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Hi,
Third attempt...
//PlotShapes(shapeUpTriangle*Cross(x2,Ref(C,1)),colorAqua);
PlotShapes(shapeUpArrow*(Cross(bb,C)),colorAqua);
//PlotShapes(shapeDownTriangle*Cross(Ref(C,1),x1),colorPink);
PlotShapes(shapeDownArrow*(Cross(C,bt)),colorRed);
It's getting late...
Pal
--- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx> wrote:
> Hi,
>
> Sorry, here is the correct code:
>
> PlotShapes(shapeUpTriangle*Cross(x2,Ref(C,1)),colorAqua);
> //PlotShapes(shapeUpArrow*(Cross(bb,C)),colorRed);
> PlotShapes(shapeDownTriangle*Cross(Ref(C,1),x1),colorPink);
> //PlotShapes(shapeDownArrow*(Cross(C,bt)),colorBrightGreen);
>
> Pal
>
> --- In amibroker@xxxxxxxxxxxxxxx, "palsanand" <palsanand@xxxx>
wrote:
> > Hi,
> >
> > The Central Limit Theorem states:
> >
> > If a large number of random samples (of size 30 or more) are
> > collected, the means from a sampling distribution of means where
> >
> > a) the mean of the sample will be equal to the mean of the
> population
> >
> > b) The StDev of the sampling distribution is the standard error
of
> > the mean and
> >
> > c) when n is large (> 30) the sampling distribution of means is
> > approximately normally distributed regardless of the shape of the
> > distribution of the population as long as the sample size of each
> > sample is the same.
> >
> > Z-Scores of the COT data can be combined with the Z-Scores of the
> > close price to accurately pinpoint turning points. But, I would
> > still detect, verify and interpret a Entry/Exit Trading Signal
for
> > precise timing.
> >
> > I also modified plots for the following code to indicate whether
> the
> > Bands have been crossed, which would warn me to look for a
trading
> > signal, whether a continuation signal or counter-trend
> > pullback/Breakout signal:
> >
> > /* Anticipating the next bar BBandBot OR BBandTop Cross, by D.
> > Tsokakis, Sept 2003. Both crosses come from the same 2nd degree
> > equation A2*X^2+A1*X+A0=0 The solution is the X2 array. For
> visual
> > verification, a pink arrow is plotted when the X2 crosses the
next
> > bar Close AND a red arrow points the actual Cross. */
> >
> > n=20; f=2;
> > Qn=Sum(C^2,n);Qn_1=Sum(C^2,n-1);
> > Sn=Sum(C,n);Sn_1=Sum(C,n-1);
> > Mn=Sn/n;Mn_1=Sn_1/(n-1);
> > Kn=(1/n)*sqrt(n*Qn-Sn^2);Kn_1=(1/(n-1))*sqrt((n-1)*Qn_1-Sn_1^2);
> > bb=Mn-f*Kn;bt=Mn+f*Kn;
> > S=Sn_1;Q=Qn_1;
> > A2=(n-1)*(f^2-n+1);
> > A1=-2*(f^2+1-n)*S;
> > A0=f^2*n*Q-f^2*S^2-S^2;
> > x1=(-A1-sqrt(A1^2-4*A2*A0))/(2*A2);
> > x2=(-A1+sqrt(A1^2-4*A2*A0))/(2*A2);
> > Plot(C,"C",1,8);
> > Plot(X1,"",colorBlue,1);
> > Plot(X2,"",colorBlue,1);Plot(bb,"BBandBot",7,1);Plot
> > (bt,"BBandTop",7,1);
> > PlotShapes(shapeUpTriangle*Cross(x2,Ref(C,1)),colorPink);
> > //PlotShapes(shapeUpArrow*(Cross(bb,C)),colorRed);
> > PlotShapes(shapeDownTriangle*Cross(Ref(C,1),x1),colorAqua);
> > //PlotShapes(shapeDownArrow*(Cross(C,bt)),colorBrightGreen);
> > Title="The next "+Name()+" Close should be "+"\n *below"+WriteVal
> (x2)
> > +" for a BBandBot Cross"+
> > "\n *above"+WriteVal(x1)+" for a BBandTop Cross"+
> > "\n Actual Next Close = "+WriteIf(Cum(1)!=LastValue(Cum
> (1)),WriteVal
> > (Ref(C,1)),"?");
> >
> >
> > Regards,
> >
> > Pal
> >
> >
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Gary A. Serkhoshian"
> > <serkhoshian777@xxxx> wrote:
> > > Pal,
> > >
> > > That makes sense as I've visually seen what you've described.
It
> > seems like our primary job when interpreting the data is to
> determine
> > where the critical inflection points are versus noise.
> > >
> > > I've worked with Bollinger Bands and the net positions of the
> three
> > groups, but am interested in how Z-Score differs from what a
> > Bollinger Band plots, and does it give a better sense of the
> > inflection point we seek.
> > >
> > > In addition, should any changes be made to the ZScore code as
> > listed below for non-normal distribution as you describe COT data
> to
> > be? How do you determine if the data is normally distributed?
> > >
> > > Sorry for all the questions, but you've piqued my interest, and
> > you've been very clear in your explainations.
> > >
> > > I'd be happy to code any adjustments based on your suggestions,
> and
> > post them on the board.
> > >
> > > Code Below
> > >
> > > Kind Regards,
> > > Gary
> > >
> > >
> > > /*
> > >
> > > There is one interpretation of the Z-Score that takes an
> > observation from a
> > >
> > > population and returns a Z-Score statistic, where the Z-Score
is a
> > >
> > > measurement of the number of standard deviations that that
> specific
> > >
> > > observation deviates from the mean. If this is the
interpretation
> > you
> > >
> > > intend, the following afl code returns the Z-Score of the Close
> of
> > the most recent 50 days of an end-of-day price series and plots
it.
> > Copy this code and paste it into Indicator Builder.
> > >
> > > Note that most of the Closes (95 percent, on average) will have
> > ZScore
> > >
> > > values between -2.0 and +2.0.
> > >
> > > */
> > >
> > > // ZScore of Close
> > >
> > > ZLen = 50;
> > >
> > > ZScore = (C-MA(C,ZLen))/StDev(C,ZLen);
> > >
> > > Plot(C,"C",colorBlack,style=styleCandle);
> > >
> > > Plot(ZScore,"ZScore",colorBlue,styleOwnScale|styleNoLabel,-3,3);
> > >
> > > Plot(0,"",colorRed,styleOwnScale|styleNoLabel,-3,3);
> > >
> > > Plot(-2.0,"", colorRed,styleOwnScale|styleNoLabel,-3,3 );
> > >
> > > Plot(2.0,"", colorRed,styleOwnScale|styleNoLabel,-3,3);
> > >
> > > /*
> > >
> > > Version 2
> > >
> > > normal percentile to Z Score conversion
> > >
> > > Schmeiser (1979) came up with the following simple formula for
p
> >
> > 0.5:
> > >
> > > z = {p ^ 0.135 - (1-p) ^ 0.135} / 0.1975
> > >
> > > According to a table in Shore (1982), it is accurate to two
> digits
> > at p = 0, 0.4, 0.8, ...,
> > >
> > > which may be good enough.
> > >
> > > */
> > >
> > > //p = 0.025;
> > >
> > > p = Param("p", 0.025, 0.0001, 0.9999, 0.0001 );
> > >
> > > pp = IIf(p>=0.5, p, 1.0-p);
> > >
> > > z = ((pp ^ 0.135) - ((1.0-pp) ^ 0.135)) / 0.1975;
> > >
> > > z = IIf(p>=0.5, z, -z);
> > >
> > > //----------------------
> > >
> > >
> > >
> > >
> > >
> > >
> > >
> > > palsanand <palsanand@xxxx> wrote:
> > > Gary,
> > >
> > > If you plot the Net Longs of all the 3 players (Commercials,
> Large
> > > speculators and Small traders), you will see that the plot of
the
> > > Commercials and Large speculators are at opposite sides about
the
> > > mean (most of the time) and the small traders closer to the
mean.
> > >
> > > You will see that the plot of the Commercials and Large
> speculators
> > > are either diverging from each other or going parallel (most of
> the
> > > time).
> > >
> > > You can then watch for trend-change pullbacks or breakout
signals
> > at
> > > the specific time on the plot where the Commercials and Large
> > > Speculators begin converging from their extreme positions
> (visually
> > > identified) on either side of the mean.
> > >
> > > You may use Z-Scores to identify the extreme positions. Z-
Scores
> > > tend to be used mainly in the context of the normal curve, and
> > their
> > > interpretation based on the standard normal table. It would be
> > > erroneous to conclude, however, that Z-Scores are limited to
> > > distributions that approximate the normal curve. Non-normal
> > > distributions can also be transformed into sets of Z-Scores. In
> > this
> > > case the standard normal table cannot be consulted, since the
> shape
> > > of the distribution of Z-Scores is the same as that for the
> > original
> > > non-normal distribution. For instance, if the original
> distribution
> > > is positively skewed the distribution of Z-Scores also will be
> > > positively skewed.
> > >
> > > Regardless of the shape of the distribution, the shift to Z-
> Scores
> > > always produces a distribution with a mean of 0 and a variance
of
> 1.
> > >
> > > Regards,
> > >
> > > Pal
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Gary A. Serkhoshian"
> > > <serkhoshian777@xxxx> wrote:
> > > > Pal,
> > > >
> > > > Thanks for the post as I've been racking my brain thinking of
> > ways
> > > to trade COT. Could you please elaborate on your statement
> below.
> > > Specifically, how are you identifying extremes (std dev?), and
> when
> > > you write "low points and turning up" are you referring to the
> net
> > > commercial position. Taking it a step further, can I assume
you
> > mean
> > > net-short commerical?
> > > >
> > > > Thanks,
> > > > Gary
> > > >
> > > > So, for those places where the
> > > > Commercials are at extreme low points and turning up, and the
> > Large
> > > > speculators are at the opposite extreme and turning down, the
> > > market
> > > > will probably turn down shortly (vice-versa for an upside
> move).
> > > The
> > > > small speculators are usually trading with the primary trend.
> > > >
> > > >
> > > >
> > > >
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