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Chuck,
Here is the D_sat code for ^VLIC.
[For my D_sat, the Saturation Indicator, see
http://www.amibroker.com/library/detail.php?id=238]
My research for N100 database from Apr2000 till now gives excellent
results.
The system defines 13 trades for this period and was up to +650%
profitable for the whole market.
Buy and Sell signals were very close to the main market changes and,
because of the existing directionality, only 15% of the stocks have
losses.
The 85% was profitable [trades at +1 Open, commission 0.5%, all stops
disabled] and 15 of them wrote 4-digit profits up to +8250%.
Although the period was bearish, in general, The Long Only system was
one of the best :
7 trades, 38% exposure, only 8 loosing stocks from -0.04% down to
-42% and the rest 94 were profitable up to +1500%
The market reached total net profit +166%, quite remarkable for the
tested period.
C=Foreign("^VLIC","C");
P=30;
CMO30=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref
(C,-1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)
+(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));
C1=DEMA(CMO30,30);
D_sat10=RSIA(C1,10);
D_sat5=RSIA(C1,5);
Plot(D_sat10,"D_sat10",1,1);
Plot(D_sat5,"D_sat5",5,1);Plot(D_sat5-D_sat10,"D_sat difference",9,2);
k=0.1*Optimize("K",18,9,19,1);
KK=Optimize("KK",98,97,98,1);
si=DateNum()>1000401;
Sell=si*(Cross(D_sat10,D_sat5) AND Ref(D_sat5,-1)>KK);
Buy=si*(Cross(D_sat5,D_sat10) AND Ref(d_sat5,-1)<k);
Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
Short=Sell;Cover=Buy;
Short=ExRem(Short,Cover);Cover=ExRem(Cover,Short);
Note also that the respective systems for C=Foreign("^NDX","C");
slightly exceed the +60% with almost equal # of winning-loosing
trades.
You were right, ^VLIC is smoother than ^NDX and D_sat did not loose
the opportunity to "see" the difference.
I will try comparisons with other indicators, thank you for pointing
out this interesting tool.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> DT,
>
> I am looking forward to hearing about your trials with ^VLIC. I
find it to
> be an excellent instrument for timing the market, as it has fewer
whipsaws.
> It also has more historical data than many of the other
alternatives.
> -----Original Message-----
> From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Sent: Sunday, June 22, 2003 4:20 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: Weighted Stochastics
>
>
> Bob,
> thank you for the translation.
> BTW, Ref is not discovered yet ?
> As for the Wstoch, nothing important there, I think...
> ^VLIC is quite interesting, thanks to Chuck suggestion.
> My first D_sat trial gave some astronomical results.
> I am far from my office now, you will enjoy ^VLIC systems
tomorrow.
> thanks again
> Dimitris
> --- In amibroker@xxxxxxxxxxxxxxx, "Bob Jagow" <bjagow@xxxx> wrote:
> > Dimitris,
> > It's pretty straightforward except for
> > Set Stochastic = 89,21,5;
> > which sets period, %K MA, and %D MA [which isn't used.
> > he then gets the 1st term for the current day [ (0) ]with
> > a := .43*StochasticPctK(0);
> > and goes on to get a total of 5 terms for the current day and,
per
> the dumb
> > coding, repeats to get the previous day.
> >
> > I'm sure you understand if wstocha > wstochb and wstocha > 12
then
> [select
> > this stock].
> >
> > So all you need to do is write and call
> > function (myStoch(len, maLen) { }
> > It's probably pertinent, however, that Landis wrote it in
TC2000,
> which
> > substitutes C for H & L in the Stoch calc.
> >
> > Bob
> >
> >
> > -----Original Message-----
> > From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> > Sent: Sunday, June 22, 2003 2:45 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] Re: Weighted Stochastics
> >
> >
> > Anthony,
> > I just wanted to reproduce Landis code and see how it works.
> > Anyway, we shall survive even without it !!
> > DT
> > --- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso"
<ajf1111@xxxx>
> > wrote:
> > > Dimitri,
> > >
> > > I do not know the formula..but , could you use
> > >
> > > Plot(wma(stochk(),10),"WS",colorblue,styleline);
> > >
> > >
> > > ----- Original Message -----
> > > From: DIMITRIS TSOKAKIS
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Saturday, June 21, 2003 11:52 AM
> > > Subject: [amibroker] Weighted Stochastics
> > >
> > >
> > > Does anybody knows QP code to translate in AFL the Weighted
> > > Stochastics by Jack Landis ?
> > >
http://www.geocities.com/WallStreet/Exchange/1216/scansw.html
> > > DT
> > >
> > >
> > > Yahoo! Groups Sponsor
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