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[amibroker] Re: Dimensionally Coherent Relative Strength



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I have no idea, you tell me.  What I posted is the widely accepted 
formula for PFE at least in TS.  If you've got a different formula 
post it.

--- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> Is that all the indicator does (subtract the close from 9 bars ago
> from the current close)?  Is that even the same formula I was 
talking
> about?   Is it possible for an indicator containing close
> differentials to be of geometric construction?  How about form a
> geometric sequence?  If so, how many different ways can this
> theoretically be accomplished?  
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > It is ?  I wouldn't call any indicator that's subtracing the 
close 
> > from 9 bars ago from the current bars of geometric construction, 
> > would you ?
> > 
> > From the TradeStation code ...
> > 
> > vars:  PFE(0), C2C(0), COUNTER(0), FRACEFF(0), EMA(0);
> > 
> > PFE = 0;
> > C2C = 0;
> > COUNTER = 0;
> > FRACEFF = 0;
> > EMA = 0;
> > 
> > PFE = Squareroot(Power(Close - Close[9], 2) + 100);
> > 
> > for COUNTER = 1 to 9 begin
> > 	C2C = C2C + Squareroot(Power((Close[COUNTER - 1] - Close
> > [COUNTER]),2) + 1);
> > end;
> > 
> > if (Close - Close[9]) > 0 then
> >     FRACEFF = Round((PFE / C2C) * 100,0)
> > else
> >     FRACEFF = Round(-(PFE / C2C) * 100,0);
> > 
> > if Currentbar = 1 then
> > 	EMA = FRACEFF
> > else
> >     EMA = Round((FRACEFF * 0.333) + (EMA[1] * (1 -  0.333)),0);
> > 
> > Plot1(EMA,"E");
> > Plot2(50,"BUYZONE");
> > Plot3(-50,"SELLZONE");
> > 
> > --- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> 
wrote:
> > > All systems that behave accordingly are dimensionally 
coherent.  But
> > > need to be careful about generalizing that all geometric 
indicator
> > > constructions, for example, are dimensionally coherent. Hans 
> > Hannula's
> > > fractal efficiency indicator is a geometric construction but it
> > > combines price and time variables so that the indicator doesn't 
> > retain
> > > the relative importance of price and time changes when the axes 
are
> > > rescaled independently of each other.  But some people would 
never 
> > see
> > > that from just looking at the formula, which is why I suggested 
the
> > > simple and simpler approaches.  
> > > 
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > > > But the simplistic explanation remains the same ... doesn't 
it ?  
> > The 
> > > > simple and/or complex systems I write and trade could care 
less 
> > if 
> > > > prices are factored up or down by 100.
> > > > 
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> 
> > wrote:
> > > > > Fred- If you want simplistic, I'll give you simple and 
> > simpler :-)
> > > > > 
> > > > > 1.  Simple.  Apply Eckhardt's c-Test for dimensional 
coherency:
> > > > > "In essence, the c-test transforms relevant formulas in an 
> > indicator
> > > > > or system by multiplying every price term by a positive 
> > constant c 
> > > > (c
> > > > > not equal to 1), while leaving nonprice terms the same. If 
the
> > > > > transformed indicator or system gives the same indications 
or 
> > > > signals
> > > > > as the original, then it has passed the c-test. If not, the
> > > > > formulation in question is incoherent and depends 
unacceptably 
> > on 
> > > > the
> > > > > units chosen."
> > > > > 
> > > > > 2.  Simpler. Make two test data files, one with actual data 
and 
> > the
> > > > > second with the price terms multiplied by a constant not 
equal 
> > to 
> > > > 1. 
> > > > > put them in a single group and have AmiBroker do the work 
by 
> > > > comparing
> > > > > indicators and test results on the two files. 
> > > > > 
> > > > > You can use these tools to test your theory which, by the 
way, 
> > with
> > > > > complex formulas, is not a simplistic approach :-)
> > > > > 
> > > > > Mark
> > > > > 
> > > > > 
> > > > > 
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> 
wrote:
> > > > > > Correct me if I'm wrong, but in my wanting to think of 
things 
> > in 
> > > > > > simplistic terms what I get out of this is, if one 
constructs
> > > > > systems 
> > > > > > based on geometric oriented relationships then the 
> > relationship 
> > > > is 
> > > > > > the same after the change as it was before but not so 
with 
> > > > devices 
> > > > > > constructed based on arithmetic relationships.  This is 
> > roughly (
> > > > > or 
> > > > > > more so ) equivalent to viewing charts based on a log 
> > scale .vs. 
> > > > on 
> > > > > > an arithmetic scale, the second of which by definition 
> > provides a 
> > > > > > distorted view.
> > > > > >


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