|
PureBytes Links
Trading Reference Links
|
Dave,
CCI uses AVERAGE price (Avg) (not close, high, low,
etc).
One would need to write either:
Avg = ( Foreign("!VIX",
"H") + Foreign("!VIX", "L") + Foreign("!VIX", "C") ) / 3;
cc = CCI(period);or
write:
cc = CCIa( (
Foreign("!VIX", "H") + Foreign("!VIX", "L") + Foreign("!VIX", "C") ) /
3, period );
Hope this helps.
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dave Merrill
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, September 02, 2003 7:10
AM
Subject: RE: [amibroker] optimizing
trades based on a foreign CCI not working as expected
<SPAN
class=360120705-02092003>um, it would appear that I'm asleep at the switch
tonight. there's no need for the gyrations with the price arrays to use a
foreign ticker, because CCIa takes any array you want. I know
this.
<SPAN
class=360120705-02092003>
<SPAN
class=360120705-02092003>I still don't understand why swapping out the price
arrays doesn't work with the original price-based CCI, so if anyone has
an answer to that anyway, great.
<SPAN
class=360120705-02092003>
<SPAN
class=360120705-02092003>but I'm going to bed now, a little behind my brain,
it seems.
<SPAN
class=360120705-02092003>
<SPAN
class=360120705-02092003>dave
<BLOCKQUOTE
>
<SPAN
class=001364104-02092003>hi jayson, thanks for jumping
in.
<FONT
face="Courier New" color=#0000ff size=2><SPAN
class=001364104-02092003>
<SPAN
class=001364104-02092003>aren't you supposed to put things back to the
underlying stock after you calculate a function that works directly off the
OHLVC arrays? otherwise, anything else you do, graph price for
example, will still be using the foreign infos. or maybe I don't
understand...
<FONT
face="Courier New" color=#0000ff size=2><SPAN
class=001364104-02092003>
<SPAN
class=001364104-02092003>there's an unrelated error in this code, but I
don't think it explains the problem I asked about. the sign of the
thresholds in the buy and Sell assignments is reversed. without the foreign
CCI, it should read:
<FONT
face="Courier New" color=#0000ff size=2><SPAN
class=001364104-02092003>
<SPAN
class=001364104-02092003>period = Optimize("period", 2, 1, 100,
1);threshold = Optimize("threshold", 25, -100, 100,
25); //includes negative now
<SPAN
class=001364104-02092003>Buy = Cross(cc, -threshold);
//sign changedSell = Cross(threshold, cc); //sign
changedShort = Sell;Cover = Buy;
<FONT
face=Arial color=#0000ff size=2><SPAN
class=001364104-02092003>
<SPAN
class=001364104-02092003>but as I say, I don't think that's why the foreign
one doesn't work like I expect. it *is* why performance wasn't what I
expected in most cases though (:-).
<FONT
face="Courier New"><FONT face=Arial
color=#0000ff size=2><SPAN
class=001364104-02092003>
<SPAN
class=001364104-02092003>dave
<BLOCKQUOTE
>
<SPAN
class=125110404-02092003>you change the OHLCV back tot the underlying
stock at the bottom of your code. try simply....
<SPAN
class=125110404-02092003>
period = Optimize("period", 2,
1, 100, 1);threshold = Optimize("threshold", 25, 0, 100, 25);O
= Foreign("!VIX", "O");H = Foreign("!VIX", "H");L =
Foreign("!VIX", "L");C = Foreign("!VIX", "C");V = Foreign("!VIX",
"V");cc = CCI(period);Buy = Cross(cc, threshold);Sell =
Cross(-threshold, cc);Short = Sell;Cover =
Buy;----------------
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: Dave Merrill
[mailto:dmerrill@xxxxxxx]Sent: Monday, September 01, 2003 11:26
PMTo: AmiBrokerSubject: [amibroker] optimizing
trades based on a foreign CCI not working as
expectedcan anyone tell me why these two tests
give the same results for every indexI 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 CCIof
another index, I thought.but I get the same results no matter what
foreign index I use, includingcontrarian 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
MerrillSend BUG REPORTS to
bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS
to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send BUG REPORTS to bugs@xxxxxxxxxxxxxSend
SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page:
<A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Send
BUG REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
Yahoo! Groups Sponsor
ADVERTISEMENT
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|