|
PureBytes Links
Trading Reference Links
|
Treliff,
Here is my review and comments of your latest Kase.
1. I like the way you did the functions and it makes the code
easier to read.
2. I don't think smoothing for KPO is should be used in
calculating when KPO breaks POmax or Pomin. There may be some
benefit to smoothing when we are trying to look a divergence or
KCD. But I don't think we will know until we get to that point.
3. The fixed lookback of 9 in Kvol had been bothering me and I
am glad that you have given us a direction on using the optimized
lookback.
4. What is the rationale of using the Close in Kvol? If this
is used to normalize KSDIup and KSDIdn calculation. Should we be
using the Variation of the High for KSDIdn since we hold the Low
constant and look at the variable look back period of the Highs.
Likewise the Low for KSDIup. I think you alluded to this in one of
your previous comments. Maybe it is not "pure Kase" but I
don't
think she is always telling us the nuances of her methods. Is this
sound statistically?? Or is using the Close better or why not
something like the typical price (H+L+C)/3
5. Do I understand it correctly that KPO is measured in
standard deviations. So if KPO is 3 then that is 3 standard
deviations from the mean.
6. Instead of plotting standard deviations for KPO, do you
think there would be any value for plotting probability. 2 Standard
Deviations does not mean a whole lot to me but 95% chance of this
being a trend tells me a lot. Maybe there is a resolution issue in
that a probability of 3 SD or 4 SD will be on top of each other at
most plotting scales.
7. In your coin tossing example, does of use of SD_sam take
care of the decreased confidence due to a small sample size? If
not, is not there a way to correct for low sample size.
8. For the pink and violet signal, I'm not sure exactly what
kind of "pullback" signal should be used – I never got a
clear
understanding in the papers – maybe it is in the book which I do
not
have. Is the pullback in KPO or is it in the PRICE? – KPO peaks
and
the price has a small pull back in that bar? Does the pullback KPO
have to be lower that the previous KPO and do both have to be above
the Peakout line? I have tired to look at the data but have not been
able to figure it out.
9. For the Col definition – the Ref() function use minus for
past and positive for future. I think that we are referencing the
future here??
10. I agree with your use of variable lookback in Pocycl instead
of a fixed 30 bars or so.
11. In the FINI – ProphetX Manual – They state that "The
PeakMax
line is the maximum of the 2 SD of the local PeakOscillator reading
and the 90th percentile of momentum, historically. The PeakMin is
the minimum of the two." Other reference uses the 98th
percentile
of the local distribution. Or is this the same thing?
12. I'm not sure I understand what you did with the Hastings
approx for the Normal distribution but that just means I will have
to study it a little more.
13. For POhist, I like the concept of using the data set we are
graphing to come up the POhist value. However, what if the data is
somewhat limited, should you try to average more information. In my
code, I have POhist as 3.33 which was the average of the 4 currency
pairs that I trade EUR = 3.51, CHF = 3.35, GBP = 3.57 and JPY =
2.97. If 3.33 is in standard deviations, then the probability is
like 99.9 percent. This seems to make sense to me. What do you
think?
14. In the documentation for using Kase in ProphetX, they recommend
using the constant volume bars. I guess there are 3 types of bars
that can be constructed. 1) Constant time(the norm), 2)Constant
volume, 3) constant price interval. Maybe Kase goes over this in
the book. Statistically, what are the pros and cons for using the
different types. This gets back to my concern in the Forex Market
where throughout any 24hr period, there a predictable periods of
activity like when the Asian and European markets are open. It just
seems to me that giving the same statisical weight to a 1 hr period
where there is 100,000 trades versus a 1 hr period where there is
100 trades is not statistically sound. Any thoughts? Maybe is will
give us another Looping exercise for constructing constant volume
and constant price interval bars. But I don't want to go to the
trouble to do this if there is no statistical advantage. Maybe
someone else has already done this. I could check.
Again, your code is clear and logical and I am grateful to get a
mathematical opinion.
Thanks,
Byron
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|