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Dimitris,
An interesting idea.
i had been playing with the idea of detrending data to look at
patterns. i tried a two way EMA of prices -- going forward and
backwards, averaging the two values, and dividing the price by the
result. Another alternative could be to somehow incorporate the
linear regression slope for the whole period.
Something like the following....hope it's useful..the sawtooth
oscillator can work on ordinary data. It looks better without the
detrend graph, but to all intents and purposes, the oscillator shows
the same fluctuations with the ordinary data as the 'detrended'. My
boundary conditions need some work. I'll be interested to see where
you go with your idea.
/*sawtooth osc.detrended*/
/*detrend*/
EnableScript("VBScript");
<% Close = AFL("close")
dt=Close
ub=UBound(dt)
for i = 0 to UBound (dt )
if i=0 then dt(i)=dt(i)end if
if i=ub then dt(i)=dt(i)end if
if ((i>0) AND (I<ub))then
alpha=ub+1
x=(alpha-2)/alpha
y=2/alpha
Ci1=dt(i-1)
dt(i)=((ci1*x) + dt(i)*y)
end if
Close(i)=Close(i)/dt(i)
next
AFL("dtClose1") = Close
Close = AFL("close")
dt=Close
ub=UBound(dt)
i=ub
while(i>-1)
if i=0 then dt(i)=dt(i)end if
if i=ub then dt(i)=dt(i)end if
if ((i>0) AND (I<ub))then
alpha=ub+1
x=(alpha-2)/alpha
y=2/alpha
Ci1=dt(i+1)
dt(i)=((ci1*x) + dt(i)*y)
end if
Close(i)=Close(i)/dt(i)
i=i-1
wend
AFL("dtClose2") = Close
%>
detrendedClose=(dtClose1+dtClose2)/2;
Graph0=x=detrendedClose;
/*sawtooth oscillator
z=z1=6;
H1=(Max(EMA(C,z),C));L1=(Min(EMA(C,z),C));
r1=H1-L1;
C1=abs(C-L1);
i=EMA((c1)/r1,z1);
e=.0001;f=.045;
i=IIf(i>(1-e),1,i);
i=IIf(i<f,0,i);
Graph1=i;*/
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> If we remove the trend successfully, the price chart will be
> transformed into an oscillator.
> Something is coming from the corner, stay tuned !!
> Dimitris Tsokakis
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