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Additional to the various links provided I found the following pdf
document, also from Aspen
www.aspenres.com/Documents/pdf/KaseStudies.pdf
The best source for the underlying philosophy are the articles by
Kase herself to which in my opinion her book does not add anything
essential
http://www.kaseco.com/articles_etc/articles.htm
under "primarily trading related" esp. the 2 articles "the best
momentum indicators" and "the two faces of momentum".
None of the links though gives a decisive answer to the smoothing
question.
"
So the mystery continues - as to how the indicator is "self-
optimizing
"
I do not agree. When the loop is built in then indeed the indicator
optimizes itself for cycle and volatility. However there are other
parameters to be optimized, like the minimum and maximum cycle
length and most importantly the thresholds for the peakout lines.
The CISCO chart comparison is a good idea. It would have been a
coincidence if the codes posted by Wayne and Anthony resembled that
Kase chart because they have no loop built in. I compared with the
plot of my code and this makes it very clear that indeed there is
some substantial smoothing on the peak oscillator (the WMA I was
curious about?) Further than that imho it's pretty close.
Btw don't be misled by the use of ATR in various codes. In her
earlier articles Kase uses ATR while in the later ones she uses
standard deviation. There's no right or wrong but in my code I
chose standard deviation because, I copy from an earlier message:
"
ATR ( or better: True Range) is a whole different animal than
standard deviation. There are things known about standard deviation,
like when a large sample is normally distributed then 68 percent of
the values will fall within one standard deviation. There is
scientific proof for that. Not so with ATR, which is just some
intuitive calculation, essentially no different than (H-exp(L^3))/SIN
(Ref(C,-1)) or some other nonsense. Perhaps this last one is a good
one and can make some good money but nobody will be able to explain
why, just like with True Range.
"
-treliff
--- In amibroker@xxxxxxxxxxxxxxx, "goldwing01" <GOLDWING01@xxxx>
wrote:
> http://www.kaseco.com/classes/tech_outline.htm
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "goldwing01" <GOLDWING01@xxxx>
> wrote:
> > http://www.fimi.com/Kase/k3.htm#PeakO
> >
> > I hope this helps
> >
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Glen Haponek" <ghaponek@xxxx>
> > wrote:
> > > Hi,
> > >
> > > I would like to read the article or publication which
describes
> the
> > Kase Peak Oscillator, if such a paper exists. Can some one
advise
> if
> > it is one of those that are available at the Kase and Company
web
> > site, or has this oscillator been discussed only in magazine
> > articles.? The histogram shown in the link (not the link below,
the
> > one in the previous post) appears to closely follow the movement
of
> > the price chart, with some lag. It's sheer magic. A Google
search
> > turned up
http://home.iae.nl/users/guus/omega/sourcecode/EL40.html
> > this version based upon articles in "Futures". Possibly y'all
have
> > already seen it.
> > > ----- Original Message -----
> > > From: ricko8294_98
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Monday, March 29, 2004 1:33 AM
> > > Subject: [amibroker] Re: KASE PeakOscillator
> > >
> > >
> > > treliff
> > >
> > > I found the attached explanation of the Kase Peak Oscillator
at
> > >
> >
>
http://www.aspenres.com/Documents/AspenGraphics4.0/Kase_Peak_Oscillat
o
> > > 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
> > > > >
> > > > >
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
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