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Dimitris,
Thanks for sharing your work on this interesting indicator. Your
unselfishness in presenting all your ideas is an example to us all.
Thanks also to Chuck for the original idea of using ^VLIC.
Steve
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx> wrote:
> 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
> > > >
> > > >
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