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--- In amibroker@xxxxxxxxxxxxxxx, "emarco" <emarco@xxxx> wrote:
> Thanks Dimitris.
> This works really good in my trading system.
That�s great !!
> 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
It is already described by the beginning of this thread.
Any prediction procedure goes through the respective statistics :
Accurate signals, useless signals and false signals.
The statistics in these prediction series were quite good.
I would advise to read this 10-day thread, if you are interested for
details.
The main ref is [from bottom to top]
http://groups.yahoo.com/group/amibroker/message/44996
http://groups.yahoo.com/group/amibroker/message/44991
http://groups.yahoo.com/group/amibroker/message/44956
http://groups.yahoo.com/group/amibroker/message/44899
http://groups.yahoo.com/group/amibroker/message/44857
http://groups.yahoo.com/group/amibroker/message/44682
http://groups.yahoo.com/group/amibroker/message/44637
http://groups.yahoo.com/group/amibroker/message/44636
http://groups.yahoo.com/group/amibroker/message/44606
http://groups.yahoo.com/group/amibroker/message/44601
http://groups.yahoo.com/group/amibroker/message/44516
http://groups.yahoo.com/group/amibroker/message/44500
http://groups.yahoo.com/group/amibroker/message/44449
You will find the AFL codes to make your own statistics.
Dimitris Tsokakis
> ----- Original Message -----
> From: "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> 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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> >
> >
> >
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