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Herman,
It would be interesting to calculate how many bars we need to absorb
a 10% distortion of C [absorb means distortion < 1% for example].
Unfortunately it also depends on the initial RSI(4) value and the
number is not the same for any stock.
It may takes 30 or 40 bars sometimes.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Herman vandenBergen" <psytek@xxxx>
wrote:
> Thank you DT, for your explanation and demo. Shows that it is best
to
> understand the indicators one is using :-)
>
> have a great day!
> herman.
> -----Original Message-----
> From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Sent: January 25, 2004 4:38 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [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 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 MA
>
> R1=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 now
>
> R1=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 Tsokakis
>
>
>
>
>
> Send BUG REPORTS to bugs@xxxx
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