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Example:
If the Close array has a 10% distortion 100 bars ago [GREEN
TRIANGLE], when the RSI(4) has less than 0.01 distortion ?
Try the
R1=RSI(4);
Plot(R1,"R1",1,1);
L1=LastValue(Cum(1)); D=100;
Ic=C;
percentage=10/100;
C[L1-D]=(1+percentage)*Ic[L1-D];
R2=RSI(4);
Plot(R2,"R2",4,1);
Plot((Cum(1)>L1-D)*(abs(R1-R2)<0.01),"",7,2+styleThick);
GraphXSpace=1;
PlotShapes((Cum(1)==L1-D)*shapeUpTriangle,colorBrightGreen);
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> 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
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
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> >
> >
> >
> > ------------------------------------------------------------------
--
> --------
> > --
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> >
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> >
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Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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