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[amibroker] Re: Dimensionally Coherent Relative Strength



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You never said much of anything as far as I can tell.

Take your prozac and be a good little boy.

--- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> I never said PFE.  I was talking about Hannula's fractal efficiency
> indicator in Eckhardt's article which is a variant, but what's your
> point? The only practical issue I see in your previous post is that 
an
> indicator containing the condition C-Ref(C,-9) can be dimensionally
> coherent or not depending on what else is in the indicator, easily
> verified by either of the two methods I posted earlier. If you want 
to
> debate semantics, get your facts straight, start a semantics thread
> and do it with someone else.
> 
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <fctonetti@xxxx> wrote:
> > 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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