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Thanks for the clarification. I misunderstood your original message.
I thought Mplr1, Mplr2 are themselves are market dynamic in nature
also.
Thomas
--- In amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"
<chuck_rademacher@x> wrote:
> 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
>
> DRatio = 1000*(High-Low)/(High+Low);
> AvgRatio = MA(DRatio,Lookback); // You decide the lookback period
> D2 = AvgRatio*Mplr1; // You decide this multiplier
> D2 = AvgRatio * Mplr2; // You decide this multiplier too
>
> or, in English:
>
> "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."
>
>
>
> -----Original Message-----
> From: tchan95014 [mailto:tchan95014@x...]
> Sent: Thursday, June 26, 2003 3:33 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [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@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
> >
> >
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