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RE: [amibroker] ^VLIC [was Re: Weighted Stochastics]



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<FONT face=Arial color=#0000ff 
size=2>Excellent results.  I'm delighted that you were able to utilise the 
^VLIC in a meaningful way.  Thanks too, for sharing your AFL with 
us.   I'm going to have a very close look at it right 
now.
<BLOCKQUOTE 
>
  <FONT face="Times New Roman" 
  size=2>-----Original Message-----From: DIMITRIS TSOKAKIS 
  [mailto:TSOKAKIS@xxxxxxxxx]Sent: Monday, June 23, 2003 3:48 
  AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] 
  ^VLIC [was Re: Weighted Stochastics]Chuck,Here is 
  the D_sat code for ^VLIC.[For my D_sat, the Saturation Indicator, see 
  <A 
  href="">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@xxxx]>   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@xxxx]>   > 
  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 
  ?>   > >   <A 
  href="">http://www.geocities.com/WallStreet/Exchange/1216/scansw.html>   
  > >   DT>   > >>   
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