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<FONT face=Arial color=#0000ff
size=2>Dimitris,
<FONT face=Arial color=#0000ff
size=2>
Some
interesting work. . I must admit I have no idea what it is telling us....You
show the setting for s on Ti3(5) to be .77 =1.12% and s for Ti3(5) set to
.78 =1.16. This relates to your findings of Divergence for dema(20)=1.11% and
Tema(20)= 1.61%. Are you telling us that Ti3(5) with s=.77 is roughly equivalent
to a dema(20)?? I am assuming that you seek the least amount of divergence so
are you proving that dema(20) produces less divergence than a ti3(20). Given the
information your study has found how would you put it into practice?
<FONT face=Arial color=#0000ff
size=2>
I am
sure I am probably missing an obvious point, and equally sure I am not alone
:)
Regards,
Jayson
<FONT face=Tahoma
size=2>-----Original Message-----From: DIMITRIS TSOKAKIS
[mailto:TSOKAKIS@xxxxxxxxx]Sent: Thursday, March 04, 2004 8:24
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] Re: A
Ti3 crash test[2]We suppose again the price move from
100 to 110 in one day.The DEMA/TEMA averages will exceed the final price by
MaxDiv1/MaxDiv2 respectively.The question is to find the range of
parameter s which will cause to Ti3 smoother a MaxDiv3
withMaxDiv1<= MaxDiv3 <=MaxDiv2The following IB code will
find// The parameter s limitations
L1=LastValue(Cum(1));D=100;DD=110;C0=IIf(Cum(1)<L1-D,D,DD);Plot(C0,"\nCLOSE",1,8);PERIOD=20;z=WriteVal(period,1.0);S1=DEMA(C0,PERIOD);S2=TEMA(C0,PERIOD);Div1=100*(s1-C0)/LastValue(C0);MaxDiv1=LastValue(Highest(Div1));Div2=100*(s2-C0)/LastValue(C0);MaxDiv2=LastValue(Highest(Div2));Plot(S1,"\nDEMA",colorRed,1);Plot(S2,"\nTEMA",colorBrightGreen,1);Title="Maximum
Divergence for \nDEMA("+z+")
="+WriteVal(MaxDiv1,1.2)+"%"+"\nTEMA("+z+")="+WriteVal(Maxdiv2,1.2)+"%";function
T3(price,periods,s)//According to Jayson message 59811
{e1=EMA(price,periods);e2=EMA(e1,Periods);e3=EMA(e2,Periods);e4=EMA(e3,Periods);e5=EMA(e4,Periods);e6=EMA(e5,Periods);c1=-s*s*s;c2=3*s*s+3*s*s*s;c3=-6*s*s-3*s-3*s*s*s;c4=1+3*s+s*s*s+3*s*s;Ti3=c1*e6+c2*e5+c3*e4+c4*e3;return
ti3;}X=Param("X",5,3,20,1);for(s=0.7;s<1;s=s+0.01){Ti3=T3(C0,X,s);Div3=100*(Ti3-C0)/LastValue(C0);MaxDiv3=LastValue(Highest(Div3));if(MaxDiv3>=MaxDiv1
AND
MaxDiv3<=MaxDiv2){Plot(Ti3,"\nT3",colorBlue,1);Title=Title+"\nTi3("+WriteVal(x,1.0)+")
[s="+WriteVal(s,1.2)+"]="+WriteVal(maxDiv3,1.2)+"%";}}EXAMPLEFor
Ti3(10) s should be in the range [0.70-0.79]For Ti3(5) s should be in
[0.77-0.87]s values above this range will cause significant perturbation
of the Ti3 smoother and will introduce probable oscillation.Dimitris
Tsokakis--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx> wrote:> Let us suppose a stock goes from 100 to
110 in one day.> We shall examine the response of DEMA, TEMA and Ti3
averages.> These smoothers catch the new price in some days, then go
higher and > find again [asymptotically] the final price.> For
a given DEMA/TEMA period we may calibrate the Ti3 period to > obtain the
same Maximum Divergence from the final price.> EXAMPLE> For
DEMA/TEMA period=20, we need Ti3 periods x=4 and x=7 > respectively
to avoid exceeding the DEMA/TEMA MaxDiv.> > // Ti3 crash test and
Maximum Divergence, by D. Tsokakis, March 2004> function
T3(price,periods)//According to Jayson“s message 59811 > {> s =
0.83;> e1=EMA(price,periods);> e2=EMA(e1,Periods);>
e3=EMA(e2,Periods);> e4=EMA(e3,Periods);>
e5=EMA(e4,Periods);> e6=EMA(e5,Periods);> c1=-s*s*s;>
c2=3*s*s+3*s*s*s;> c3=-6*s*s-3*s-3*s*s*s;>
c4=1+3*s+s*s*s+3*s*s;> Ti3=c1*e6+c2*e5+c3*e4+c4*e3;> return
ti3;> }> L1=LastValue(Cum(1));D=100;DD=110;>
C1=IIf(Cum(1)<L1-D,D,DD);> Plot(C1,"\nCLOSE",1,8);>
PERIOD=20;> S1=DEMA(C1,PERIOD);> S2=TEMA(C1,PERIOD);>
X=Param("X",3,3,20,1);> Ti3=T3(C1,X);> //The maximum
divergence>
Div1=100*(s1-C1)/LastValue(C1);MaxDiv1=LastValue(Highest(Div1));>
Div2=100*(s2-C1)/LastValue(C1);MaxDiv2=LastValue(Highest(Div2));>
Div3=100*(Ti3-C1)/LastValue(C1);MaxDiv3=LastValue(Highest(Div3));>
Plot(S1,"\nDEMA",colorRed,1);>
Plot(S2,"\nTEMA",colorBrightGreen,1);>
Plot(Ti3,"\nT3",colorBlue,1);> z=WriteVal(period,1.0);>
Title="Maximum Divergence for \nDEMA("+z+") ="+WriteVal(MaxDiv1,1.2)>
+"%"+"\nTEMA("+z+")="+WriteVal(Maxdiv2,1.2)+"%"+"\n
Ti3("+WriteVal>
(x,1.0)+")="+WriteVal(maxDiv3,1.2)+"%";Send BUG REPORTS
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