[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

[amibroker] Re: ^VLIC : The use of the D_ratio (for Jason)



PureBytes Links

Trading Reference Links

Hi, Chuck,

"letting the market dictate values for D1 and D2 dramatically 
outperforms any constant values that you care to use."

Would you kindly give an example, any exmaple, explains this idea? 

Thanks...


Thomas

--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher" 
<chuck_rademacher@x> wrote:
> Jason, I thought that I had provided enough information for anyone
> interested to experiment.    Try these changes:
> 
> DRatio = 1000*(High-Low)/(High+Low);
> AvgRatio = MA(DRatio,Lookback);
> D2 = AvgRatio*Mplr1;
> D2 = AvgRatio * Mplr2;
> 
> I'll leave you to find values for Lookback, Mplr1 and Mplr2 that 
suit your
> trading style.   I would suggest that values between one and three 
may be of
> interest.
> 
> The AFL above translates to this English statement that I did post 
in my
> earlier email:
> 
> "The easiest to comprehend method of making the system more 
adaptable simply
> takes a 100-day (or so) moving average of DRatio and sets D1 and D2 
to
> multiples of that average."
> 
> This simple method isn't necessarily the best.   IMO, however, 
letting the
> market dictate values for D1 and D2 dramatically outperforms any 
constant
> values that you care to use.
> 
> 
> 
> 
>   -----Original Message-----
>   From: Jayson [mailto:jcasavant@x...]
>   Sent: Thursday, June 26, 2003 9:03 AM
>   To: amibroker@xxxxxxxxxxxxxxx
>   Subject: RE: [amibroker] Re: ^VLIC : The use of the D_ratio (for 
Steve)
> 
> 
>   Chuck,
>   since DT was kind enough to post his effort perhaps you would be 
kind
> enough to post the best of your dozen variations that work quite 
nicely??
> 
>   Regards,
>   Jayson
>   -----Original Message-----
>   From: Chuck Rademacher [mailto:chuck_rademacher@x...]
>   Sent: Thursday, June 26, 2003 5:50 AM
>   To: amibroker@xxxxxxxxxxxxxxx
>   Subject: RE: [amibroker] Re: ^VLIC : The use of the D_ratio (for 
Steve)
> 
> 
>   Steve, you are quite right.   I tried the D_Ratio back to 1960 
and it did
> about four trades before 1997.   More importantly, it is it is 
unikely to
> trade well going forward.
> 
>   It doesn't take much, however, to make the D-Ratio thingie a bit 
more
> dynamic.   I've tried about a dozen variations that work quite 
nicely.
> The easiest to comprehend simply takes a 100-day (or so) moving 
average of
> DRatio and sets D1 and D2 to multiples of that average.   Why would 
anyone
> hard code D1 and D2 to such arbitrary values based on such a short 
lookback?
> Making the whole process dynamic causes it to trade fairly 
consistently,
> month after month going back to 1960 with reasonable returns.   
Plus the
> bonus of a better chance of working into the future.
>     -----Original Message-----
>     From: Steve Almond [mailto:steve2@x...]
>     Sent: Thursday, June 26, 2003 5:19 AM
>     To: Ami
>     Subject: [amibroker] Re: ^VLIC : The use of the D_ratio
> 
> 
>     Dimitris,
> 
>     We have visited this area before. The D-Ratio indicator falls 
apart once
> taken out of the last few years of bearish conditions. See the 
attached
> chart where D_Ratio for ^VLIC took us out of the ^NDX in mid 
November 1998
> at ~1460, and kept us on the sidelines as the ^NDX went to ~4700.
> 
>     I know you don't keep data back before 2000, but you should in 
my
> opinion - unless you are sure that the coming year will be like 
2000-2002
> and not like 1997-1999! Even if you do not backtest on 1997-1999 
data, you
> should be prepared to observe the behaviour of your excellent 
indicators
> during that period.
> 
>     Steve
> 
> 
>     Send BUG REPORTS to bugs@xxxx
>     Send SUGGESTIONS to suggest@xxxx
>     -----------------------------------------
>     Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
>     (Web page: http://groups.yahoo.com/group/amiquote/messages/)
>     --------------------------------------------
>     Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> 
>     Your use of Yahoo! Groups is subject to the Yahoo! Terms of 
Service.
> 
> 
> 
>   Send BUG REPORTS to bugs@xxxx
>   Send SUGGESTIONS to suggest@xxxx
>   -----------------------------------------
>   Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
>   (Web page: http://groups.yahoo.com/group/amiquote/messages/)
>   --------------------------------------------
>   Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> 
>   Your use of Yahoo! Groups is subject to the Yahoo! Terms of 
Service.
> 
>         Yahoo! Groups Sponsor
>               ADVERTISEMENT
> 
> 
> 
> 
>   Send BUG REPORTS to bugs@xxxx
>   Send SUGGESTIONS to suggest@xxxx
>   -----------------------------------------
>   Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
>   (Web page: http://groups.yahoo.com/group/amiquote/messages/)
>   --------------------------------------------
>   Check group FAQ at:
> http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> 
>   Your use of Yahoo! Groups is subject to the Yahoo! Terms of 
Service.


------------------------ Yahoo! Groups Sponsor ---------------------~-->
Get A Free Psychic Reading! Your Online Answer To Life's Important Questions.
http://us.click.yahoo.com/Lj3uPC/Me7FAA/ySSFAA/GHeqlB/TM
---------------------------------------------------------------------~->

Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx 
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html 

Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/