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[amibroker] Re: A new method, IV



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Erkan,
thank you for the info.
Ino guys may have a lifetime free use of method IV, I think 2 weeks 
is a real stress...
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, ERKAN BISEVAC <ebisevac@xxxx> wrote:
> Dimitris,
> On web site www.ino.com under market club they have striming audio 
and pdf file with charts that goes with it from George Lane. He is 
guy who with some others invented stochastic.
> You can take 2 weeks free trial.
> Erkan
> 
> Dimitris Tsokakis <TSOKAKIS@xxxx> wrote:
> The Daily-Weekly Stochastic divergence gives interesting 
Entries/Exits for futures.
> Should we use it as a basis of a trading system to trade both Light 
Crude Oil and Gold ?
> This method has some suggestions on the subject:
>  
> // CLZ03, GCZ03 research, by D. Tsokakis, Nov2003
> START=DateNum()==990802 ;Plot(10000,"",1,1);
> per=100;
> EVENT=BarsSince(START)%per==0;
> // The Daily-Weekly Stochastic Divergence
> TimeFrameSet( inDaily ); 
> sD = StochD(); 
> TimeFrameSet( inWeekly ); 
> sW=StochD(); 
> TimeFrameRestore(); 
> DailyStochD=TimeFrameExpand( sD, inDaily);
> WeeklyStochD=TimeFrameExpand(sW,inWeekly);
> Cond1=Ref(DailyStochD,-1)==HHV(DailyStochD,3);
> sD1=ValueWhen(Cond1,Ref(DailyStochD,-1));
> Cond2=Ref(DailyStochD,-1)>70 AND Ref(sD1,-1)>sD1 ;
> Cond3=WeeklyStochD>Ref(WeeklyStochD,-5);
> Div=Cond2 AND Cond3;
> Cond11=Ref(DailyStochD,-1)==LLV(DailyStochD,3);
> sD11=ValueWhen(Cond11,Ref(DailyStochD,-1));
> Cond21=Ref(DailyStochD,-1)<30 AND Ref(sD11,-1)<sD11 ;
> Cond31=WeeklyStochD<Ref(WeeklyStochD,-5);
> Div1=Cond21 AND Cond31;
> // The trading system
> Buy=div1;Sell=div;Short=Sell;Cover=Buy;
> // the Indicator builder part
> E34=Equity(1,0);z=Cum(event);
> Counter=Cum(EVENT)%10;
> shape=IIf(Counter==1,shapeDigit0,
> IIf(Counter==2 ,shapeDigit1,
> IIf(Counter==3 ,shapeDigit2,
> IIf(Counter==4 ,shapeDigit3,
> IIf(Counter==5 ,shapeDigit4,
> IIf(Counter==6 ,shapeDigit5,
> IIf(Counter==7 ,shapeDigit6,
> IIf(Counter==8 ,shapeDigit7,
> IIf(Counter==9 ,shapeDigit8,
> shapeDigit9)))))))));
> PlotShapes(shape*EVENT,colorBlack,0,Graph0,0);
> dcounter=1+Cum(Counter==1 AND Ref(Counter,-1)==0);
> dshape=IIf(dCounter==1,shapeNone,
> IIf(dCounter==2 ,shapeDigit1,
> IIf(dCounter==3 ,shapeDigit2,
> IIf(dCounter==4 ,shapeDigit3,
> IIf(dCounter==5 ,shapeDigit4,
> IIf(dCounter==6 ,shapeDigit5,
> IIf(dCounter==7 ,shapeDigit6,
> IIf(dCounter==8 ,shapeDigit7,
> IIf(dCounter==9 ,shapeDigit8,
> shapeDigit9)))))))));
> PlotShapes(dshape*event,colorBlack,0,Graph0,10);
> // The Automatic Analysis part
> AddColumn(z-1,"IP",1.0,colorBlack,colorOrange);AddColumn(E34,"E");
> for(IPsAgo=2;IPsAgo<LastValue(z);IPsAgo=IPsAgo+1)
> {
> Progress=100*(-1+E34/ValueWhen(event,E34,IPsAgo+1));
> AddColumn(Progress,WriteIf(IPsAgo==2,"Progress ","")+WriteVal
(IPsAgo,1.0)+" IPs ago",1.2,colorBlack,IIf
(Progress>0,colorBrightGreen,colorRed));}
> Filter=event;
>  
> Explore both above futures for all quotations [data at least from 
Jan1999 till now...]
> The attached gif is the main purpose of this study.
> The way LightCrudeOil is traded does not match to this style, it 
has a lot of problems [red cells] for both the short-term
> and the long-term trader. The Daily-Weekly divergence may give 
interesting signals, but it can not be the basis of a system,
> its role should be only consultive.
> The Gold trading profile is closer to this method.[the matrix is 
full of green cells for short and long time frames]
> The  D-W StochD Div may be the basis of a trading system, if we 
suppose that gold traders
> will not change dramatically thier habits.
> Above all, the Daily-Weekly divergence is a way to "code" the style 
of trading.
> [CL goes much better with the usual daily chart Stochastic 
Divergence, as posted from time to time to this great list...]
>  
>  
> 
> 
>  
> ----- Original Message ----- From: Dimitris Tsokakis 
> To: amibroker@xxxxxxxxxxxxxxx 
> Sent: Tuesday, November 04, 2003 2:08 PM
> Subject: A new method, III
> 
> 
> 
> Here is another, interesting, QQQ approach.
> The P=15, d=65 gave nice profits the bearish years, has some small 
problem the last months of the bearish cycle [IP5 to IP6] and 
> is profitable again.
> The "5 IPs ago" followers [time frame =500 bars] did not even feel 
the IP5, IP6 decline.
> The respective code is
>  
> START=DateNum()==1000601 ;Plot(5000,"",1,1);
> per=100;
> EVENT=BarsSince(START)%per==0;
> // The trading system
> P=Optimize("p",15,5,50,5);
> X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref(C,-
1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)+
(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));
> d=Optimize("d",65,-80,80,1);
> Sell=Cross(x5,d);Buy=Cross(-D,X5);
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> Short=Cross(D,X5);Cover=Buy;
> // the Indicator builder part
> E34=Equity(1,0);z=Cum(event);
> Counter=Cum(EVENT)%10;
> shape=IIf(Counter==1,shapeDigit0,
> IIf(Counter==2 ,shapeDigit1,
> IIf(Counter==3 ,shapeDigit2,
> IIf(Counter==4 ,shapeDigit3,
> IIf(Counter==5 ,shapeDigit4,
> IIf(Counter==6 ,shapeDigit5,
> IIf(Counter==7 ,shapeDigit6,
> IIf(Counter==8 ,shapeDigit7,
> IIf(Counter==9 ,shapeDigit8,
> shapeDigit9)))))))));
> PlotShapes(shape*EVENT,colorBlack,0,Graph0,0);
> dcounter=1+Cum(Counter==1 AND Ref(Counter,-1)==0);
> dshape=IIf(dCounter==1,shapeNone,
> IIf(dCounter==2 ,shapeDigit1,
> IIf(dCounter==3 ,shapeDigit2,
> IIf(dCounter==4 ,shapeDigit3,
> IIf(dCounter==5 ,shapeDigit4,
> IIf(dCounter==6 ,shapeDigit5,
> IIf(dCounter==7 ,shapeDigit6,
> IIf(dCounter==8 ,shapeDigit7,
> IIf(dCounter==9 ,shapeDigit8,
> shapeDigit9)))))))));
> PlotShapes(dshape*event,colorBlack,0,Graph0,10);
> // The Automatic Analysis part
> AddColumn(z-1,"IP",1.0,colorBlack,colorOrange);AddColumn(E34,"E");
> for(IPsAgo=2;IPsAgo<LastValue(z);IPsAgo=IPsAgo+1)
> {
> //AddColumn(ValueWhen(event,E34,IPsAgo+1),"E34 2 IPsAgo");
> Progress=100*(-1+E34/ValueWhen(event,E34,IPsAgo+1));
> AddColumn(Progress,WriteIf(IPsAgo==2,"Progress ","")+WriteVal
(IPsAgo,1.0)+" IPs ago",1.2,colorBlack,IIf
(Progress>0,colorBrightGreen,colorRed));}
> Filter=event;
>  
> Do not be surprised with the modified d=Optimize("d",65,-
80,80,1); , some stocks style is contrarian and it is better to buy 
high CMO and sell low...
>  
> ----- Original Message ----- From: Dimitris Tsokakis 
> To: amibroker@xxxxxxxxxxxxxxx 
> Sent: Tuesday, November 04, 2003 1:15 PM
> Subject: A new method, II
> 
> 
> 
> The same code may give another interesting result.
> Select a stock, say BEAS and hit optimize.
> Replace the optimal solution [=41] in the default place
> d=Optimize("d",41,10,80,1);
> and Explore the current stock for all quotations. 
> The result matrix is quite informative for the past behavior of the 
recent optimal solution. It was always good, had some problems around 
IP5, IP6
> [autumn 2002] but came back to profits.
> The optimal d=64 for CSCO was not always safe.
> For INTC, the d=13 is also interesting : After a congestive period 
around IP5, IP6 [spring-autumn 2002] it came back to progressive 
profits.
> The optimal d=54 for ^NDX is rather coincidental [the profits are 
mainly due to the period IP2 to IP3] and does not give [IMO] any kind 
of 
> guarantee for a future use. 
>  
> ----- Original Message ----- From: Dimitris Tsokakis 
> To: amibroker@xxxxxxxxxxxxxxx 
> Sent: Tuesday, November 04, 2003 12:28 PM
> Subject: A new method
> 
> 
> 
> Except the Equity values, we need the Equity progress as time goes 
by. 
> A stock may be highly profitable for 6 months, two years ago and 
presents high Equity value in a 3-year period, but it may be a loser 
the last year.
> For this study we may establish some Inspection Points, equally 
distributed in the test period and check the relative Equity progress.
> The code is divided into 4 parts.
> 1. Introduction
> START=DateNum()==1000601 ;Plot(5000,"",1,1);
> 
> My data begin on Jan2000. The majority of the indicators I use are 
well defined the first 6 months. June1, 2000 is a good starting 
point .
> The 5000 line is placed below the initial Equity 10000, many stocks 
have loosing periods and it is used to align the IP digits.
> per=100;
> EVENT=BarsSince(START)%per==0;
> The IPs will be placed every 100 bars for the inspection EVENT. The 
distance of each IP from the starting date is a multiple of 100.
> 2. The trading system
> CMO5 with threshold d=58 was selected for the examples.Long&Short 
trades are included, the system is almost always in the market.
> 3. The Indicator builder part
> Scan and backtest the stock [or the database] for all quotations. 
Hit Equity button and you will automatically have a new IB pane with
> the Equity, the B&H yellow line and the IPs counter on the same 
graph. If you place your cursor on IP6 you may read the respective 
Equity
> and B&H value.
> 4. The AA part.
> Explore the stock [or the database] for all quotations.
> The 
> Filter=event; 
> will check only the IP dates.
> The 1st column is the name of the stock, the 2nd is the IP dates
> The 3rd column is the IP number [from 0 to 8 in the example]
> The 4th column[E34] is the Equity value for the respective IP.
> We see for APOL 21,830 on 1/6/2000, 28900 on 23/10/2000 etc.
> The 5th column[Progress 2 IPs ago] checks per IP the % of the 
Equity progress 2 IPs ago.
> The 8th IP is compared to the 6th, the 7th is compared to the 5th 
etc.
> The two first IPs are without comparison.
> The 6th column[3 IPS ago] checks per IP the % progress of the 
Equity compared to the IP 3 IPs ago.
> The comparison will be continued until the progress of the last IP 
related to the first.
> We read in APOL last row, last column 314.64. The  Equity for IP8 
is 90,518.73, the Equity for IP0 is 21,830.66
> and the progress is 90,518.73/21,830.66=4.1464 or 314.64%, which 
gives the gain if the Entry is IP0 and the Exit is IP8. 
> For easy reading, positive progress has green background and 
negative progress has red.
>  
> // The progress of the Equity curve, by D. Tsokakis, Nov2003
> START=DateNum()==1000601 ;Plot(5000,"",1,1);
> per=100;
> EVENT=BarsSince(START)%per==0;
> // The trading system
> P=5;
> X5=100*((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P))-(Sum(IIf(C<Ref(C,-
1),(Ref(C,-1)-C),0),P)))/((Sum(IIf(C>Ref(C,-1),(C-Ref(C,-1)),0),P)+
(Sum(IIf(C<Ref(C,-1),(Ref(C,-1)-C),0),P))));
> d=Optimize("d",58,10,80,1);
> Sell=Cross(x5,d);Buy=Cross(-D,X5);
> Buy=ExRem(Buy,Sell);Sell=ExRem(Sell,Buy);
> Short=Cross(D,X5);Cover=Buy;
> // the Indicator builder part
> E34=Equity(1,0);z=Cum(event);
> Counter=Cum(EVENT)%10;
> shape=IIf(Counter==1,shapeDigit0,
> IIf(Counter==2 ,shapeDigit1,
> IIf(Counter==3 ,shapeDigit2,
> IIf(Counter==4 ,shapeDigit3,
> IIf(Counter==5 ,shapeDigit4,
> IIf(Counter==6 ,shapeDigit5,
> IIf(Counter==7 ,shapeDigit6,
> IIf(Counter==8 ,shapeDigit7,
> IIf(Counter==9 ,shapeDigit8,
> shapeDigit9)))))))));
> PlotShapes(shape*EVENT,colorBlack,0,Graph0,0);
> dcounter=1+Cum(Counter==1 AND Ref(Counter,-1)==0);
> dshape=IIf(dCounter==1,shapeNone,
> IIf(dCounter==2 ,shapeDigit1,
> IIf(dCounter==3 ,shapeDigit2,
> IIf(dCounter==4 ,shapeDigit3,
> IIf(dCounter==5 ,shapeDigit4,
> IIf(dCounter==6 ,shapeDigit5,
> IIf(dCounter==7 ,shapeDigit6,
> IIf(dCounter==8 ,shapeDigit7,
> IIf(dCounter==9 ,shapeDigit8,
> shapeDigit9)))))))));
> PlotShapes(dshape*event,colorBlack,0,Graph0,10);
> // The Automatic Analysis part
> AddColumn(z-1,"IP",1.0,colorBlack,colorOrange);
> AddColumn(E34,"E34");
> for(IPsAgo=2;IPsAgo<LastValue(z);IPsAgo=IPsAgo+1)
> {
> Progress=100*(-1+E34/ValueWhen(event,E34,IPsAgo+1));
> AddColumn(Progress,WriteIf(IPsAgo==2,"Progress ","")+WriteVal
(IPsAgo,1.0)+" IPs ago",1.2,colorBlack,IIf
(Progress>0,colorBrightGreen,colorRed));}
> Filter=event;
>  
> In every cell of this AA matrix we read the % progress of the 
Equity in comparison to the previous IPs [in the example per=100 
means we check 
> 200 bars ago, 300 bars ago etc]
> Let us have a first taste of the matrix info:
> *APOL is full of green cells. At any IP the correlation to any 
previous IP is positive. The first column presents the progress 
related to 2IPs ago.
> It was +129.10% back on March2001, +58.16% on Oct2002 and just a 
+5.19% on Aug2003, compared to the Equity 200 bars ago.
> [Time for a red cell in the next inspection ???]
> *The tough question for APOL is already a fact for BEAS. 
> The last IP has red cells, compared to the 2IPs ago, 3IPS ago, 4IPS 
ago and 5IPS ago [500 bars ago]
> *APCC was a horrible example for CMO5, it was steadily a loser from 
IP0 to IP6.
> The last IP8 is 97.12% profitable for the last 200 bars and 34.86% 
profitable for the last 300 bars.
> The preference of APOL or APCC is not an easy question. 
> A recent trader would enjoy almost a double price with APCC and 
only a 5% with the top APOL.
> *BGEN has some CMO5 problems the last 3 IPs. The small +3.24% [IP5, 
column 2IPs ago] was quite informative for BGEN future movements...
> *INTC is not good the last 400 bars [The small +3.83 at the IP4 
anticipated a red future...]
> The last -9.50% is an indication for positive IPs soon.
> *INTU has some good CMO5 news. After the decline of the "2IPs ago" 
column [66%, 39%, 13%, 2%] a new +46% came to change the 
perspectives .
> I think we may "read" a lot of informations from this matrix.
> Dimitris Tsokakis
> 
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