|
PureBytes Links
Trading Reference Links
|
<FONT face=Arial color=#0000ff
size=2>Thank you DT, for your explanation and demo. Shows that it is
best to understand the indicators one is using :-)
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>have a great day!
<FONT face=Arial color=#0000ff
size=2>herman.
<FONT face=Tahoma
size=2>-----Original Message-----From: DIMITRIS TSOKAKIS
[mailto:TSOKAKIS@xxxxxxxxx]Sent: January 25, 2004 4:38
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re:
Using Param() to analyze system price-sensitivity---
In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen" <psytek@xxxx>
wrote:> Hello,> > It took TJ's help to get this
little gem going, it allows you to place your> cursor anywhere on
your chart and modify/vary, using the Param(), the price> bar at
that position. This is very useful when evaluating the response of>
systems and indicators.> > Note that the modified price is only
available to subsequent code in the> same formula. If you want to
test a system you need to either paste the code> ahead of your
system's code or copy it into an include file. Or, if you need> the
change to apply to many formulas, you could use the SaveParameter()
and> GetParameter() OSAKA functions I posted some weeks ago to
accomplish that.> > In system analysis you may find that in
some systems a small price change of> a few cents may make the
difference between going Short or Long. In> Indicator analysis you may
find that the effect of a price change last much> longer than you
thought. For example the code below shows that a price> change may
effect the RSI(4) value as far away 20 bars away.> > have
fun!> herman.> > CursorBar =
SelectedValue(BarIndex()) == BarIndex();> ParamPrice =
SelectedValue(Close) * (1 + 0.01 *Param("Close %>
Change",0,-10,10,0.1));> Close =
IIf(CursorBar,ParamPrice,Close);> Plot(C,"Close",1,64);>
Plot(RSI(4),"RSI(3)",1,1|styleOwnScale,0,500);> StoRSI4 =
(RSI(4)-HHV(RSI(4),4))/(HHV(RSI(4),4)-LLV(RSI(4),4))*100;>
Plot(StoRSI4,"StoRSI4",1,1|styleOwnScale,0,500);>
for(n=0;n<=100;n=n+10)
Plot(n,"",0,1|styleOwnScale|styleNoLabel,0,500);> GraphXSpace =
50;Herman,The RSI uses EMA.[see varPER.txt in the Files
section]Due to the recursive EMA character, a step change of C needs
[theoretically] infinite number of bars to be absorbed. [see <A
href="">http://www.amibroker.com/library/detail.php?id=116
]In practical use you see a finite number of bars because of the
2-digit accuracy of your results.If RSI was using MA, then the
adaption time would be finite.Try to change by 20% a Close value 50 bars
ago for MAR1=MA(C,4);Plot(R1,"R1",1,1);L1=LastValue(Cum(1));
D=50;Ic=C;percentage=20/100;C[L1-D]=(1+percentage)*Ic[L1-D];R2=MA(C,4);Plot(R2,"R2",4,1);The
distortion will disappear in 4 bars, no matter if you use percentage 20%
or 50% or 100%.If you try
nowR1=EMA(C,4);Plot(R1,"R1",1,1);L1=LastValue(Cum(1));
D=50;Ic=C;percentage=20/100;C[L1-D]=(1+percentage)*Ic[L1-D];R2=EMA(C,4);Plot(R2,"R2",4,1);the
distortion will have much longer impact and it changes as you change the
percentage.Dimitris TsokakisSend BUG
REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
suggest@xxxxxxxxxxxxx-----------------------------------------Post
AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx (Web page: <A
href="">http://groups.yahoo.com/group/amiquote/messages/)--------------------------------------------Check
group FAQ at: <A
href="">http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
To visit your group on the web, go to:<A
href="">http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:<A
href="">amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the <A
href="">Yahoo! Terms of Service.
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
Yahoo! Groups Links
To visit your group on the web, go to:http://groups.yahoo.com/group/amibroker/
To unsubscribe from this group, send an email to:amibroker-unsubscribe@xxxxxxxxxxxxxxx
Your use of Yahoo! Groups is subject to the Yahoo! Terms of Service.
|