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Thanks Dimitris.
This works really good in my trading system.
But the only drawback I found is that you might get more signals in a choppy
market compared to the normal crossing..(.rarely though)
Have you found this also? Or I might missunderstanding something?
thanks for sharing your work
juan
----- Original Message -----
From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, July 25, 2003 4:24 PM
Subject: [amibroker] Re: MAcross, EMAcross Prediction [some recent examples]
Juan,
Read first the abstract at
http://groups.yahoo.com/group/amibroker/files/Cross%20Predictions.txt
Your example is an EMA-EMA cross and needs the EMAcrossClose.
Here is the analytic code
k=150;p=13;EMAk=EMA(C,k);EMAp=EMA(C,p);
// The regular cross conditions
Buy1= Cross(EMAp, EMAk);
Sell1=Cross( EMAk, EMAp);
// The virtual Close for EMAcross
EMAcrossClose=((p+1)*(k-1)*EMAk-(k+1)*(p-1)*EMAp)/(2*(k-p));
// the prediction cross conditions
Buy2=Cross(C,EMAcrossClose);
Sell2=Cross(EMAcrossClose,C);
Plot(Buy2,"",5,2);Plot(Sell2,"",4,2);
Plot(2*Buy1,"",1,2);Plot(2*Sell1,"",2,2);
// Optimize to Select the best buy/sell condition
t1=Optimize("t1",2,1,2,1);
t2=Optimize("t2",2,1,2,1);
Buy=IIf(t1==1,buy1,buy2);
Sell=IIf(t2==1,sell1,sell2);
For t1=1, t2=1 you have the regular cross conditions.
For t1=2, t2=2 you have the prediction cross conditions.
Note that the performance of a system is not always improved with
delay=0.
For some systems delay=1 is better.
[Note also you have for many stocks a Long entry in March[April]2003
still open.
It is quite profitable and disturbs the whole picture, since you have
very few trades.]
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "emarco" <emarco@xxxx> wrote:
> Dimitris,
>
> Thanks for sharing interesting codes.
> I would like to use the prediction EMA cross in my system.
>
> buy: cross(ema(c,13), ema(c,150));
>
> Sell: cross( ema(c,150), ema(c,13));
>
> what should i include for predicting this ema cross?
> thanks
>
> juan
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Thursday, July 24, 2003 4:30 AM
> Subject: [amibroker] MAcross, EMAcross Prediction [some recent
examples]
>
>
> 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
>
> // MA cross Prediction
> p=20;MAp=MA(C,p);
> k=30;MAk=MA(C,k);
> 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;
> Confirmed=Cross(MAk,MAp) OR Cross(MAp,MAk);
> UR=2*Highest(ROC(C,1));LR=2*Lowest(ROC(C,1));
> Ucoeff=1+UR/100;Lcoeff=1+LR/100;
> Filter=tClose<Lcoeff*C OR tClose>Ucoeff*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);
> Title=Name()+" , "+
> WriteIf(expect AND NOT(expectMAcross) AND NOT(Confirmed) AND
bars>3 AND tClose<C,"EXPECT a bearish MAcross SOON","")+
> WriteIf(expect AND NOT(expectMAcross) AND NOT(Confirmed) AND
bars>3 AND tClose>C,"EXPECT a bullish MAcross SOON","")+
> WriteIf(DescCrossPrediction,"EXPECT a bearish MAcross
TOMORROW","")+
> WriteIf(AscCrossPrediction,"EXPECT a bullish MAcross TOMORROW","")
+
> WriteIf(Cross(MAp,MAk)," , Bullish MAcross","")+WriteIf(Cross
(MAk,MAp)," , Bearish MAcross","");
>
> 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: Dimitris Tsokakis
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Wednesday, July 23, 2003 10:38 AM
> Subject: MAcross, EMAcross Prediction [a qualitative description]
>
>
> As explained at
> http://groups.yahoo.com/group/amibroker/message/44790
> the next bar Close necessary for an MAk, MAp cross is
>
>
> MAcrossClose=(p*(k-1)*MA(C,k-1)-k*(p-1)*MA(C,p-1))/(k-p);
> With similar math procedure we may calculate the next bar Close
necessary for an EMAk, EMAp cross
>
> EMAcrossClose=((p+1)*(k-1)*EMAk-(k+1)*(p-1)*EMAp)/(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,"Close",5,8);
> K=30;EMAk=EMA(C,k);// Plot(EMAk,"EMAk",1,8);
> p=20;EMAp=EMA(C,p);// Plot(EMAp,"EMAp",2,8);
> EMAcrossClose=((p+1)*(k-1)*EMAk-(k+1)*(p-1)*EMAp)/(2*(k-p));
> Plot(EMAcrossClose,"EMAcrossClose",4,8);
> MAcrossClose=(p*(k-1)*MA(C,k-1)-k*(p-1)*MA(C,p-1))/(k-p);
> Plot(MAcrossClose,"MAcrossClose",1,8);
> GraphXSpace=5;
>
> For some periods the description of the stock behavior may be
quite reliable.
> Enjoy !!
> Dimitris Tsokakis
>
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