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The value of change can be much larger than Y & C, set the style
when you plot "Change" to StyleOwnScale and this should solve your
problems
Andrew
--- In amibroker@xxxxxxxxxxxxxxx, "Steve Almond" <steve2@xxxx> wrote:
> 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
> ----- Original Message -----
> From: Andrew
> To: 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;
>
>
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