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The condition
DescCrossPrediction=Cross(tClose,C);
predicts that a Descending MA cross will occur
tomorrow.
It will be named
<FONT
face="Times New Roman">
Accurate0DescPredictions, if it is confirmed tomorrow<FONT
face=Verdana size=2>
Accurate1DescPredictions, if it is confirmed 1 day later<FONT
face=Verdana size=2>
Accurate2DescPredictions, if it is confirmed 2 days
later
UselessDescPredictions, if it is simultaneous
with the prediction
False, if it does not belong in one above
category.
[Last bar predictions are also considered as
false, although the majority will be confirmed tomorrow...]
Similar terminology is used for the Ascending
crosses.
The N100 results from Jan2000 till now are
enthusiastic and, in practical terms, we may say that we can have a safe
prediction
for the [unknown] next bar MA
cross.
Explore your database for the n=1 last
quotations with
// MA cross Prediction Statistics, by Dimitris
Tsokakis, July 2003 <FONT
face="Times New Roman">
p=20;MAp=<FONT
size=2>MA(C,p);<FONT face=Verdana
size=2>
k=30;MAk=<FONT
size=2>MA(C,k);<FONT face=Verdana
size=2>
y=p*MA(C,p)-(p-<FONT
size=2>1)*Ref<FONT
size=2>(MA(C,p-<FONT
size=2>1),-1<FONT
size=2>);<FONT face=Verdana
size=2>
tClose=(p*(k-1)*<FONT
size=2>MA(C,k-1<FONT
size=2>)-k*(p-1)*<FONT
size=2>MA(C,p-1<FONT face=Verdana
size=2>))/(k-p);<FONT
face="Times New Roman">
DescCrossPrediction=Cross<FONT
face=Verdana size=2>(tClose,C);<FONT
face="Times New Roman">
AscCrossPrediction=Cross<FONT
face=Verdana size=2>(C,tClose);<FONT
face="Times New Roman">
ConfirmedDesc=Cross<FONT face=Verdana
size=2>(MAk,MAp);<FONT
face="Times New Roman">
ConfirmedAsc=Cross<FONT face=Verdana
size=2>(MAp,MAk);<FONT
face="Times New Roman">
DescTotalPredictions=Cum<FONT
face=Verdana size=2><FONT
face="Times New Roman">(DescCrossPrediction);<FONT
face="Times New Roman">
Accurate0DescPredictions=Cum<FONT
size=2>(ConfirmedDesc AND Ref<FONT
size=2>(DescCrossPrediction,-1<FONT face=Verdana
size=2>));<FONT
face="Times New Roman">
Accurate1DescPredictions=Cum<FONT
size=2>(ConfirmedDesc AND Ref<FONT
size=2>(DescCrossPrediction,-2<FONT face=Verdana
size=2>));<FONT
face="Times New Roman">
Accurate2DescPredictions=Cum<FONT
size=2>(ConfirmedDesc AND Ref<FONT
size=2>(DescCrossPrediction,-3<FONT face=Verdana
size=2>));<FONT
face="Times New Roman">
UselessDescPredictions=Cum<FONT
face=Verdana size=2>(ConfirmedDesc AND
DescCrossPrediction);
AscTotalPredictions=Cum<FONT face=Verdana
size=2>(AscCrossPrediction);<FONT
face="Times New Roman">
Accurate0AscPredictions=Cum<FONT
size=2>(ConfirmedAsc AND Ref<FONT
size=2>(AscCrossPrediction,-1<FONT face=Verdana
size=2>));<FONT
face="Times New Roman">
Accurate1AscPredictions=Cum<FONT
size=2>(ConfirmedAsc AND Ref<FONT
size=2>(AscCrossPrediction,-2<FONT face=Verdana
size=2>));<FONT
face="Times New Roman">
Accurate2AscPredictions=Cum<FONT
size=2>(ConfirmedAsc AND Ref<FONT
size=2>(AscCrossPrediction,-3<FONT face=Verdana
size=2>));<FONT
face="Times New Roman">
UselessAscPredictions=Cum<FONT
face=Verdana size=2>(ConfirmedAsc AND
AscCrossPrediction);
Filter=1<FONT
face="Times New Roman">;<FONT
face="Times New Roman">
AddColumn(100<FONT
size=2>*Accurate0DescPredictions/DescTotalPredictions,"Acc0
Desc %",1.0<FONT face=Verdana
size=2>);<FONT
face=Verdana size=2>
AddColumn(100<FONT
size=2>*Accurate1DescPredictions/DescTotalPredictions,"Acc1
Desc %",1.0<FONT face=Verdana
size=2>);<FONT
face=Verdana size=2>
AddColumn(100<FONT
size=2>*Accurate2DescPredictions/DescTotalPredictions,"Acc2
Desc %",1.0<FONT face=Verdana
size=2>);<FONT
face=Verdana size=2>
AddColumn(100<FONT
size=2>*UselessDescPredictions/DescTotalPredictions,"Useless
Desc %",1.0<FONT face=Verdana
size=2>);<FONT
face=Verdana size=2>
AddColumn(100<FONT
size=2>-Column0-Column1-Column2-Column3,"False Desc
%",1.0<FONT face=Verdana
size=2>);<FONT
face=Verdana size=2>
AddColumn(100<FONT
size=2>*Accurate0AscPredictions/AscTotalPredictions,"Acc0
Asc %",1.0<FONT face=Verdana
size=2>);<FONT
face=Verdana size=2>
AddColumn(100<FONT
size=2>*Accurate1AscPredictions/AscTotalPredictions,"Acc1
Asc %",1.0<FONT face=Verdana
size=2>);<FONT
face=Verdana size=2>
AddColumn(100<FONT
size=2>*Accurate2AscPredictions/AscTotalPredictions,"Acc2
Asc %",1.0<FONT face=Verdana
size=2>);<FONT
face=Verdana size=2>
AddColumn(100<FONT
size=2>*UselessAscPredictions/AscTotalPredictions,"Useless
Asc %",1.0<FONT face=Verdana
size=2>);<FONT
face=Verdana size=2>
AddColumn(100<FONT
size=2>-Column5-Column6-Column7-Column8,"False Asc
%",1.0<FONT face=Verdana
size=2>);
----- Original Message -----
From: <A
href="" title=tsokakis@xxxxxxxxx>Dimitris Tsokakis
To: <A href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, July 15, 2003 5:35 PM
Subject: Predictions I
We may calculate the next bar Close necessary for a MA(C,p) to
cross another MA(C,k).
I will overcome this procedure and I will try just to predict
if a cross will occur tomorrow.
For your AA window explore for the n=1 last quotations
with
// Prediction for a cross of two moving averages
<FONT
size=2>p=20;MAp=MA(C,p);Plot(MAp,"",1,8);k=30;MAk=MA(C,k);Plot(MAk,"",2,8);y=p*MA(C,p)-(p-1)*Ref(MA(C,p-1),-1);//Plot(Ref(C,0),"",7,8);tClose=(p*(k-1)*MA(C,k-1)-k*(p-1)*MA(C,p-1))/(k-p);DescCrossPrediction=Cross(tClose,C);AscCrossPrediction=Cross(C,tClose);ConfirmedDesc=Cross(MAk,MAp);ConfirmedAsc=Cross(MAp,MAk);Title=Name()+WriteIf(ConfirmedDesc,",
Confirmed descending MAcross","")+WriteIf(DescCrossPrediction,", A
descending MAcross will occur tomorrow","")+WriteIf(ConfirmedAsc,",
Confirmed ascending MAcross","")+WriteIf(AscCrossPrediction,", An ascending
MAcross will occur
tomorrow","");Filter=1;AddColumn(Cum(DescCrossPrediction),"Predicted
DescCrosses",1.0);AddColumn(Cum(ConfirmedDesc),"Confirmed
DescCrosses",1.0);AddColumn(100*Cum(DescCrossPrediction)/Cum(ConfirmedDesc),"Desc
%");AddColumn(Cum(AscCrossPrediction),"Predicted
AscCrosses",1.0);AddColumn(Cum(ConfirmedAsc),"Confirmed
AscCrosses",1.0);AddColumn(100*Cum(AscCrossPrediction)/Cum(ConfirmedAsc),"Asc
%",1.0);
to see the commulative predicted/actual cross
relation.
Replace the Filter=1; line with the
Filter=<FONT
color=#000000 face="Times New Roman">AscCrossPrediction OR
DescCrossPrediction;
<FONT color=#000000
face="Times New Roman">to see the predictions for tomorrow, or with the
<FONT color=#000000
face="Times New Roman">Filter=<FONT color=#ffffe0
face=Verdana><FONT color=#000000 face="Times New Roman"
size=2>Ref(AscCrossPrediction OR DescCrossPrediction,-1);<FONT
size=2>
to see the confirmed
crosses
The commulative view for my favorites selection is in the
attached gif.
A detailed analysis will follow.
Use the same formula in Indicator Builder or Interpretation
window.
Dimitris Tsokakis
[to be continued]
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Attachment:
PredictStat.gif
Attachment:
Description: "Description: GIF image"
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