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Hi John,
I am not sure what 'couldn't make it work' means. If you can provide the
error message, maybe we can figure it out. (If it was the Amibroker library
code causing the error, instead of CutnPaste, try clicking on the 'Download
formula file' link.)
BTW, the library code looks to buy in situations in which the short-term HV
gets significantly below the long term HV. Yours seems to look for the
opposite: buy when the short-term is above the long-term HV.
I would like to backtest some of these HV-related systems, having just
bought Connors 'Options and Volatility Trading' book. Does 'Street Smarts'
discuss what the Sell condition should be for the system you attempted to
implement?
Regarding your code, a couple of thoughts:
a) for Cond1, instead of Cross(Vol,1.5), you might want to try the less
restrictive 'Vol > 1.5' instead
b) your ShortPrice uses your Buy condition; I am not sure you intend
this
thanks again,
-john
----- Original Message -----
From: "John" <jea55129@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, January 09, 2004 4:39 AM
Subject: [amibroker] Re: Sammy Chua
> Hi John,
>
> By hang on I meant that the volatility has increased and a big move
> is being made or about to be made. I have yet to find a way to make
> sure I am on the right side of this move.
> I meant to code it the same as in the "Street Smarts" book. Being
> code challenged it seems you found my mistake. I also tried to
> CutnPaste the code at the link you provided and couldn't make it
> work. Here is the rest of the code that I have. It has been a while
> since I looked at it and at the time I could not get the buys and
> sells to plot correctly.
> Maybe you can.
>
> Plot( C, "Price", colorBlack, styleCandle );
> Vol = StDev(log(C/Ref(C,-1)),6) / StDev(log(C/Ref(C,-1)),100);
> NR4Day = (H - L) < Ref(LLV(H-L,3),-1);
> Cond1 = Cross(Vol, 1.500);
> Cond2 =(NR4Day == 1 OR Inside()) AND Cond1;
> Buy=Cond2;
>
> BuyPrice = ValueWhen(Buy,Ref(H,-1));
> ShortPrice = ValueWhen(Buy,Ref(L,-1));
>
> shape = BuyPrice * shapeUpArrow + ShortPrice * shapeDownArrow;
> PlotShapes(shapeUpTriangle*BuyPrice,colorRed);
> PlotShapes(shapeDownTriangle*ShortPrice,colorBlue);
>
> Regards,
>
> John
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> wrote:
> > Hi John,
> >
> > Thanks, John.
> >
> > When you say hang-on, what do you mean?
> >
> > Do you subscribe to the volatility-will-revert-to-the-mean theory?
> > Thanks; as you probably know, rather than provide a single
> volatility
> > figure, your formula plots a ratio of the 7-period HV to the 101-
> period HV
> > and is similar to the one here:
> >
> > http://www.amibroker.com/library/detail.php?id=115
> >
> > In case anyone is interested, the Optionetics folks use an
> _annualized_
> > Historical/Statistical Volatility calculation, so it can be
> compared against
> > an annualized Implied Volatility. I am enclosing the Excel
> spreadsheet I
> > used to confirm the annualized calculations of in the Cajun5's 8
> January
> > 2004 8:55 post in this thread:
> >
> > http://tinyurl.com/yt6eu
> >
> > -john
> > ----- Original Message -----
> > From: "John" <jea55129@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Thursday, January 08, 2004 11:19 AM
> > Subject: [amibroker] Re: Sammy Chua
> >
> >
> > > John,
> > >
> > > Here is one that I use/
> > >
> > > Vol = StDev(log(C/Ref(C,-1)),6) / StDev(log(C/Ref(C,-1)),100);
> > > Plot(Vol,"Vol",1,1);
> > >
> > > Custom scale=0 & 2.0
> > > Show dates and Middle checked.
> > > When it reaches 1.5 hang on.
> > > John
> > > -- In amibroker@xxxxxxxxxxxxxxx, "john gibb" <jgibb1@xxxx> wrote:
>
>
>
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