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sjaak,
thank you very much !!
Do not worry, there are some people [not many] I trust.
Everything will be OK !!
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, sjaak haasnoot <sjaakhaasnoot@xxxx>
wrote:
> Good luck Dimitris.
> Be carefull out there.
> You know what happened in the area near Kriti.
> Is the wheater still bad?
>
> Sjaak
>
>
>
>
>
> ----- Original Message -----
> From: DIMITRIS TSOKAKIS
> To: 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@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
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> > > > >
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> > > > >
> > > > >
> > > > >
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