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Steve,
since you are familiar with D_sat, it is interesting to see the
slightly different behavior between ^NDX and ^VLIC D_sat trading
points. Sometimes it is better to apply D_sat on a smoothed Close
array. The good coincidence here is that ^VLIC is not technically
smoothed by some math average, it is smoothed by the market.
This type of realistic smoothing is much superior compared to any
artificial math smoothing, but it is rarely available.
As for the sharing mentality, I will repeat : Back on Oct3, 2001,
196M share holders decided to Buy "the most promissing" CSCO and, in
the same session, another 196M decided to Sell "the bloody stock"
They were well informed [all of them], they were definitely right in
their decision [all of them again] and nobody could change their mind.
The tiny ^VLIC D_sat was with the buyers. Nothing more, nothing less.
I hope it will hepl for better trading, thank you for your kind
comments.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "steve_almond" <steve2@xxxx> wrote:
> 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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