|
PureBytes Links
Trading Reference Links
|
Hi,
I do not use r2 and s2. I use only r1 and s1 and only when the
circumstances warrant it, i.e, the signal requires one to enter at r1
or s1 because it is a weaker signal (usualy day-trading signal).
Usually the best price is often the Market on Open which ideally is
the previous sessions close price, but this works for only a stronger
signal, because for a stronger signal the predicted r1 or s1 may
never be touched and the Market opens and continues to go up or down
in the same direction, depending on whether you have a buy or sell
signal. But the weaker signal (day-trading signal) sometimes becomes
a good long-term signal. So, instead of waiting for a stronger
signal, I'm forced to trade the weaker signal also which has
drawdowns from where the market opened, and consequently have to
enter at r1 or s1 instead of MOO, to minimize drawdowns and maximize
profits.
One could consider the Adviser Rating to be a indication of the
strength of the signal. One doesn't have to use this. There are
other easier ways to determine the strength of the signal, which I
really can't discuss without discussing the design of my primary
trading system which is proprietary.
Thanks, for a fine piece of work.
Regards,
Pal
--- In amibroker@xxxxxxxxxxxxxxx, "MarkF2" <feierstein@xxxx> wrote:
> That's a great question. I see that Pal responded with his usual
home
> spun wisdom and think the following is closer to what you're looking
> for. I wrote an exploration to compare the support & resistance
> levels (s1, s2, r1, r2) to the lows and highs of the days
immediately
> following. The code is simple and self explanatory. You can then
> copy and past the results into your favorite spreadsheet or
statistics
> program. I think it's most useful to look at distributions of the
> results but since the graphics don't post here anymore, I did some
> stats to include 95% t confidence intervals on 5 years on AAPL,
INTC,
> and MSFT and the last year for all of the ND100 stocks. Looks like
r1
> and s1 are much better than r2 and s2.
>
> The Exploration:
>
> p = (H+L+C)/3;
> r1 = (2*p)-L;
> s1 = (2*p)-H;
> r2 = p +(r1 - s1);
> s2 = p -(r2 - s1);
>
> Filter = 1;
>
> AddColumn( DateTime(), "Date", formatDateTime );
>
> AddColumn( r1, "r1", 1.2 );
>
> AddColumn( r2, "r2", 1.2 );
>
> AddColumn( Ref(H,1), "Tom High", 1.2 );
>
> AddColumn( r1-Ref(H,1), "r1-TH", 1.2 );
>
> AddColumn( r2-Ref(H,1), "r2-TH", 1.2 );
>
> AddColumn( s1, "s1", 1.2 );
>
> AddColumn( s2, "s2", 1.2 );
>
> AddColumn( Ref(L,1), "Tom Low", 1.2 );
>
> AddColumn( s1-Ref(L,1), "s1-TL", 1.2 );
>
> AddColumn( s2-Ref(L,1), "s2-TL", 1.2 );
>
> The Stats:
>
> TH = Tomorrow's High and TL = Tomorrow's Low
>
> 1. AAPL Oct 98- Oct 03
>
> Variable Mean StDev SE Mean 95.0 % CI
> r1-TH -0.0044 1.1599 0.0327 ( -0.0687, 0.0598)
> r2-TH 0.6864 1.3892 0.0392 ( 0.6094, 0.7633)
> s1-TL -0.0048 1.1422 0.0322 ( -0.0681, 0.0584)
> s2-TL -1.3852 1.7022 0.0480 ( -1.4794, -1.2909)
>
> 2. INTC Oct 98- Oct 03
>
> Variable Mean StDev SE Mean 95.0 % CI
> r1-TH -0.0295 0.9505 0.0268 ( -0.0821, 0.0231)
> r2-TH 0.7002 1.1300 0.0319 ( 0.6377, 0.7627)
> s1-TL -0.0293 1.0275 0.0290 ( -0.0862, 0.0275)
> s2-TL -1.4663 1.4852 0.0419 ( -1.5485, -1.3841)
>
> 3. MSFT Oct 98- Oct 03
>
> Variable Mean StDev SE Mean 95.0 % CI
> r1-TH -0.0060 0.7022 0.0198 ( -0.0449, 0.0329)
> r2-TH 0.5625 0.8216 0.0232 ( 0.5171, 0.6080)
> s1-TL -0.0057 0.7449 0.0210 ( -0.0469, 0.0355)
> s2-TL -1.1369 1.0378 0.0293 ( -1.1943, -1.0794)
>
> 4. ND100 Stocks Oct 02- Oct 03
>
> Variable Mean StDev SE Mean 95.0 % CI
> r1-TH -0.02157 0.62947 0.00395 (-0.02930,-0.01383)
> r2-TH 0.47090 0.77880 0.00488 ( 0.46133, 0.48047)
> s1-TL -0.02238 0.60138 0.00377 (-0.02977,-0.01499)
> s2-TL -1.02103 0.95038 0.00596 (-1.03271,-1.00935)
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> > Since Pal claims to be using the Pivot Points AFL, which was
> > originally coded by Anthony I guess, I wonder if anyone has done
any
> > studies on this. I would have no idea how to do it, but I
suspect AB
> > could be coaxed into giving up some very interesting statistical
> > information about just how close the predictions turn out to be
over
> > times. I would further guess that even some profitable information
> > might be gleaned suggesting what to do if certain extreme levels
are
> > surpassed for example, or maybe other profitable insights. Then
> > again, maybe it's just an interesting graph that doesn't have any
> > profit potential. Anyone?
> >
> > Yuki
------------------------ Yahoo! Groups Sponsor ---------------------~-->
Buy Ink Cartridges or Refill Kits for your HP, Epson, Canon or Lexmark
Printer at MyInks.com. Free s/h on orders $50 or more to the US & Canada.
http://www.c1tracking.com/l.asp?cid=5511
http://us.click.yahoo.com/mOAaAA/3exGAA/qnsNAA/GHeqlB/TM
---------------------------------------------------------------------~->
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
|