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Jayson,
My reply was not thoeretical but experimental.
I donīt know why. [Tomasz know the internal CCI script].
The code I provided can do the job, the alternatives with Foreign
("^NDX","C") do not solve the situation described by Dave.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Dimitris,
> If CCI averages and you have renamed OHL to foreign values then why
would
> not simply CCI(14) return the CCI for that foreign call?
>
> Also does CCIa(foreign("^NDX","C") assume that the close value is
in fact
> the average or is it making a calculation on its own to create the
average?
>
> While the description at TA A_Z supports your position that an
average of
> C+H+L is required the AB documentation leads one to believe that a
single
> value ( "Values other than Close") can be used.
>
> Regards,
> Jayson
> -----Original Message-----
> From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Sent: Tuesday, September 02, 2003 2:55 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: optimizing trades based on a foreign CCI
not
> working as expected
>
>
> Dave,
> CCI is an Avg function.
> Your request should go with
>
> Plot(CCI(14),"CCI",4,1);
> C=Foreign("^NDX","C");H=Foreign("^NDX","H");L=Foreign("^NDX","L");
> Avg=(C+H+L)/3;
> IndexCCI=CCIa(Avg,14);
> Plot(IndexCCI,"IndexCCI",1,1);
> Buy=Cross(-100,IndexCCI);
> Sell=Cross(IndexCCI,100);
>
> All buy/sell signals now will be produced by ^NDX [or any other
> ticker you prefer] CCI crosses.
> Dimitris Tsokakis
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
> wrote:
> > can anyone tell me why these two tests give the same results for
> every index
> > I tried?
> >
> > both versions go long and short based on a CCI, optimizing for
best
> returns.
> > version 1 uses the CCI of the issue under test, and version 2 uses
> the CCI
> > of another index, I thought.
> >
> > but I get the same results no matter what foreign index I use,
> including
> > contrarian ones like the VIX you see below.
> >
> > what am I missing?
> >
> > thanks,
> >
> > dave
> >
> >
> > ----------------
> > VERSION 1
> > ----------------
> > period = Optimize("period", 2, 1, 100, 1);
> > threshold = Optimize("threshold", 25, 0, 100, 25);
> >
> > cc = CCI(period);
> >
> > Buy = Cross(cc, threshold);
> > Sell = Cross(-threshold, cc);
> > Short = Sell;
> > Cover = Buy;
> >
> >
> > ----------------
> > VERSION 2
> > ----------------
> > period = Optimize("period", 2, 1, 100, 1);
> > threshold = Optimize("threshold", 25, 0, 100, 25);
> >
> > saveO = O;
> > saveH = H;
> > saveL = L;
> > saveC = C;
> > saveV = V;
> > O = Foreign("!VIX", "O");
> > H = Foreign("!VIX", "H");
> > L = Foreign("!VIX", "L");
> > C = Foreign("!VIX", "C");
> > V = Foreign("!VIX", "V");
> > cc = CCI(period);
> > O = saveO;
> > H = saveH;
> > L = saveL;
> > C = saveC;
> > V = saveV;
> >
> > Buy = Cross(cc, threshold);
> > Sell = Cross(-threshold, cc);
> > Short = Sell;
> > Cover = Buy;
> > ----------------
> >
> >
> > Dave Merrill
>
>
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