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hi Dimitris, thanks for jumping in.
let me try to be clearer about the kind of simple reversal I'm looking for:
for an up move, I'm looking for a single bar that's at least the threshold
amount greater than the minimum value seen since the last down move.
for a down move, I'm looking for a single bar that's at least the
threshold amount lower than the maximum value seen since the last up move.
like this, with a threshold of 3 in both directions:
3 (min of first cycle)
5
4
6 <- up move, at least 3 above min of first cycle (3)
7
8 (max of this up cycle)
6
7
6
4 <- down move, at least 3 below max of this up cycle (8)
1
3
2
3
0 (min of this down cycle)
2
4 <- up move, at least 3 above min of this down cycle (0)
make sense?
below is the AFL I came up with. it does scan every bar, which I'm surprised
was necessary, but it works, I think, and it's not as horribly slow as I was
afraid it might be. given an array and separate thresholds for up and down
moves, it returns an array with +1 at every up move, -1 at every down move,
and 0 everywhere else.
---------------------
function ReverseDetect(ValueArray, ThreshUp, ThreshDown) {
tracking = 0; // last peak we're comparing to
action = 0; // last action taken; +1 = up, -1 = down
result[0] = 0;
for(i = 1; i < BarCount; i++)
{
result[i] = 0; // default output for this bar if no move
if(action != 1) // looking for a rise
{
if(tracking > ValueArray[i])
tracking = ValueArray[i];
else
{
if(ValueArray[i] > tracking + ThreshUp)
{
action = 1;
result[i] = action;
tracking = ValueArray[i];
}
}
}
if(action != -1) // looking for a drop
{
if(tracking < ValueArray[i])
tracking = ValueArray[i];
else
{
if(ValueArray[i] < tracking - ThreshDown)
{
action = -1;
result[i] = action;
tracking = ValueArray[i];
}
}
}
}
return result;
}
---------------------
[if this gets mangled in the msg an anyone cares, I could post it as a
file.]
making any more sense? see any way to code this in fewer lines of
array-based AFL?
FWIW, none of the inputs I've tested so far have yielded great buy/sell
signals when processed this way. maybe none will, but at least I've been
able to test this idea.
dave
> your questions are somehow confusing: you wrote, for example,
> for "san diego wave" strategy :
> "...switches long when the MTI rises by .12"
> If the MTI goes like
> MTI0
> MTI1=MTI0+0.13
> MTI2=MTI1+0.15
> MTI3=MTI2+0.12
> MTI4=MTI3+0.13
> ie it increases 4 consequtive bars by >0.12, they go long every day ?
> I dont think so and, anyway, it is not a reversal.
> You probably mean MTI go lower and lower and, on day0, change
> direction and go higher by >0.12.
> If this is requested, you should specify how many descending bars you
> need *before* the change.
> Do you need just one ?
> Then
> cond=roc(c,1)>0 AND Ref(roc(c,1),-1)<0;
> is enough to describe this "reversal".
> Equivalent condition would be the
> cond1=Ref(c,-1)==LLV(c,3);
> Do you need more than one consecutive descending bars before the
> reversal ?
> Then
> k=4;
> cond=ROC(C,1)>0 AND Ref(Sum(ROC(C,1)<0,k),-1)==k;
> would give you the reversal after four *consecutive* descending bars.
> Do you need just the previous bar to be the lower of the last k bars ?
> Then,
> k=10;
> Cond=Ref(C,-1)==LLV(C,k);
> would describe that yestedays close was the lowest of the last k
> bars, ie we do have a reversal without asking *all* previous bars to
> be descending.
> As you see, there are many alternatives and it would be better to be
> more specific.
> Decide first how would you like the reversal and then AFL will solve
> your request in 2 or 102 lines [they will be executed with the same
> speed, in one way or another]
> Dimitris Tsokakis
> PS1: All above described conditions are realistic, you should avoid
> *ANY* zig/peak/trough functions.
> The known trouble of zig use is simple : You are informed that Day X
> *was* a peak, but this information arrives 2 or 12 or 102 days later
> and it is totally useless for trading. Zig and its derivatives are
> *very* useful for the historical study of an indicator, but totally
> useless for decision making.
> PS2. Although it may be obvious, just know that all above conditions
> are equally applied to indicators, not only Close value. Just
> describe how do you like the reversal.
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > I've been examining VectorVest's tools for a while now, and I'd say
> that
> > while that link tells you some of the party line, that's not the
> whole
> > enchilada. once you have a good long/short timing signal, there's a
> pretty
> > rich toolkit for stock selection, and a lot of canned and user group
> > strategies that I and others have tested and believe can do quite
> well.
> > timing's another story. as the tampa group's approach indicates,
> many people
> > think you can do better than VV's standard recommendations. some
> people
> > include the MTI and other proprietary VV indicators in their overall
> > formula, some not.
> >
> > anyway, I just used the MTI as an example of the kind of turn
> detection I
> > was looking for; I didn't mean to discuss any particular way of
> interpreting
> > it as a strategy. the MTI is range-bounded, so crossings of fixed
> levels can
> > have meaning. but how do you make use of other indicators that
> aren't
> > range-bounded? besides zero crossing or crossing some other
> indicator line,
> > another one that occurred to me was this idea of direction
> reversals of some
> > particular amount.
> >
> > I just need to figure out how to implement it...
> >
> > dave
> >
> >
> > > 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
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