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<SPAN
class=495304323-25072003>Dimitris,
thanks
for all your time and effort. I will spend some time analyzing it this week end.
This has been an interesting thread!
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Dimitris Tsokakis
[mailto:TSOKAKIS@xxxxxxxxx]Sent: Friday, July 25, 2003 2:46
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] The
dmi MA, EMA cross and the Prediction theory
Yuli, Jason,
in your dmi example, the Buy, Sell conditions
were
Buy=Cross(<FONT
size=2>EMA(dmi,pds),<FONT
size=2>MA<FONT
face="Times New Roman">(dmi,pds1));
Sell=Cross(<FONT
size=2>MA(dmi,pds1),EMA<FONT
face=Verdana size=2>(dmi,pds));
It is a special case
of an EMA, MA cross.
The mathematical
condition for an EMAp, MAk touch is
<FONT
face="Times New Roman">
tdmi=((p+1)*<FONT
size=2>MA<FONT
size=2>(dmi,k-1)*(k-<FONT
size=2>1)-k*(p-1<FONT
size=2>)*EMAp)/(2*k-(p+<FONT
size=2>1));
where tdmi is the tomorrow dmi
value.
According to the similar predictions
arguments, the crosses of this tdmi with dmi itself should
anticipate by one bar the actual EMA,
MA crosses.
You may verify this from the
code
//Dynamic Momentum Index Tushar Chande
Translated to AFL by Jayson Casavant//Cmo5
formula<FONT
face="Times New Roman">
CMO5_1=Sum<FONT
face="Times New Roman">( IIf<FONT
face="Times New Roman">( C > <FONT
size=2>Ref( C,
-1 ) , ( C - <FONT
size=2>Ref( C
,-1 ) ) ,<FONT
size=2>0 ) ,5<FONT
face=Verdana size=2> ) ;<FONT
face="Times New Roman">
CMO5_2=Sum<FONT
face="Times New Roman">( IIf<FONT
face="Times New Roman">( C < <FONT
size=2>Ref( C
,-1 ) , ( <FONT
size=2>Ref( C
,-1 ) - C ) ,<FONT
size=2>0 ) ,5<FONT
face=Verdana size=2> );<FONT
face="Times New Roman">
CMO5=DEMA<FONT
face="Times New Roman">(100
* (( CMO5_1 -CMO5_2) /( CMO5_1+CMO5_2)),3<FONT
face=Verdana size=2>);<FONT
face=Verdana size=2>//Cmo10
formula<FONT
face="Times New Roman">
CMO10_1=Sum<FONT
face="Times New Roman">( IIf<FONT
face="Times New Roman">( C > <FONT
size=2>Ref( C,
-1 ) , ( C - <FONT
size=2>Ref( C
,-1 ) ) ,<FONT
size=2>0 ) ,10<FONT
face=Verdana size=2> ) ;<FONT
face="Times New Roman">
CMO10_2=Sum<FONT
face="Times New Roman">( IIf<FONT
face="Times New Roman">( C < <FONT
size=2>Ref( C
,-1 ) , ( <FONT
size=2>Ref( C
,-1 ) - C ) ,<FONT
size=2>0 ) ,10<FONT
face=Verdana size=2> );<FONT
face="Times New Roman">
CMO10=DEMA<FONT
face="Times New Roman">(100
* (( CMO10_1 -CMO10_2) /( CMO10_1+CMO10_2)),<FONT
size=2>3<FONT
face="Times New Roman">);<FONT
face="Times New Roman">//Cmo20 formula<FONT face=Verdana
size=2>
CMO20_1=Sum<FONT
face="Times New Roman">( IIf<FONT
face="Times New Roman">( C > <FONT
size=2>Ref( C,
-1 ) , ( C - <FONT
size=2>Ref( C
,-1 ) ) ,<FONT
size=2>0 ) ,20<FONT
face=Verdana size=2> ) ;<FONT
face="Times New Roman">
CMO20_2=Sum<FONT
face="Times New Roman">( IIf<FONT
face="Times New Roman">( C < <FONT
size=2>Ref( C
,-1 ) , ( <FONT
size=2>Ref( C
,-1 ) - C ) ,<FONT
size=2>0 ) ,20<FONT
face=Verdana size=2> );<FONT
face="Times New Roman">
CMO20=DEMA<FONT
face="Times New Roman">(100
* (( CMO20_1 -CMO20_2) /( CMO20_1+CMO20_2)),<FONT
size=2>3<FONT
face="Times New Roman">);<FONT
face="Times New Roman">// dmi formula<FONT face=Verdana
size=2>
dmi=((StDev<FONT
face="Times New Roman">(C,5<FONT
size=2>)* CMO5)+(StDev<FONT
face="Times New Roman">(C,10<FONT
size=2>)* CMO10)+(StDev<FONT
face="Times New Roman">(C,20<FONT
face=Verdana size=2>)*<FONT
face="Times New Roman">
CMO20))/(StDev<FONT
face="Times New Roman">(C,5<FONT
size=2>)+StDev<FONT
face="Times New Roman">(C,10<FONT
size=2>)+StDev<FONT
face="Times New Roman">(C,20<FONT
face=Verdana size=2>));<FONT
face="Times New Roman">
pds=Optimize<FONT
face="Times New Roman">("Smoothing"<FONT
size=2>,10,<FONT
size=2>1,10<FONT
size=2>,1<FONT
face="Times New Roman">);
pds1=Optimize<FONT
face="Times New Roman">("Trigger
Line",4,<FONT
size=2>1,10<FONT
size=2>,1<FONT
face="Times New Roman">);
Buy=Cross(<FONT
size=2>EMA(dmi,pds),<FONT
size=2>MA<FONT
face="Times New Roman">(dmi,pds1));
Sell=Cross<FONT
face="Times New Roman">(MA<FONT
face="Times New Roman">(dmi,pds1),<FONT
size=2>EMA<FONT face="Times New Roman"
size=2>(dmi,pds));
// Prediction of
actual crosses by D. Tsokakis
p=pds;EMAp=EMA<FONT face=Verdana
size=2>(dmi,p);<FONT
face="Times New Roman">
k=pds1;MAk=MA<FONT face=Verdana
size=2>(dmi,k);<FONT
face="Times New Roman">
tdmi=((p+1)*<FONT
size=2>MA<FONT
size=2>(dmi,k-1)*(k-<FONT
size=2>1)-k*(p-1<FONT
size=2>)*EMAp)/(2*k-(p+<FONT
size=2>1<FONT
face="Times New Roman">));
Buy1=Cross<FONT
face="Times New Roman">(t,dmi);Sell1=<FONT
size=2>Cross<FONT
face="Times New Roman">(dmi,t);<FONT face=Verdana
size=2>
Plot(Buy,""<FONT
size=2>,5,<FONT
size=2>2);Plot<FONT
size=2>(Sell,"",<FONT
size=2>4,2<FONT
face=Verdana size=2>);<FONT
face=Verdana size=2>
Plot(Buy1,""<FONT
size=2>,1,<FONT
size=2>1);Plot<FONT
size=2>(Sell1,"",<FONT
size=2>2,1<FONT face=Verdana
size=2>);
The red [Sell],
green [Buy] bars are the actual crosses, the white, black smaller bars are the
respective predictions.
You may see the
prediction success, although let me doubt about the probable
use.
The system gave me
some worse backtesting results, when I tried delay=0 [instead of the regular
delay=1]
and gave also worse
results when I tried Buy1/Sell1 instead of Buy/Sell.
Anyway, I hope it
will be useful for your study.
Dimitris
Tsokakis
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