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DT,
Your 'Predictions' series is very nice indeed.
I did your original exploration against a few baskets of stocks and
got the same results you did.
Don't know if I'll be able to bring any value to the discussion, but I
wanted to thank you.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx>
wrote:
> Let us see now the more realististic approach:
> Hypothesis : We do not expect for tomorrow a daily return greater
than +50% OR less than -50% .
> Then you will find out very few days to expect the MAcrossover.
> Some times we see two or three premature signals before the main one.
> This observation helps to speculate in advance the upcoming MAcross
and find best intraday prices for your movement.
> We may have 3 types of signals
> *EXPECT an MAcross SOON
> *EXPECT an MAcross TOMORROW
> *an MAcross confirmation
> to check the value of the method.
> Use for your ind. builder [interpretation window] the code
>
> // MA cross Expectation
> 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);
> ExpectMAcross=DescCrossPrediction OR AscCrossPrediction;
> Filter=tClose<0.5*C OR tClose>1.5*C;
> AddColumn(MAp,"MAp");
> AddColumn(MAk,"MAk");
> Plot(C,"",7*Filter+1,64);
> Plot(MAp,"",4,1);Plot(MAk,"",5,1);
> bars=BarsSince(Cross(MAp,MAk) OR Cross(MAk,MAp));
> expect=NOT(Filter) AND NOT(ExpectMAcross);
> Title=Name()+" , "+WriteIf(expect AND bars>=2,"EXPECT an MAcross
SOON","")+
> WriteIf(ExpectMAcross,"EXPECT an MAcross TOMORROW","");
> to read the respective signals.
> In the att. gif, all the olive candles are far from any probable
MAcross, the big black candle gives
> the premature expectation signal and the very next bar predicts
[successfully] that an MAcross will occur tomorrow.
> Dimitris Tsokakis
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, July 17, 2003 11:17 AM
> Subject: Fw: Predictions I
>
>
> The conditions DescCrossPrediction or AscCrossPrediction give a
quite reliable warning for an upcoming MA cross, bullish or bearish.
> There are some periods when this cross is IMPOSSIBLE and may be
accurately idendified.
> This tClose is the virtual next bar Close which will fulfill the
condition MA(C,p)=MA(C;k).
> The argument is quite simple:
>
> If tClose is negative, then it is IMPOSSIBLE to see an MAcross tomorrow.
>
> [Of course there are many other cases we may exclude, for example
tClose=0.1*C, since we do not expect a -90% daily return for CSCO !!!
> but, in this formula we just want to investigate the theoretical
IMPOSSIBLE]
> For your indicator builder [or AA] use the
>
> // Impossible MA cross Prediction
> 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);
> Filter=tClose<0;
> AddColumn(MAp,"MAp");
> AddColumn(MAk,"MAk");
> Plot(C,"",6*Filter+1,64);
> Plot(MAp,"",4,1);Plot(MAk,"",5,1);
> In AA explore the database for the n=1 last quotations to see all
these stocks you do not expect an MA cross, bullish or bearish.
> Any MAcross technique should be applied to the rest...
> For July16 there were 18 N100 stocks indifferent for an MAcross.
> Dimitris Tsokakis
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, July 16, 2003 11:04 AM
> Subject: 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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