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[amibroker] Re: Price Persistency



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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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