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Chuck,
All credits belong to you.
I didnīt have the slightest idea about ^VLIC two days ago, as you
remember. The general first view left the impression of a "nice"
curve, the rest is an already prepared work. D_sat, D_ratio etc are
designed for this purpose, they co-operate very well with some guide-
stocks.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> 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.
> -----Original Message-----
> From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Sent: Monday, June 23, 2003 3:48 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] ^VLIC [was Re: Weighted Stochastics]
>
>
> 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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