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



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<SPAN 
class=125352505-27062003>Chuck,
I must 
have missed your post. Thanks for sharing, I will do some 
experimenting.
 
Regards, 
Jayson 
<FONT face=Tahoma 
size=2>-----Original Message-----From: Chuck Rademacher 
[mailto:chuck_rademacher@xxxxxxxxxx]Sent: Thursday, June 26, 2003 
3:15 PMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: 
[amibroker] Re: ^VLIC : The use of the D_ratio (for Jason)
Jason, 
I thought that I had provided enough information for anyone interested to 
experiment.    Try these changes:
<FONT color=#0000ff face=Arial 
size=2> 
DRatio 
= 1000*(High-Low)/(High+Low);
<FONT color=#0000ff face=Arial 
size=2>AvgRatio = MA(DRatio,Lookback);
D2 = 
AvgRatio*Mplr1;
D2 = 
AvgRatio * Mplr2;
<FONT color=#0000ff face=Arial 
size=2> 
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.
<FONT color=#0000ff face=Arial 
size=2> 
The 
AFL above translates to this English statement that I did post in my earlier 
email:
<FONT color=#0000ff face=Arial 
size=2> 
"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 color=#0000ff face=Arial 
size=2> 
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.   
<FONT color=#0000ff face=Arial 
size=2> 
<FONT color=#0000ff face=Arial 
size=2> 
<FONT color=#0000ff face=Arial 
size=2> 
<FONT color=#0000ff face=Arial 
size=2> 
<BLOCKQUOTE 
>
  <FONT face="Times New Roman" 
  size=2>-----Original Message-----From: Jayson 
  [mailto:jcasavant@xxxxxxxxxxx]Sent: Thursday, June 26, 2003 9:03 
  AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: [amibroker] 
  Re: ^VLIC : The use of the D_ratio (for Steve)
  <SPAN 
  class=420170113-26062003>Chuck,
  <SPAN 
  class=420170113-26062003>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 
  <FONT face=Tahoma 
  size=2>-----Original Message-----From: Chuck Rademacher 
  [mailto:chuck_rademacher@xxxxxxxxxx]Sent: Thursday, June 26, 2003 
  5:50 AMTo: amibroker@xxxxxxxxxxxxxxxSubject: RE: 
  [amibroker] Re: ^VLIC : The use of the D_ratio (for 
Steve)
  <FONT color=#0000ff face=Arial 
  size=2>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.
  <FONT color=#0000ff face=Arial 
  size=2> 
  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.
  <BLOCKQUOTE 
  >
    <FONT face="Times New Roman" 
    size=2>-----Original Message-----From: Steve Almond 
    [mailto:steve2@xxxxxxxxxxxxxxxxxxxx]Sent: Thursday, June 26, 2003 
    5:19 AMTo: AmiSubject: [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.
     
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