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



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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 
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