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I was looking for it, but could not find it.
Sjaak
--- In amibroker@xxxxxxxxxxxxxxx, "wavemechanic" <wd78@xxxx> wrote:
>
> ----- Original Message -----
> From: "sjaak1943" <sjaakhaasnoot@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Saturday, September 20, 2003 11:41 AM
> Subject: [amibroker] Re: Simple Moving Average Bands
>
>
> > Thank you Dimitris for a nice piece of work.
> > I read an article about Sigma Bands, it looks like it, but is not
> > simular.
>
> Do you have a "how to do it" reference for calculating the center
line of
> sigma bands or Hurst's centered moving average?
>
> > From 1 until 15 october we are on Crete again.
> >
> > Sjaak
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis"
> > <TSOKAKIS@xxxx> wrote:
> > > We may create a channel around M=MA(C,20), if we consider MUP
+20%
> > above M and MDOWN -20% below M.
> > > For the last 100 bars, the percentage of bars inside the
channel
> > is INS %.
> > > For many stocks this +20% is wide enough to give INS=100% and
does
> > not help.
> > > Let us risk to decrease this 20% to obtain a NEWINS=95%. We
will
> > see, for many stocks, values below 10%, which gives more
> > > reasonable and useful MA channels.
> > > When the small green circle appears, we should expect prices to
> > move towards the MA again.
> > >
> > > // Adjusted Moving Average Bands
> > > P=20;
> > > LOOKBACK=100;
> > > PERC=95;
> > > M=MA(C,P);
> > > X=2;
> > > MUP=M*(1+X/10);MDOWN=M*(1-X/10);
> > > INS0=100*Sum(C>=MDOWN AND C<=MUP,LOOKBACK)/LOOKBACK;
> > > STEP=0.01;
> > > for(X=0.1;X<3;X=X+STEP)
> > > {
> > > MUP=M*(1+X/10);MDOWN=M*(1-X/10);
> > > INS=100*Sum(C>=MDOWN AND C<=MUP,LOOKBACK)/LOOKBACK;
> > > G[0]=2;
> > > if(INS[BarCount-1]<=PERC)
> > > {G=X;}}
> > > NEWMUP=M*(1+G/10);NEWMDOWN=M*(1-G/10);
> > > NEWINS=100*Sum(C>=NEWMDOWN AND C<=NEWMUP,LOOKBACK)/LOOKBACK;
> > > Plot(C,"",1,64);F=Cum(1)>LastValue(Cum(1))-LOOKBACK;
> > > Plot(M,"",1,1);Plot(MUP,"",2,1);Plot(MDOWN,"",2,1);
> > > Plot(NEWMUP,"",4,1);Plot(NEWMDOWN,"",4,1);
> > > Title=Name()+",Width="+WriteVal(10*G,1.1)+"%, OLD
INS="+WriteVal
> > (INS0,1.0)+"%"+", NEW INS="+WriteVal(NEWINS,1.0)+"%";
> > > PlotShapes((Cum(1)==LastValue(Cum(1))-LOOKBACK)
> > *shapeUpTriangle,colorBlue);
> > > OUT=C<NEWMDOWN OR C>NEWMUP;
> > > PlotShapes(F*OUT*shapeSmallCircle,colorBrightGreen);
> > > Filter=Sum(OUT,3)>=1;// EXPLORE FOR THE N=1 LAST QUOTATIONS
> > > AddColumn(10*g,"WIDTH %");
> > > AddColumn(C,"C");
> > > AddColumn(NEWMUP,"NEWMUP");
> > > AddColumn(NEWMDOWN,"NEWMDOWN");
> > >
> > > For Indicator builder set scaling to Automatic.
> > > For AA, explore for the n=1 last quotations to investigate if
some
> > green circle appeared the last 3 bars.
> > > The initial Width 20% is too much for the majority of stocks.
AAPL
> > is responsible for this choice : the OLDINS is 93% and
> > > AAPL needs a new Width 24% to give the 95% !!! May2003 is still
> > included in the 100-bar test period and causes this
> > > behavior. If AAPL is cool the next 15 bars, the Width will
become
> > more reasonable and useful for price speculation.
> > > The N100 champion was NVDA. It needs a Width=29% [!!!] and does
> > not like this method.
> > > See the various Widths by replacing the filter condition to
> > Filter=1; Many stocks are below 10% .
> > > Dimitris Tsokakis
> > > PS1. The formula is not proper for backtesting.
> > > PS2. For more accurate results you may decrease the STEP=0.01,
to
> > STEP=0.005; or even to STEP=0.001; with the
> > > unavoidable slow down of the procedure .
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
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> >
> >
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