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Andrew,
This "change" has a very queer effect on my charts. As I click
through a group of charts, the 'change' curve remains full scale, but the other
curves 'Y' and 'C' shrink in the vertical plane to become straight lines
eventually!
Anyone else see this?
Steve
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=a.perrin@xxxxxxxxxxxxxxx
href="">Andrew
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, September 27, 2003
01:12
Subject: [amibroker] Re: Convexity,
Concavity and their use
To measure how "deep" the concave/convex is you could
insert these 2 lines of code into DT's afl. The greater the upward
concave the higher the value of positive value of "change", The greater
the downward concave the more negative the value of
"change".Change =((y-Ref(y,-t))/t) - ((y-Ref(y,-(t+1)))/(t+1))
;Plot(Change,"Change",colorYellow,32770);Andrew--- In
amibroker@xxxxxxxxxxxxxxx, "sidleysh" <steves@xxxx> wrote:> OK -
I will try and be more articulate.> > The code you generously
developed identified concave and convex > shapes in the chart, after
some initial smoothing. This indicates > areas where the chart was
accelarating or decelerating in either > an 'up' direction or a'down'
direction. You identified these as > bullstart, bearstart, etc.>
> I optmizied on both your K paraneter (for smoothing) and T
parameter > (for lookback period) and was able to get nice resutls
for indivdual > stocks, but could not find a robust set of
paramters for a basket (in > this case the NDX100).>
> This led to a suggestion for 2 possible improvements to the
code:> > 1) A way to identify only 'deep' concaves and convexes
- which would > signal fast acceleration/deceleration, which,
presumably would signal > the start of a short trend. For 'shallow'
concaves and convexes, the > strategy would be to hold
position.> 2) A more adaptive smoothing algorithm> >
> Cheers,> > Steve> > > --- In
amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
> wrote:> > 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;Send
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