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There was a typo, K<50 instead of the correct
K<=50.
Please ignore the previous message.
Dimitris Tsokakis
----- Original Message -----
From: <A
title=tsokakis@xxxxxxxxx href="">Dimitris Tsokakis
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, October 08, 2003 11:05 AM
Subject: A Hi-pass filter
The
systemBuy=Cross(StochD(),K);Sell=Cross(50,StochD());has 5 equity
lines for k=30, 35, 40, 45 and 50.[colorTan].An event occurred some time ago
[red cycle].We mark the equity values for that day [black horizontal lines]
for further use.The decision is to follow the leader for further trading
[blue dotted line]Is this decision always the best ?The title is
informative :You may see the partial gains per parameter, the Hi-pass K
value, the Hi-pass Equity and compare the relative %Gain.It is a first
attempt to investigate the excellent question of <A
href="">http://groups.yahoo.com/group/amibroker/message/49236
The distance up to the final project is
long.
// A Hi-pass
filterEVENT=DateNum()==1030617;PlotShapes(shapeCircle*EVENT,colorRed);G=0;CountER=0;Title=Name(); for(K=30;K<=50;K=K+5){Buy=Cross(StochD(),K);Sell=Cross(50,StochD());E1=Equity(1,0);E11=ValueWhen(EVENT,E1);T11=ValueWhen(EVENT,Cum(1));G=IIf(G>E11,G,E11);CountER=CountER+1;Plot(E1,"\nE1["+WriteVal(K,1.0)+"]",colorTan,1);Plot(E11,"E11["+WriteVal(K,1.0)+"]",1,1);PG=100*(-1+E1/E11);Title=Title+"\n"+"Gain["+WriteVal(K,1.0)+"]="+WriteVal(PG,1.2)+"%";}Plot(G,"\nG",colorBlue,8);CountER=0;Kpass=0;HIPASS=0;for(K=30;K<=50;K=K+5){Buy=Cross(StochD(),K);Sell=Cross(50,StochD());E1=Equity(1,0);E11=ValueWhen(EVENT,E1);CountER=CountER+1;PASS=IIf(E11==G,E1,0);HIPASS=HIPASS+PASS;GAIN=100*(-1+HIPASS/G);K1=IIf(E11==G,K,0);Kpass=Kpass+K1;}Plot(HIPASS,"\nHI-PASS
[k="+WriteVal(kpass,1.0)+"]",colorBlue,8);Title=Title+"\n"+"Hi-pass
K="+WriteVal(kpass,1.0)+", Hi-pass E="+WriteVal(HIPASS)+",
Gain="+WriteVal(GAIN,1.2)+"%";
Note1 : The G-level, the HIGHPASS line
and the Kpass value are out of the loop and are available for futher
use.Comment all the inside plots, ie// A Hi-pass
filterEVENT=DateNum()==1030617;PlotShapes(shapeCircle*EVENT,colorRed);G=0;CountER=0; Title=Name(); for(K=30;K<=50;K=K+5){Buy=Cross(StochD(),K);Sell=Cross(50,StochD());E1=Equity(1,0);E11=ValueWhen(EVENT,E1);T11=ValueWhen(EVENT,Cum(1));G=IIf(G>E11,G,E11);CountER=CountER+1;//Plot(E1,"\nE1["+WriteVal(K,1.0)+"]",colorTan,1);//Plot(E11,"E11["+WriteVal(K,1.0)+"]",1,1);PG=100*(-1+E1/E11); Title=Title+"\n"+"Gain["+WriteVal(K,1.0)+"]="+WriteVal(PG,1.2)+"%";}Plot(G,"\nG",colorBlue,8);CountER=0;Kpass=0;HIPASS=0;for(K=30;K<=50;K=K+5){Buy=Cross(StochD(),K);Sell=Cross(50,StochD());E1=Equity(1,0);E11=ValueWhen(EVENT,E1);CountER=CountER+1;PASS=IIf(E11==G,E1,0);HIPASS=HIPASS+PASS;GAIN=100*(-1+HIPASS/G);K1=IIf(E11==G,K,0);Kpass=Kpass+K1;}Plot(HIPASS,"\nHI-PASS
[k="+WriteVal(kpass,1.0)+"]",colorBlue,8); Title=Title+"\n"+"Hi-pass
K="+WriteVal(kpass,1.0)+", Hi-pass E="+WriteVal(HIPASS)+",
Gain="+WriteVal(GAIN,1.2)+"%";
to see the Hi-pass filter action. The only actual lines after
the red cycle are the G-level and the HI-PASS equity.
Note2 :If you comment all the
title statements, ie// A Hi-pass
filterEVENT=DateNum()==1030617;PlotShapes(shapeCircle*EVENT,colorRed);G=0;CountER=0;//
Title=Name(); for(K=30;K<=50;K=K+5){Buy=Cross(StochD(),K);Sell=Cross(50,StochD());E1=Equity(1,0);E11=ValueWhen(EVENT,E1);T11=ValueWhen(EVENT,Cum(1));G=IIf(G>E11,G,E11);CountER=CountER+1;Plot(E1,"\nE1["+WriteVal(K,1.0)+"]",colorTan,1);Plot(E11,"E11["+WriteVal(K,1.0)+"]",1,1);PG=100*(-1+E1/E11);//
Title=Title+"\n"+"Gain["+WriteVal(K,1.0)+"]="+WriteVal(PG,1.2)+"%";}Plot(G,"\nG",colorBlue,8);CountER=0;Kpass=0;HIPASS=0;for(K=30;K<=50;K=K+5){Buy=Cross(StochD(),K);Sell=Cross(50,StochD());E1=Equity(1,0);E11=ValueWhen(EVENT,E1);CountER=CountER+1;PASS=IIf(E11==G,E1,0);HIPASS=HIPASS+PASS;GAIN=100*(-1+HIPASS/G);K1=IIf(E11==G,K,0);Kpass=Kpass+K1;}Plot(HIPASS,"\nHI-PASS
[k="+WriteVal(kpass,1.0)+"]",colorBlue,8);// Title=Title+"\n"+"Hi-pass
K="+WriteVal(kpass,1.0)+", Hi-pass E="+WriteVal(HIPASS)+",
Gain="+WriteVal(GAIN,1.2)+"%";
you may see more details for the partial
equities.
The credits go to Steve, we should discuss his question long
time ago...
Dimitris Tsokakis
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