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Some insight on Vectorvest MTI indicator:
http://www.sctxcompclub.org/MtgFollowUp/Jul1_02Invest.html
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx> wrote:
> one example is the vectorvest-based "san diego wave" strategy, which
> switches long when the MTI (vectorvest's proprietary Market Timing
> Indicator) rises by .12, and goes short when it falls by .12.
absolute level
> doesn't matter, just having reversed direction by that amount. (not
that I'm
> saying that specifically is a great strategy or anything.)
>
> any indicator could be interpreted this way, and I thought it'd be
> interesting to see which ones turned out to be useful.
>
> it's really easy to see these turns visually on a chart. I'm
surprised that
> it doesn't seem easy to determine them procedurally. I'd have
thought tj or
> one of the other AFL gurus would have put my feeble brain to shame
with a 2
> line solution by now (;-).
>
> dave
>
>
> > I probably cannot offer much here. While I understood that you were
> > asking about detecting a reversal of direction of an indicator, it
> > seemed to me that working with an indicator in this fashion would be
> > almost synonomous with trying to detect significant market or equity
> > price trend changes.
> >
> > What indicator(s) are you trying to analyze and what would be the
> > ultimate end or purpose of the study?
> >
> > phsst
> > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> > > hi Phsst, think we're talking about two different things.
> > >
> > > I did ask a while back about distinguishing trending and
non-trending
> > > markets, and did investigate ADX/DMI. (ADX/DMI seems more short term
> > than I
> > > had in mind. I was thinking about these months-long sideways
> > markets, how to
> > > numerically tell them apart from more strongly trending ones,
and what
> > > strategies you might take to respond.)
> > >
> > > but this is a separate question: given an indicator, any indicator,
> > how can
> > > you efficiently detect when it has reversed direction by a spec'd
> > amount?
> > > any ideas?
> > >
> > > dave
> > >
> > >
> > > > Just a possibility...
> > > >
> > > > Take a look at ADX, +DI & -DI.
> > > >
> > > > ADX tells you if a trend is in place.
> > > >
> > > > Crossover of +DI / -DI might be a decent indicator of a change in
> > trend.
> > > >
> > > > I have not done any testing on this but you might want spend a
little
> > > > time looking at it.
> > > >
> > > > phsst
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> > wrote:
> > > > > um, unless I'm reading this wrong, it's pretty clear, as I
> > thought: Zig
> > > > > "cheats", in a way, so it can't ever be used in trading
systems and
> > > > won't
> > > > > backtest realistically. am I missing something?
> > > > >
> > > > > part of me feels like I must be, or these functions wouldn't
be very
> > > > useful
> > > > > in real life. jayson's post made it clearer to me how it
responds,
> > > > but for
> > > > > backtesting, there doesn't seem to be any way to keep it from
> > > > knowing what
> > > > > it already knows about bars that haven't happened yet. or
maybe I'm
> > > > missing
> > > > > another something.
> > > > >
> > > > >
> > > > > back to my original question about detecting reversals. I want
> > to find
> > > > > places where an indicator has dropped at least a specified
amount
> > > > from its
> > > > > high since the last switch, or risen that amount from its
low since
> > > > the last
> > > > > switch. the key thing here is finding the high since the last
> > rise off a
> > > > > low, and the low since the last drop from a high.
> > > > >
> > > > > is Zig or one of its relatives the best or only way to do this,
> > short of
> > > > > stepping through the indicator array a bar at a time?
> > > > >
> > > > > Dave Merrill
> > > > >
> > > > >
> > > > > > Definitive answer on Zig is included in the User's Guide, AFL
> > > > reference:
> > > > > > http://www.amibroker.com/guide/afl/afl_view.php?name=ZIG
> > > > > >
> > > > > > Caveat: this function is based on Zig-Zag indicator and
may look
> > > > > > into the future - this means that you can get **unrealistic
> > > > > > results** when back testing trading system using this
indicator.
> > > > > > This function is provided rather for pattern and trend
recognition
> > > > > > formulas
> > > > > >
> > > > > > Best regards,
> > > > > > Tomasz Janeczko
> > > > > > amibroker.com
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