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After the use of the D_sat, posted already at
<A
href="">http://groups.yahoo.com/group/amibroker/message/43045
here is another, interesting application of the Value Line
Index, based on the D_ratio indicator.
The D_ratio is the simple (H-L)/(H+L) ratio [properly smoothed
to avoid unimportant signal noise], a measure
of the intrady volatility.
Levels D1=5, D2=13 were very friendly for the D_ratio
oscillation and gave characteristic signals for the tested period
[Jan 2001 till now]
Settings : Buy, Sell, Short, Cover at Open, delay +1,
commission 0.5%, all stops disabled.
The backtesting results :
An average +500% profit for the N100 market, 6 non-profitable
stocks [the worse was -34%] and 95 profitable
up to 4275%.
14 stocks were above +1000% and 18 were from +500% to
+1000%.
40 stocks have had 6trades/6winners/0losers.
The system does not prefer the Stoploss, as you may see from
the att. gif.
Dimitris Tsokakis
The Automatic Analysis code was
// The ^VLIC D_ratio and its application, by
D. Tsokakis, June 2003
H=Foreign(<FONT
size=2>"^VLIC","H"<FONT
size=2>);L=Foreign(<FONT
size=2>"^VLIC","L"<FONT
face=Verdana size=2>);<FONT
face="Times New Roman">
Dratio=1000<FONT face=Verdana
size=2>*(H-L)/(H+L);<FONT
face="Times New Roman">
Z=20<FONT
face="Times New Roman">;
D1=Optimize(<FONT
size=2>"D1",5<FONT
size=2>,5,<FONT
size=2>8,1<FONT face=Verdana
size=2>);
D2=Optimize(<FONT
size=2>"D2",13<FONT
size=2>,10,<FONT
size=2>13,1<FONT face=Verdana
size=2>);
RRR=DEMA<FONT
face="Times New Roman">(Dratio,Z);
F1=RRR>=D2;F2=RRR<=D1;<FONT
face="Times New Roman">
x=DateNum()><FONT
size=2>1010101<FONT
face="Times New Roman">;
Sell=x*F2;Buy=x*F1;Buy=ExRem<FONT
size=2>(Buy,Sell);Sell=ExRem<FONT face=Verdana
size=2>(Sell,Buy);<FONT
face="Times New Roman">
Short=Sell;Cover=Buy;Short=ExRem<FONT
size=2>(Short,Cover);Cover=ExRem<FONT face=Verdana
size=2>(Cover,Short);<FONT
face=Verdana size=2>
ApplyStop(0<FONT
size=2>,1,<FONT
size=2>Optimize("STOP"<FONT
size=2>,100,<FONT
size=2>10,100<FONT
size=2>,10),<FONT
size=2>1<FONT
face="Times New Roman">);
For the Indicator
Builder window, paste the
<FONT
face=Verdana size=2>
H=Foreign(<FONT
size=2>"^VLIC","H"<FONT
size=2>);L=Foreign(<FONT
size=2>"^VLIC","L"<FONT
face=Verdana size=2>);<FONT
face="Times New Roman">
R=1000<FONT
face="Times New Roman">*(H-L)/(H+L);
Z=20<FONT
face="Times New Roman">;
D1=<FONT
face="Times New Roman">Optimize("D1",5,2,20,1);<FONT
face=Verdana size=2>
D2=Optimize(<FONT
size=2>"D2",13<FONT
size=2>,2,<FONT
size=2>20,1<FONT face=Verdana
size=2>);
RRR=DEMA<FONT
face="Times New Roman">(R,Z);
F1=RRR>=D2;F2=RRR<=D1;<FONT
face="Times New Roman">
Sell=F2;Buy=F1;Buy=ExRem<FONT
size=2>(Buy,Sell);Sell=ExRem<FONT face=Verdana
size=2>(Sell,Buy);<FONT
face="Times New Roman">
Short=Sell;Cover=Buy;Short=ExRem<FONT
size=2>(Short,Cover);Cover=ExRem<FONT face=Verdana
size=2>(Cover,Short);<FONT
face=Verdana size=2>
Plot(rrr,"^VLIC
D-ratio",1<FONT
size=2>,1);<FONT
size=2>Plot(d1,"D1"<FONT
size=2>,8,<FONT
size=2>1);Plot<FONT
size=2>(d2,"D2",<FONT
size=2>8,1<FONT face=Verdana
size=2>);<FONT
face=Verdana size=2>
Plot(Buy*rrr,"Buy"<FONT
size=2>,5,<FONT
size=2>2);Plot<FONT
size=2>(Sell*rrr,"Sell",<FONT
size=2>4,2<FONT face=Verdana
size=2>);
to watch the ^VLIC
D_ratio oscillations.
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Attachment:
VlicDratio.gif
Attachment:
Description: "Description: GIF image"
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