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The absolute convexity criterion would be
freq = 1;
y=sin( Cum( freq/10 ) );
t=1;
Convex=(y-Ref(y,-t))/t>(y-Ref(y,-(t+1)))/(t+1);
Plot(y,"",IIf(Convex,colorBrightGreen,colorRed),8);
Of course, in real life examples this would not help, even in smooth
curves.
Try the
y=MA(StochD(50),50);
freq = 1;
//y=sin( Cum( freq/10 ) );
t=1;
Convex=(y-Ref(y,-t))/t>(y-Ref(y,-(t+1)))/(t+1);
Plot(y,"",IIf(Convex,colorBrightGreen,colorRed),8);
Although y is quite smooth, the convexity does not hold for long.
At this stage, we should sacrifice the absolute convexity for more
useful conditions.
Try t=5 or t=10 to see what I mean
y=MA(StochD(50),50);
freq = 1;
//y=sin( Cum( freq/10 ) );
t=1;// t=5 or t=10 or higher
Convex=(y-Ref(y,-t))/t>(y-Ref(y,-(t+1)))/(t+1);
Plot(y,"",IIf(Convex,colorBrightGreen,colorRed),8);
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> An idea for a convexity criterion is the condition
> Convex=y>2*Ref(y,-t)-Ref(y,-2*t);
> for a given array y and a time segment t.
> Try the example
>
> // Convexity criterion
> freq = 1;
> y=sin( Cum( freq/10 ) );
> t=5;
> Convex=y>2*Ref(y,-t)-Ref(y,-2*t);
> Plot(y,"",IIf(Convex,colorBrightGreen,colorRed),8);
>
> in IB, if it is what you ask.
> [The non-convex area (red)is the concavity condition, since the
above
> condition is boolean.]
>
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "sidleysh" <steves@xxxx> wrote:
> > DT - the problem with this is that it gives a 2 day acceleration
> > picture - I am looking to find the accelaration over x days
(which
> is
> > easy to see visually - you simply look for a rising convex
> pattern).
> >
> > Any idea how to generalise this?
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> <TSOKAKIS@xxxx>
> > wrote:
> > > The Velocity of Close should be
> > > Vc=dC/dt
> > > and the acceleration
> > > g=dVc/dt
> > > The minimum dt for daily data is 1 bar, ie
> > > Vc=dC
> > > g=dVc
> > > In AFL
> > > Vc=C-Ref(C,-1);
> > > g=Vc-Ref(Vc,-1);
> > > Plot(g,"g",1,1);
> > >
> > > Dimitris Tsokakis
> > > --- In amibroker@xxxxxxxxxxxxxxx, "sidleysh" <steves@xxxx>
wrote:
> > > > I am trying to find a way to find out whether, and how much,
a
> > > chart
> > > > has accelerted over the previous period. This is not ROC, but
> > more
> > > > true 'rate of change' in a differential calculus sense.
> > > >
> > > > IN other words - if diff between close today snd close
> yesterday
> > >
> > > > close yesterday and the day before, then the close prices are
> > > > ACCELERATING up over the last 3 days.
> > > >
> > > > Can anyone think up a general way to code this?
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