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Thanks - this looks interesting, but I have to work through the code
before I can comment. Obviously what I am trying to do is to enter on
acceleration and exit on decelaration (concavity). You are right in
that the curve has to be smoothed for this to work well, but then we
are starting to lag the market, as in all smoothing.
Will get back to you when I understand your code.
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> 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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