003/Abstra
cts_ne
> w/Siligardos/siligardos.html
> 2. Tomasz Janeczko, TASC June 2003
>
>
http://www.traders.com/Documentation/FEEDbk_docs/Archive/062003/Trader
sTips/
> TradersTips.html#amibroker2
> 3. Tomasz Janeczko
> http://www.amibroker.com/members/traders/06-2003.html
> 3.Two older messages
> http://groups.yahoo.com/group/amibroker/message/2751
> and
> http://groups.yahoo.com/group/amibroker/message/2758
> The list began this discussion two years ago [June21, 2001]!!
> 4.The analytic AFL for RSI()
> http://groups.yahoo.com/group/amibroker/message/5461
> 5. My unsuccessful efforts to create RSI Keltner channels though
the
> RSIHigh, RSILow
> http://groups.yahoo.com/group/amibroker/message/5476
>
>
>
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