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Good luck Dimitris.
Be carefull out there.
You know what happened in the area near
Kriti.
Is the wheater still bad?
Sjaak
<LABEL id=HbSession
SessionId="4125495459">
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
DIMITRIS
TSOKAKIS
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, January 25, 2004 1:54
PM
Subject: [amibroker] Re: Using Param() to
analyze system price-sensitivity
It is 10min before 15:00, in the middle of the Aegean
sea.Internet connection will be poor the next hours.I need 4-5h to
prepare the night fishing, now that the winds calm down.Wish me luck
[my calculations are not always enough...]For any fascinating AFL news, 10
h later, our "marconi" said to sign off, he knows better.DT--- In
amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:> YHOO [and/or web] delays are funny sometimes.>
Anyway, we talk the same language, another AFL plus...> Have a nice
day> Dimitris Tsokakis> --- In amibroker@xxxxxxxxxxxxxxx,
"DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx> > wrote:> >
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@xxxx]> > > > 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 <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 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> > > >
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