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Chuck,
the parallel lines D1, D2 are nothing but an approximation of the
D_ratio curved boundaries.
For extended periods the whole picture is curvilinear, the zoom-in
picture is the two parallels [see some introductory gifs]
The principle is the same, I try to take some positions when D_ratio
exceeds some level [fixed or moving] and, respectively, falls below
some other level.
D_ratio is not a usual [0,100] oscillator and needs this different
handling. [A [0,100] normalisation would be another solution too.]
Let us try to see the forest, if any, not the single tree.
DT
--- 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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