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This new exploration by Anthony is the first one I have
ever run. I am posting my interpretation of the results to see if my
interpretation is correct. This is an
exploration that looks at whatever universe of stocks that you choose,
and tests them all to see what they do for a few days after the
pattern is detected. The first column shows the # of patterns detected,
the next column shows the # of bars that were looked at by the scan, and so on
as you read across. For instance, AAP shows that one day after the study,
12 of the 18 detected patterns were profitable to the tune of 66.67 %
had you sold all 18 of them at their closing prices of the following
day This implies that 6 of them broke even or lost money. Therefore,
the 12 profitable stocks actually made more than 66.67%, because they also had
to cover the losses of the 6 losers. Is this the correct
interpretation of the results? Since Anthony has already done all of
the heavy lifting, It might be fairly easy to change this code to
explore Oliver Velez's favorite pattern of three days
down occurring after a 30 day high. Ron D
----- Original Message -----
From: <A
title=ajf1111@xxxxxxxx href="">Anthony Faragasso
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, July 09, 2003 6:58 AM
Subject: Re: [amibroker] Re: Calculating Stats
Eugene and Dom
I have attached an image showing the
pattern...
DOM: ( yes...I have your formula completed...except
I am stuck with returning 2 values..min and max values....).
Try this:
load into AA....n last quotations and n=1...click
explore.
// setup P<FONT
color=#ff0000 size=2>attern
pat=Ref(C,-<FONT
face="Courier New" color=#ff00ff size=2>5<FONT
size=2>)>Ref<FONT
size=2>(C,-<FONT face="Courier New" color=#ff00ff
size=2>4)AND <FONT color=#0000ff
size=2>Ref(C,-<FONT face="Courier New"
color=#ff00ff size=2>3)<<FONT color=#0000ff
size=2>Ref(C,-<FONT face="Courier New"
color=#ff00ff size=2>4) AND <FONT color=#0000ff
size=2>Ref(C,-<FONT face="Courier New"
color=#ff00ff size=2>2)><FONT color=#0000ff
size=2>Ref(C,-<FONT face="Courier New"
color=#ff00ff size=2>3) AND <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>1)><FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>2) AND C ><FONT face="Courier New"
size=2> Ref<FONT
size=2>(C,-1<FONT
size=2>);
<FONT
size=2>/*********************************************************/<FONT
color=#ff0000 size=2>
// # of patterns
pat1=Cum<FONT
size=2>(pat);
//# of bars
bars=Cum<FONT
size=2>(1<FONT
size=2>);
//% Pattern
Cond1=(Cum<FONT
size=2>(pat)/Cum<FONT
size=2>(1<FONT
size=2>))*100<FONT
size=2>;
/************************************/<FONT face="Courier New"
color=#ff0000 size=2>
//# Wins
// 1 day up after
pattern
Day1up=Cum<FONT
size=2>(Ref<FONT
size=2>(pat,-1) AND
C> Ref<FONT
size=2>(C,-1<FONT
size=2>));
// 2 days up after pattern
Day2up=Cum<FONT
size=2>(Ref<FONT
size=2>(pat,-2) AND
Ref(C,-<FONT
color=#ff00ff size=2>1)><FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>2) AND C> <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>1));//2 days
up
// 3 days up after pattern
Day3up=Cum<FONT
size=2>(Ref<FONT
size=2>(pat,-3) AND
Ref(C,-<FONT
color=#ff00ff size=2>2)><FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>3) AND <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>1)> <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>2)AND C > <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>1));//3 days
up
// 4 days up after pattern
Day4up=Cum<FONT
size=2>(Ref<FONT
size=2>(pat,-4) AND
Ref(C,-<FONT
color=#ff00ff size=2>3)><FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>4) AND <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>2)> <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>3)AND <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>1) > <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>2)AND C > <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>1));//4 days
up
// % wins
Day1upPercent=(<FONT color=#0000ff
size=2>Cum(Ref<FONT
size=2>(pat,-1) AND
C > Ref<FONT
size=2>(C,-1<FONT
size=2>))/Cum<FONT
size=2>(pat))*100<FONT
size=2>;
Day2upPercent=(<FONT color=#0000ff
size=2>Cum(Ref<FONT
size=2>(pat,-2) AND
Ref(C,-<FONT
color=#ff00ff size=2>1)><FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>2) AND C> <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>1))/<FONT color=#0000ff
size=2>Cum(pat))*<FONT color=#ff00ff
size=2>100;<FONT
size=2>
Day3upPercent=(Cum<FONT
size=2>(Ref<FONT
size=2>(pat,-3) AND
Ref(C,-<FONT
color=#ff00ff size=2>2)><FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>3) AND <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>1)> <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>2)AND C > <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>1))<FONT face="Courier New"
size=2>/Cum<FONT
size=2>(pat))*100<FONT
size=2>;
Day4upPercent=(Cum<FONT
size=2>(Ref<FONT
size=2>(pat,-4) AND
Ref(C,-<FONT
color=#ff00ff size=2>3)><FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>4) AND <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>2)> <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>3)AND <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>1) > <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>2)AND C > <FONT color=#0000ff
size=2>Ref(C,-<FONT color=#ff00ff
size=2>1))<FONT face="Courier New"
size=2>/Cum<FONT
size=2>(pat))*100<FONT
size=2>;
Filter=1<FONT
size=2>;
AddColumn(pat1,<FONT color=#ff00ff
size=2>"#Pat",<FONT color=#ff00ff
size=2>1);
AddColumn(bars,<FONT color=#ff00ff
size=2>"#Bars",<FONT color=#ff00ff
size=2>1);
AddColumn(Cond1,<FONT color=#ff00ff
size=2>"%Pat",<FONT color=#ff00ff
size=2>1.2);
AddColumn(Day1up,<FONT color=#ff00ff
size=2>"#1up<FONT
color=#ff00ff size=2>",<FONT color=#ff00ff
size=2>1);
AddColumn(Day1upPercent,<FONT color=#ff00ff
size=2>"%<FONT face="Courier New" color=#ff00ff
size=2>1up",<FONT color=#ff00ff
size=2>1.2);
AddColumn(Day2up,<FONT color=#ff00ff
size=2>"#2up<FONT
color=#ff00ff size=2>",<FONT color=#ff00ff
size=2>1);
AddColumn(Day2upPercent,<FONT color=#ff00ff
size=2>"%2up<FONT
color=#ff00ff size=2>",<FONT color=#ff00ff
size=2>1.2);
AddColumn(Day3up,<FONT color=#ff00ff
size=2>"#3up<FONT
color=#ff00ff size=2>",<FONT color=#ff00ff
size=2>1);<FONT face="Courier New"
color=#0000ff size=2>
AddColumn(<FONT
size=2>Day3<FONT
size=2>upPercent,"%<FONT
face="Courier New" color=#ff00ff size=2>3<FONT color=#ff00ff
size=2>up",<FONT color=#ff00ff
size=2>1.2);
AddColumn(Day4up,<FONT color=#ff00ff
size=2>"#4up<FONT
color=#ff00ff size=2>",<FONT color=#ff00ff
size=2>1);<FONT face="Courier New"
color=#0000ff size=2>
AddColumn<FONT face="Courier New"
size=2>(Day4upPercent,<FONT face="Courier New" color=#ff00ff
size=2>"%4up",<FONT
face="Courier New" color=#ff00ff size=2>1.2<FONT face="Courier New"
size=2>);<FONT face=Arial color=#000000
size=2>
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
dom1_1998
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, July 08, 2003 9:08
AM
Subject: [amibroker] Re: Calculating
Stats
I'm going to take a WAG at saying this. But I think
Eugene may wantto know, at least I do, what's the performance if held 1
day after thecondition, 2 days after, 3 days after etc etc up to the 5th
day aftersaid cond.Dominick
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Attachment:
Description: "2 days down 3 days up.JPG"
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