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Jayson,
as you see, your s=0.84 is within the range [0.77-0.87] and quite
close to the average s value.
The distorsion of the Ti3 line will be in the [accepted] levels of
DEMA/TEMA.
Note also that the s range is almost independent of the gapup [100 to
110] of the crach test.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Jayson" <jcasavant@xxxx> wrote:
> Dimitris,
> Thanks for the well thought out explaination
>
> Regards,
> Jayson
> -----Original Message-----
> From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@x...]
> Sent: Thursday, March 04, 2004 6:54 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] A Ti3 crash test[3]
>
>
> We suppose
> a. The price goes from 100 to 110 in one day.
> b. The DEMA(20) exceeds the final value by MaxDiv1.
> c. The TEMA(20) exceeds the final value by MaxDiv2.
> d. We replace above averages with Ti3(5)
> d. The MaxDiv of the Ti3(5) should vary from MaxDiv1 to MaxDiv2 in
> order to preserve the usual shape of smoothing lines and avoid
> oscillations*.
> The following IB code will calculate automatically the range of the
> parameter S.
>
> // The range of the parameter S
> L1=LastValue(Cum(1));D=100;DD=110;
> C0=IIf(Cum(1)>L1-d,dd,d);
> Plot(C0,"\nCLOSE",1,8);
> PERIOD=20;//the DEMA and TEMA period
> 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);z=WriteVal(period,1.0);
> Plot(S2,"\nTEMA",colorBrightGreen,1);
> Title="Maximum Divergence for \nDEMA("+z+") ="+WriteVal(MaxDiv1,1.2)
> +"%"+"\nTEMA("+z+")="+WriteVal(Maxdiv2,1.2)+"%";
> //the Ti3 average
> function T3(price,periods,s)
> {
> 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);//the Ti3 period
> k=0;smin=0;step=0.01;
> for(s=0.5;s<1.5;s=s+step)
> {
> 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);k=k+1;
> smin=smin+IIf(k==1,s,0);
> }
> }
> smax=smin+(k-1)*step;
> Title=Title+"\nThe Ti3("+WriteVal(x,1.0)+") parameter S should be
> from "+WriteVal(smin,1.2)+" to "+WriteVal(smax,1.2);
>
> APPLICATION
> According to the above calculation, S should vary from 0.77 to 0.87.
> Plot the upper and lower Ti3 lines together with DEMA and TEMA with
>
> //the Ti3 average
> function T3(price,periods,s)
> {
> 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;
> }
> Ti3a=T3(C,5,0.77);
> Ti3b=T3(C,5,0.87);
> Plot(C,"Close",colorBlack,64);
> Plot(Ti3a,"Ti3a",colorRed,1);
> Plot(Ti3b,"Ti3b",colorBrightGreen,1);
> Plot(DEMA(C,20),"DEMA",colorYellow,1);
> Plot(TEMA(C,20),"TEMA",colorBlue,1);
>
> When the stock has sharp changes [10%-20% in 2-3 days], Ti3 lines
are
> much faster, without the undesirable price overshots.
> [*replace 0.77 with 1.77 in Ti3a=T3(C,5,0.77) to see how the red
line
> begins to oscillate around the price !!]
> In final analysis, a (Ti3a+Ti3b)/2 would be almost ideal.
> Dimitris Tsokakis
> --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
<TSOKAKIS@xxxx>
> wrote:
> > 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 with
> >
> > MaxDiv1<= MaxDiv3 <=MaxDiv2
> >
> > The 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)+"%";
> > }
> > }
> >
> > EXAMPLE
> > For 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)+"%";
>
>
>
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