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DT - thanks, good stuff. Obviously the smoothing algorithm causes a
lag in signal, so I am finding good results when I optimize, but I
fear I am curve fitting. (I cannot find a set of coefficents for K
and T that work reasonably over the whole market).
This could be vastly improved by only trading on 'serious' covexities
and concavities, and staying out for the shallow ones. The serious
ones could be defined as when today delta is greater than 2*
yesterday's delta, which is greater than 2* the previous day's delta
(or some such). You then stay in the trade (long) until it starts to
descend.
--- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx>
wrote:
> An ideal sinusoidal has 4 phases:
>
> Convex AND Ascending;// colorDarkGreen
> Concave AND Ascending;// colorTurquoise
> Concave AND Descending;// colorDarkRed
> Convex AND Descending;// colorPink
> The IB code illustrates the example
>
> // The 4 phases of an ideal sinusoidal
> freq = 1;
> y=sin( Cum( freq/10 ) );
> t=1;
> Convex=(y-Ref(y,-t))/t>=(y-Ref(y,-(t+1)))/(t+1);
> Concave=NOT(Convex);
> Ascending=y>=Ref(y,-1);
> Descending=NOT(ascending);
> Bullstart=Convex AND Ascending;
> Bullend=Concave AND ascending;
> Bearstart=Concave AND Descending;
> Bearend=Convex AND Descending;
> Color=IIf(Bullstart,colorDarkGreen,IIf(Bullend,colorTurquoise,IIf
(Bearstart,colorDarkRed,colorPink)));
> Plot(y,"",Color,8);
>
> [see sin.gif]
> We shall use a smoothing procedure [IIR2 filter] as close to the
sinusoidal as possible. [see IIR2.gif]
> Of course the trend characteristics do not give the [-1, +1]
oscillation, but the convexity/concavity are still detectable.
> The superimpose of actual price candles gives a more descriptive
picture of the 4 phases.
> [see 4phases.gif]
> The full code is
>
> // The 4 phases of a stock graph
> // A. Smothing procedure
> function IIR2( input, f0, f1, f2 )
> {
> result[ 0 ] = input[ 0 ];result[ 1 ] = input[ 1 ];
> for( i = 2; i < BarCount; i++ )
> {
> result[ i ] = f0 * input[ i ] + f1 * result[ i - 1 ] + f2 * result[
i - 2 ];
> }
> return result;
> }
> C1=C;
> k=0.3;
> RD=IIR2( C1, 0.3, 1.2+K, -0.5-K);
> // B. Convexity definition
> y=RD;
> t=1;
> Convex=(y-Ref(y,-t))/t>=(y-Ref(y,-(t+1)))/(t+1);
> Concave=NOT(Convex);
> Ascending=y>=Ref(y,-1);
> Descending=NOT(ascending);
> // C. Trend phases
> Bullstart=Convex AND Ascending;// from A to B
> Bullend=Concave AND ascending;// from B to C
> Bearstart=Concave AND Descending;// from C to D
> Bearend=Convex AND Descending;// from D to E
> // D. Application
> Color=IIf(Bullstart,colorDarkGreen,IIf(Bullend,colorTurquoise,IIf
(Bearstart,colorDarkRed,colorPink)));
> Plot(y,"",Color,8+styleThick);
> Plot(C,"",47,64);GraphXSpace=5;
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