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Byron, I'm in Aruba -4GMT but a nightowl most of the time. Thanks
for the codes, I need some time to check them out. Below are some
remarks re. your post.
Re. 2a:
You are right. I send some additional info to your email address.
re. 2b:
You may be right about a true loop being unnecessary, however I
think in your code you more or less "sail around the loops"
with all
the separate lines. However wouldn't loops be CPU faster as
well?(I
don't know)
Re. 3:
In my opinion Kase is looking for the strongest uptrend and the
strongest downtrend and subtracts those to find the overall trend. I
haven't seen her indicators in action but intuitively I think:
what
about the 2nd strongest uptrend, and the 3rd? Should we just leave
these out? Perhaps yes indeed, because the 2nd strongest uptrend
(which is the 2nd largest KSDIUP) is just hidden within (part of)
the strongest uptrend (same for down). Pretty sure we'll figure
this
out though.
Re.4:
By realizing that any move beyond n standard deviations is more
likely to be a trend and not random. Again see the info I sent you.
Re.5
Right now I can't remember Kase using volume anywhere. I'm
not
familiar with Forex but Kase's work is based primarily on energy
futures. I busy myself with stocks and stock options but rest
assured that the theory is sound and applicable to any assumed
random process.
Re.6
Your second option is a bit puzzling for me. What would you measure
here, and how capitalize on the knowledge that say volatility today
is higher than same time 9 days ago? It depends on your trading
strategy probably, but at this moment I fail to see the point.
Re.7
I haven't really looked at the DevStops. The only reason for 20
instead of 30 could be testing results, definitely no statistics.
And you're right about fixing lookbacks again.
I'll get back about the codes.
Treliff
--- In amibroker@xxxxxxxxxxxxxxx, "Byron Porter" <bporter@xxxx>
wrote:
> Treliff and Owen - Thanks for the info on the Kase Book.
> Wayne - Thanks for the Kase code. I have some different
interpretations
> but I do not know if mine are correct.
>
> Treliff,
> I have attached 3 afls to this response and sent a copy to your
yahoo
> email in the hopes that you will be sure to get a copy - I think
we are
> on different time zones so we may only get respond once a day - I
live
> in Houston -6 GMT
>
> 1. I have used the log versions and the 2 bar average of kase
ideas in
> my afl
> 2. The non Log form is the Random Walk Index which is an Amibroker
built
> in function see RWI, RWIHI, RWILO. I was looking for the code to
see
> how it was coded but have not been able to find it. I think a
small
> modification to RWI code would be the Kase indicator. I'll bet it
has
> the loop you are looking for.
> 2. The Param approach is not my understanding to look back
problem. My
> understanding is that at each bar you look back 8 to 65 bars do the
> calcs and then pick the max. I have implemented this without
using a
> loop but if things become more complicated, a loop may be required
and a
> cleaner code.
> 3. The think the look back is searching for the peaks for an
uptrend and
> a trough for a down trend and the oscillator takes the difference
> between the two to determine which is controlling. The bigger the
> difference the stronger the trend either up or down. Is that what
you
> are saying below? Could you elaborate on your concern. I think
Kase is
> looking for peak not trends.
>
> 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.
>
> 4. I see what you are saying about looping with a weighting
system. I
> am not a mathematician so I don't always know the proper
statistical way
> to go about approaching a problem, but here is the way I see it.
There
> are 2 things going on at the same time, 1) variation about the
mean -
> the Brownian motion or the Random Walk and then 2) there is the
trend.
> I think the goal is to try to separate the variation from the
trend.
> Statistically, mathematically, how do we do this?
>
> 5. One thing about Kases work that I have not run across is the
use of
> volume. It seems that we have a limited amount of information to
work
> with - Open, high ,low ,close and we do get volume. There is talk
in
> the Kase reference document(www.fini.com/kase/k0.ntm) that talks
about
> using ticks to create your bars during a day. I guess I have been
> wondering how to use volume in this method. I use Esignal for
Forex
> data and they provide a volume but my understanding that it is not
> really volume but something like tick count which is as close as
they
> could get to "volume" because there is no central place to really
get
> the volume in the Forex market.
>
> 6. Another issue that I have been thinking about in the Forex
market is
> that activity varies considerably during the 24 hr day. At times
when
> say the Asian and European markets are both open there is more
> volatility than when just the US market is open. Should there be
some
> way to account for time of day. Should volatility be measure for 9
> periods back as suggested by Kase or should you take the
volatility at
> the same time of day for say 9 days back. Statistically would
that help
> separate variation from trend.
>
> 7. one of the things that I noticed in the code provided by Wayne
was in
> the Kase DevStops- the look back period was dev1 was 30 and dev2
was 10
> and dev3 was 21. I think those were picked up from the Kase
manual. I
> think that L1=30 is the look back length for all the devs. The L2
= 10
> and L3 = 21 is to be used in 2 moving averages that tell you when
to
> change your plot of stops from long positions to short positions.
What
> do you think? Kase recommends 30 bars for intraday and 20 bars
for
> daily, Is there a statistical reason for this. It all gets back to
> "fixed look back" periods.
>
> Thanks for the thought provoking information.
> Please look at my afls and see if there are any questionable
> interpretations of Kase ideas.
>
> Byron
>
>
> -----Original Message-----
> From: treliff [mailto:treliff@x...]
> Sent: Wednesday, March 10, 2004 12:51 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: I need some loop-... / KASE indicators
>
>
> 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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