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Byron, Kase's book is even less revealing than her articles when
it comes to math and codes. I purchased it after reading the
articles but don't regret that in view of the value of her ideas.
The good thing is, her smoke and mirrors force you to really dig in
and fully understand the reasoning before even attempting to write a
code.
Sometimes she sounds pretty obnoxious, like when referring to
"the out-moded MACD" (not to mention those silly moving
avg's) but
in my opinion she has a right to speak.
Re. her PeakOscillator (I did not study her Dev.Stop yet) it is
worth noting that it appears she has replaced her initial trend
measurement based on ATR, with one that uses what is called
Historical Volatility. Specifically where in previous articles (and
in the book) she uses e.g.
(C-Ref(C,-n)) / ATR*sqrt(n)
in later articles she uses
log(C/Ref(C,-n)) / StDev(log(C/Ref(C,-1),n)*sqrt(n)
(Note: in fact she uses H or L instead of C in the left side of the
equation and splits in an UP and DOWN index.)
I find the second approach much more interesting (but don't
confuse
interesting with profitable:-). Wayne's code (thanks Wayne) seems
to use the ATR approach, but that could probably be easily
converted. The programming is not my strongest side but at first
glance it seems this code uses Param in order to "loop".
Instead of focusing on code though I'd like to share some thoughts
on the Kase approach. To recapitulate:
Using any bar as starting point and looking back n periods there is
this undeniable "n-period statistical trend" that is defined
as the
2nd formula above and measures how far the market has moved in
relation to its volatility: if this formula = 1 than the market
moved within exactly 1 standard deviation, which should happen about
67% of the time etc. As a math-man, I find this a very, very strong
concept, by far the best when it comes to trend measurement.
Kase now uses a loop, within a certain range of lookbacks (15-100 in
Wayne's code I think), to find the strongest down-trend and the
strongest up-trend, and takes the max to determine THE trend. Though
a huge improvement over fixed-lookback indicators, I still hesitate
because if the strongest downtrend is established as 2.8 while
looking back 98 bars, and the strongest uptrend as 2.7 looking back
15 bars, then this would be defined as a downtrend. Seems
questionable to me.
My thought therefore was to take all trends (the 15-bar trend, 16-
bar trend etc) and weigh these in a sensible manner, which implies
preferably not with fixed weights, but also in some loop-style
manner and let the market speak. The code I needed help with was the
first step in this direction.
I am interested in any further thoughts, ideas and test results,
also re. the original KASE codes as initiated by Wayne.
Rgds,
Treliff
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