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If you have the time, it would be better to give more specific
descriptions/codes. This would help the [more than 1000] readers to
understand better your text ["optimize", "delta" etc]
This would also help the progress of this [hopefully interesting]
thread.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "sidleysh" <steves@xxxx> wrote:
> 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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