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treliff
I found the attached explanation of the Kase Peak Oscillator at
http://www.aspenres.com/Documents/AspenGraphics4.0/Kase_Peak_Oscillato
r.htm
As you see it claims that "it statistically evaluates over fifty
trend lengths and automatically adapts to both cycle length and
volatility."
You can also see a graph of CISCO which, I believe is from June to
Nov of 2002. If you compare Anthony's code below, it is quite
different. Also the code posted by Wayne is closer - but obviously
not quite the same.
So the mystery continues - as to how the indicator is "self-
optimizing"
Anybody have any ideas how that can be done would be appreciated
Rick
--- In amibroker@xxxxxxxxxxxxxxx, "treliff" <treliff@xxxx> wrote:
> Anthony, your code looks very much like the one Wayne posted
> earlier. I repeat below part of the remarks i made re that code
> that basically apply to yours as well. What I am curious about is
> this: do you know who made this code and in particular for what
> reason the 3-period WMA was added? Do you have any insight into
> whether or not this WMA is part of Kase's proprietary code?
>
> //
> First, as Byron mentioned the code posted earlier by Wayne is not
> > > looking for the optimum up/down cyclelength but uses Param to
> > > manually set different lookbacks. The code also sets one
lookback
> > > for both up and down trends. This is definitely not in line with
> > > Kase: the power is in looping for the strongest up and strongest
> > > downtrend separately.
> > >
> > > Further the PeakOsc there is smoothed with a 3-period WMA. I
> > > don't
> > > know who initiated this but Kase indeed (in BridgeTrader) says:
> > > "the
> > > PeakOscillator is the difference between KSDIup and KSDIdn with
> some
> > > smoothing added". Nowhere could I find how she implements this
> > > smoothing but I guess that is the WMA. To me it seemed somewhat
> > > irrational to top off so much statistical scrutiny with some
> > > arbitrary WMA with a fixed lookback. Also it turned out this WMA
> > > somehow interfered with the SD calculations for some very weird
> > > plots. Two reasons for not smoothing the KPO.
> //
>
> -treliff
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso"
<ajf1111@xxxx>
> wrote:
> > Here is a version I have:
> >
> > //Peak Oscillator by Cynthia KASE
> >
> > //Version 1.0, 7/07/2002
> >
> > Per1=30;
> >
> > RWH=(H-Ref(L,-Per1))/(ATR(Per1)*sqrt(Per1));
> >
> > RWL=(Ref(H,-Per1)-L)/(ATR(Per1)*sqrt(Per1));
> >
> > Pk=WMA((RWH-RWL),3);
> >
> > MN=MA(Pk,Per1);
> >
> > SD=StDev(Pk,Per1);
> >
> > Val1=IIf(MN+(1.33*SD)>2.08,MN+(1.33*SD),2.08);
> >
> > Val2=IIf(MN-(1.33*SD)<-1.92,MN-(1.33*SD),-1.92);
> >
> > ln1=IIf(Ref(Pk,-1)>=0 AND Pk>0,Val1,0);
> >
> > ln2=IIf(Ref(Pk,-1)<=0 AND Pk<0,Val2,0);
> >
> > Red=IIf(Ref(Pk,-1)>Pk,Pk,0);
> >
> > Green=IIf(Pk>Ref(Pk,-1),Pk,0);
> >
> > Plot(red,"RED",4,2+4);
> >
> > Plot(Green,"GREEN",5,2+4);
> >
> > Plot(ln1,"LN1",5,styleDots);
> >
> > Plot(ln2,"ln2",4,styleDots);
> >
> > Anthony
> >
> >
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