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I did
give an example. At the risk of having the same thing repeated five
times in this email, I'll repeat it here for you
<FONT face=Arial color=#0000ff
size=2>
<FONT face="Courier New"
size=4>DRatio = 1000*(High-Low)/(High+Low);AvgRatio =
MA(DRatio,Lookback); // You decide the lookback periodD2 =
AvgRatio*Mplr1; //
You decide this multiplierD2 = AvgRatio *
Mplr2; // You decide
this multiplier too
<FONT face="Courier New"
size=4>
<FONT face="Courier New"
color=#ff0000 size=4>or, in English:
<FONT face="Courier New"
size=4>
"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."
<FONT face=Arial color=#0000ff
size=2>
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: tchan95014
[mailto:tchan95014@xxxxxxxxx]Sent: Thursday, June 26, 2003 3:33
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
^VLIC : The use of the D_ratio (for Jason)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@xxxx]> 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@xxxx]>
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@xxxx]> 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>
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