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Phsst,
your word "significant" is the most important and needs further
analysis. What is significant ? Is it enough to have ref(c,-1)==LLV
(c,10) or we need more conditions to add, re the previous behavior of
the function we study ?
I think we need more than a simple ref(c,-1)==LLV(c,10) for a
potential reversal.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> 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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