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Anthony,
counting the runs up and down runs is great...I am more interested the
action after the run so that gives me a statistical probability of
what to expect.
so if the run was 2 down and then 5 up. Historically if I knew what
the action was subsequent to that 5 up run....It might help me develop
a trading system.
Got any ideas??
Thanks
Eugene
In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@xxxx> wrote:
> Dom,
>
> Price Persistency is the number of days that a market continues to
close either up or down. It's another term for a market run. As an
indicator, price persistency is a measure of a very short term trend
based only on the history of the market's movement, unfiltered by any
complex calculation; all it involves is counting.
>
> The advantage of price persistency is in its simplicity. The market
is currently in a run or it isn't. It's either been down three days in
a row or it hasn't.
>
> OverView:
>
> If you look at each day individually, the odds are nearly 50-50 that
the market would be up ( or down ) the next day. However, as the
sequences run in either direction, the likelihood of the run
continuing generally grows smaller.
>
>
/------------------------------------------------------------------------------------/
>
> I do not follow you with respect to **messing with the
formula**,,,Would you care to share your altered formula...so I may
give a more complete response...
>
> Anthony
>
>
>
>
> ----- Original Message -----
> From: dom1_1998
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, June 22, 2003 8:28 PM
> Subject: [amibroker] Price Persistency
>
>
> Hi Anthony:
>
> Being totally ignorant of programming I started messing with your
> price persistency formula.
>
> To avoid any previous numbers being included in the higher numbers I
> isolated each pattern on its own. For example:
>
> Symbol !ADR(,qp2 symbol)251 bars loaded using your formula I get:
>
> 127 1dayup, 123 1daydn, 67 2dayup, 63 2daydn, 31 3dayup, 30 3daydn,
> 17 4dayup, 12 4daydn and 11 5dayup, 4 5daydn.
>
> Isolating each pattern I now get:
> 24 1dayup, 27 1daydn, 22 2dayup, 14 2daydn, 8 3dayup, 10 daydn
> 2 4dayup, 6 4daydn, 1 5dayup, 1 5daydn.
>
> This radically reduces the hits. My question is wouldn't isolating a
> pattern provide a more accurate probability analysis then having the
> lower column numbers included in the higher number columns?
>
> JMHO,
>
> Dominick
>
>
>
>
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