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Michael,
thank you for your interesting message.
I spent a lot of time tweaking the per for the trendlines. It was
driving me to the wrong way, per=2.5 was better than per=3 for ^NDX
but worse for MSFT etc.
So, I decided to keep per=3 [for Close graphs] and see the existing
opportunities, as if there was not any per alternative.
The stress disappeared immediately and everything is OK.
Of course this is a personal choice...
Your second question was very important, I will try to reply in the
next message.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Michael Robb" <mlrobb@xxxx> wrote:
> Dimitris,
>
> Let us suppose I decide to utilize your automatic trendline formula
as an indicator in an automatic trading alert; the actual trades
being initiated at the second close in excess of the relevant S or R
line: this second close may be more elaborately defined OHLC > S or R.
>
> As I have never coded this, I do not pretend to know enough to
begin. Is this something you have published that can be combined?
>
> Since the various stock index futures have the diversification
(homogenization) to effect price stability, relatively free of gaps
and gap type prolonged excesses, I elect the ticker ES Z3. In order
to view more trendlines I change your per = 3 to either per=0.3 or
even per = 0.03.
>
> Would you propose any way of making this per adjustment more
realistic or systematic? Or is the eyeball preference sufficient? I
do not require a specific time per trade or amount. It just appeals
to me as an avenue of mechanics applied to what has been left to
discretion and the fancy of personal preference in the past.
>
> II. This is fascinating work you are doing lately, especially this
approach to trendline drawing. I have been most pleased with your
RSIMACD II, but lately have seen deterioration in results due, I
believe, to the upwardly slanted (manipulated?) corrective behavior,
that would long ago have resolved itself into the normal succession
of direction followed subsequently by correction so typical of
markets much of the time where ATR is sufficient to produce
substantial profit trading OB OS.
>
> Sincerely,
>
> Michael Robb
> ----- Original Message -----
> From: DIMITRIS TSOKAKIS
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Tuesday, October 28, 2003 9:19 PM
> Subject: [amibroker] /*Breakout ROC*/
>
>
> Phsst,
> Instead of coeff you may think in ROC terms.
> Let us calculate the necessary ROC for a Support or a Resistance
> breakout.
> We have an advantage here : Trendlines are already defined and
their
> next bar value is known [if of course the line will be the
same...]
> as nextS or nextR, with its x just replaced by x+1.
> Explore the database for the n=1 last quotations
> /*Breakout ROC*/
> x = Cum(1);per = 3;s1=L;s11=H;
> pS = TroughBars( s1, per, 1 ) == 0;
> endt=LastValue(ValueWhen( pS, x ,1));
> startt=LastValue(ValueWhen( pS, x ,2));
> dtS =endt-startt;
> endS = LastValue((ValueWhen( pS, s1,1) ));
> startS = LastValue(( ValueWhen( pS, s1 ,2)));
> aS = (endS-startS)/dtS;bS = endS;
> trendlineS = aS * ( x -endt ) + bS;
> nextS=aS * ( x+1 -endt ) + bS;
> pR = PeakBars( s11, per, 1 ) == 0;
> endt1= LastValue(ValueWhen( pR, x, 1));
> startt1=LastValue(ValueWhen( pR, x, 2 ));
> dtR =endt1-startt1;
> endR = LastValue(ValueWhen( pR, s11, 1 ) );
> startR = LastValue( ValueWhen( pR, s11, 2 ));
> aR = (endR-startR)/dtR;bR = endR;
> trendlineR = aR * ( x -endt1 ) + bR;
> nextR=aR * ( x+1 -endt1 ) + bR;
> SupRoc=100*(-1+nextS/C);
> ResRoc=100*(-1+nextR/C);
> TouchThreshold=1;// clibrate the touch %
> Filter=C>=nextS AND C<=nextR;
> AddColumn(C,"C");
> AddColumn(nextR,"nextR");
> AddColumn(ResRoc,"Resistance Breakout % >=");
> AddColumn(ResRoc<=TouchThreshold,"Resistance touch",1.0);
> AddColumn(nextS,"nextS");
> AddColumn(SupRoc,"Support Breakout % <=");
> AddColumn(SupRoc>=-TouchThreshold,"Support touch",1.0);
>
> Note 1. I search only for stocks between the Support and the
> Resistance line .
> Note 2. The crucial hypothesis is that the trendlines will remain
the
> same until tomorrow.
> Note 3.TouchThreshold=1 means your Close is closer than 1% to
next
> bar Support or Resistance .
> I hope it will help the research.
> On the other side, the
> http://groups.yahoo.com/group/amibroker/message/50662
> will give you the opportunity to recall recent trendlines
formations
> and see what was correct and what was wrong for the decisions of
the
> past.
> Dimitris Tsokakis
>
>
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