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Four consecutive days the Interpretation window
reading for ^VLIC was "Expect a bearish MAcross soon"
The "Expect a bearish MAcross tomorrow" did not
appear.
Some other time, not now.
Some "back to the top" attempt was
better.
The same period, the contrarian ^VIX was warning
"Expect a bullish MAcross soon".
But, he didn´t.
Better to go lower now and try later.
For the indicator builder/interpretation window the
code was
<FONT color=#ffffe0
size=2>
// MA cross Prediction
p=20;MAp=<FONT
size=2>MA(C,p);<FONT
face=Arial>
k=30;MAk=<FONT
size=2>MA(C,k);<FONT
face=Arial>
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
size=2>))/(k-p);
DescCrossPrediction=Cross<FONT
size=2>(tClose,C);
AscCrossPrediction=Cross<FONT
size=2>(C,tClose);
ExpectMAcross=DescCrossPrediction OR
AscCrossPrediction;
Confirmed=Cross(MAk,MAp) OR
Cross<FONT
face=Arial>(MAp,MAk);
UR=2*<FONT
size=2>Highest(ROC<FONT
size=2>(C,1));LR=<FONT
size=2>2*Lowest<FONT
size=2>(ROC(C,<FONT
size=2>1));<FONT
face=Arial>
Ucoeff=1+UR/<FONT
size=2>100;Lcoeff=1<FONT
size=2>+LR/100<FONT
face=Arial>;
Filter=tClose<Lcoeff*C OR
tClose>Ucoeff*C;
AddColumn(MAp,"MAp"<FONT
size=2>);
AddColumn(MAk,"MAk"<FONT
size=2>);
Plot(C,""<FONT
size=2>,7*Filter+<FONT
size=2>1,64<FONT
size=2>);
Plot(MAp,""<FONT
size=2>,4,<FONT
size=2>1);Plot<FONT
size=2>(MAk,"",<FONT
size=2>5,1<FONT
size=2>);
bars=<FONT
size=2>BarsSince(Cross<FONT
size=2>(MAp,MAk) OR Cross<FONT
size=2>(MAk,MAp));
expect=NOT(Filter);
Title=Name()+"
, "+
WriteIf(expect AND NOT(expectMAcross) AND
NOT(Confirmed) AND bars>3 AND
tClose<C,"EXPECT a bearish MAcross SOON"<FONT
size=2>,"")+<FONT
size=2>
WriteIf(expect AND NOT(expectMAcross) AND
NOT(Confirmed) AND bars>3 AND
tClose>C,"EXPECT a bullish MAcross SOON"<FONT
size=2>,"")+<FONT
size=2>
WriteIf(DescCrossPrediction,"EXPECT
a bearish MAcross TOMORROW",<FONT
size=2>"")+<FONT
face=Arial>
WriteIf(AscCrossPrediction,"EXPECT
a bullish MAcross TOMORROW",<FONT
size=2>"")+<FONT
face=Arial>
WriteIf(Cross<FONT
size=2>(MAp,MAk)," , Bullish MAcross"<FONT
size=2>,"")+<FONT
size=2>WriteIf(Cross<FONT
size=2>(MAk,MAp)," , Bearish MAcross"<FONT
size=2>,"");
The same story was described by the Prediction
curves graph.
The [black] MAcrossClose attempted to cross the
[green] actual ^VLIC Close line, but the last moment change its
direction.
The [red] EMAcrossClose was watching from a
distance, without any specific intention to cross the actual Close.
For ^VIX the graph was more dramatic. The black line was
ready to cross the green and change direction the last two days.
The message was clear from both sides : Let´s go
back to the top for a while and leave the bearish mood for another [better]
opportunity.
Dimitris Tsokakis
----- Original Message -----
From: <A
href="" title=tsokakis@xxxxxxxxx>Dimitris Tsokakis
To: <A href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, July 23, 2003 10:38 AM
Subject: MAcross, EMAcross Prediction [a qualitative
description]
As explained at
<FONT
color=#000000 face=Arial
size=2>http://groups.yahoo.com/group/amibroker/message/44790
the next bar Close necessary for an MAk, MAp cross
is
MAcrossClose=(p*(k-1)*<FONT
size=2>MA(C,k-1<FONT
size=2>)-k*(p-1)*<FONT
size=2>MA(C,p-1<FONT
size=2>))/(k-p);
With similar math procedure we may calculate the
next bar Close necessary for an EMAk, EMAp cross
<FONT
face=Arial>
EMAcrossClose=((p+1)*(k-<FONT
size=2>1)*EMAk-(k+1<FONT
size=2>)*(p-1)*EMAp)/(<FONT
size=2>2*(k-p));
Let us see a qualitative comparison:
The green line is the actual Close, the red is the
EMAcrossClose and the black is the MAcrossClose.
We may see some periods with absurd high [or low]
values. The trend is very strong, a probable cross
which would signal the change of the trend is not
visible in the near future.
The highest [lowest] prediction curves point gives
the turning point of the market.
[H1, L1 for the MAcrossClose and H2, L2 for the
EMAcrossClose ]
A descending cross confirms the bullish
trend.[point X]
An ascending cross confirms the bearish trend.
[point Y]
When both red/black lines are descending, we have a
mutual confirmation of the trend.
[covariant lines area]
When they have opposite directions, the phase is
ambiguous and it is better to wait for more clear signals.
[contravariant lines area]
For your own further analysis, paste in your
indicator builder the code
// MAcross, EMAcross Prediction
curves, by Dimitris Tsokakis, July 2003
Plot(C,<FONT
size=2>"Close",5<FONT
size=2>,8);<FONT
face=Arial>
K=30;EMAk=<FONT
size=2>EMA(C,k);//
Plot(EMAk,"EMAk",1,8);
p=20;EMAp=<FONT
size=2>EMA(C,p);//
Plot(EMAp,"EMAp",2,8);
EMAcrossClose=((p+1)*(k-<FONT
size=2>1)*EMAk-(k+1<FONT
size=2>)*(p-1)*EMAp)/(<FONT
size=2>2*(k-p));
Plot(EMAcrossClose,<FONT
size=2>"EMAcrossClose",4<FONT
size=2>,8);<FONT
face=Arial>
MAcrossClose=(p*(k-1)*<FONT
size=2>MA(C,k-1<FONT
size=2>)-k*(p-1)*<FONT
size=2>MA(C,p-1<FONT
size=2>))/(k-p);
Plot(MAcrossClose,<FONT
size=2>"MAcrossClose",1<FONT
size=2>,8);<FONT
face=Arial>
GraphXSpace=5;
For some periods the description of the stock behavior may
be quite reliable.
Enjoy !!
Dimitris Tsokakis
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