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[amibroker] Re: Fw: Predictions I



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KK,
thank you for your comments.
There is a long discussion all around the world for the lag of MA 
crossovers and how to decrease it.
We may say now that we know the upcoming cross [ascending/descending]
one day before the actual fact.
More examples/applications will follow.
Stay tuned, it is interesting...
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "kk2628" <kk2628@xxxx> wrote:
> Hi DT,
> 
> Thank you very much to share. You are too precious in this list.
> 
> Thanks
> KK
>   ----- Original Message ----- 
>   From: Dimitris Tsokakis 
>   To: amibroker@xxxxxxxxxxxxxxx 
>   Sent: Wednesday, July 16, 2003 4:04 PM
>   Subject: [amibroker] Fw: Predictions I
> 
> 
>   The condition
>   DescCrossPrediction=Cross(tClose,C); 
>   predicts that a Descending MA cross will occur tomorrow.
>   It will be named
>    
>   Accurate0DescPredictions, if it is confirmed tomorrow
>   Accurate1DescPredictions, if it is confirmed 1 day later
>   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 
>   p=20;MAp=MA(C,p);
>   k=30;MAk=MA(C,k);
>   y=p*MA(C,p)-(p-1)*Ref(MA(C,p-1),-1);
>   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);
>   DescTotalPredictions=Cum(DescCrossPrediction);
>   Accurate0DescPredictions=Cum(ConfirmedDesc AND Ref
(DescCrossPrediction,-1));
>   Accurate1DescPredictions=Cum(ConfirmedDesc AND Ref
(DescCrossPrediction,-2));
>   Accurate2DescPredictions=Cum(ConfirmedDesc AND Ref
(DescCrossPrediction,-3));
>   UselessDescPredictions=Cum(ConfirmedDesc AND DescCrossPrediction);
>   AscTotalPredictions=Cum(AscCrossPrediction);
>   Accurate0AscPredictions=Cum(ConfirmedAsc AND Ref
(AscCrossPrediction,-1));
>   Accurate1AscPredictions=Cum(ConfirmedAsc AND Ref
(AscCrossPrediction,-2));
>   Accurate2AscPredictions=Cum(ConfirmedAsc AND Ref
(AscCrossPrediction,-3));
>   UselessAscPredictions=Cum(ConfirmedAsc AND AscCrossPrediction);
>   Filter=1;
>   AddColumn(100*Accurate0DescPredictions/DescTotalPredictions,"Acc0 
Desc %",1.0);
>   AddColumn(100*Accurate1DescPredictions/DescTotalPredictions,"Acc1 
Desc %",1.0);
>   AddColumn(100*Accurate2DescPredictions/DescTotalPredictions,"Acc2 
Desc %",1.0);
>   AddColumn
(100*UselessDescPredictions/DescTotalPredictions,"Useless Desc 
%",1.0);
>   AddColumn(100-Column0-Column1-Column2-Column3,"False Desc %",1.0);
>   AddColumn(100*Accurate0AscPredictions/AscTotalPredictions,"Acc0 
Asc %",1.0);
>   AddColumn(100*Accurate1AscPredictions/AscTotalPredictions,"Acc1 
Asc %",1.0);
>   AddColumn(100*Accurate2AscPredictions/AscTotalPredictions,"Acc2 
Asc %",1.0);
>   AddColumn(100*UselessAscPredictions/AscTotalPredictions,"Useless 
Asc %",1.0);
>   AddColumn(100-Column5-Column6-Column7-Column8,"False Asc %",1.0);
> 
>    
>   ----- Original Message ----- 
>   From: Dimitris Tsokakis 
>   To: 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
>   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=AscCrossPrediction OR DescCrossPrediction;
>   to see the predictions for tomorrow, or with the 
>   Filter=Ref(AscCrossPrediction OR DescCrossPrediction,-1);
>   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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