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Ken:
Thanks for the excellent and thorough explanation. I haven't tried it yet but looks like I should be able to follow it.
Joe
----- Original Message -----
From: Ken Close
To: amibroker@xxxxxxxxxxxxxxx
Sent: Friday, September 24, 2004 6:06 AM
Subject: RE: [amibroker] Re: Oscillator Within Linear Reg Lines (DT?)
Joe:
I am trying to work on a collection of indicators which give me some
idea of when to add more hedge or relieve (take off) some hedge based on
shorter to intermediate term moves on the small cap market.
Most indicators I have tried seem to work at times and not at other
times, yielding a neutral result if backtested over a long period.
My idea was to manually drag regression channels over various periods
and look at the percent indicator as a sign of OB or OS conditions. By
isolating periods (by dragging) I could (the theory goes), better
accommodate different market periods or conditions.
Initial experimentation is not glowing with promise, is one way of
putting it.
RU and RL are the study names automatically given to the Upper and Lower
lines drawn when you drag a regression line indicator across portions of
the chart. The original code DT wrote found and automatically drew a
support line and a corresponding parallel upper line, using different
study names. I simply substituted the RL and RU names into his code and
added a few lines.
I draw the regression channel in the standard price chart and then plot
the indicator in another pane.
Ken
-----Original Message-----
From: Joe Landry [mailto:jelandry@xxxxxxxxxxxxx]
Sent: Thursday, September 23, 2004 11:44 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Re: Oscillator Within Linear Reg Lines (DT?)
Ken - Could you explain how you would use this? both in getting it to
work and how you use that information in trading or monitoring your
positions.
I'm able to fire up the routine that DT wrote but when I add the
studies(RU, RL) it doesn't work for me. Of course there's a lot I don't
know about how to use these hand drawn trend lines/channels. For
example how does the specific indicator window associate/connect with
the hand drawn studies. I never have understood where main chart was
versus any of the other panes
Thanks in advance
JOE
------ Original Message -----
From: Ken Close
To: amibroker@xxxxxxxxxxxxxxx
Sent: Thursday, September 23, 2004 9:29 AM
Subject: RE: [amibroker] Re: Oscillator Within Linear Reg Lines (DT?)
DT:
Many many thanks. This (with modifications-see below) was just want I
wanted and needed.
I prefer the hand drawn (dragged) regression channel but will
experiment
with the auto support line you have provided.
Ken
As modified for Regression channel (RU = upper line, RL = lower line)
x=Cum(1);
SU=Study("RL");
X1=ValueWhen(Cum(IsTrue(SU))==1,X);
Y1=ValueWhen(X==X1,SU);
X2=LastValue(X);
Y2=LastValue(SU);
SLOPE=(Y2-Y1)/(X2-X1);
YP=LastValue(Highest(IsTrue(SU)*H));
XP=LastValue(ValueWhen(H==YP,X));
RE=Study("RU");
ratio=(C-SU)/(RE-SU);
Title=Name()+", Ratio="+WriteVal(RATIO);
GraphXSpace=5;
Plot(ratio,"",6,1);
Plot(1,"",9,1);
Plot(0,"",9,1);
-----Original Message-----
From: DIMITRIS TSOKAKIS [mailto:TSOKAKIS@xxxxxxxxx]
Sent: Thursday, September 23, 2004 8:35 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Oscillator Within Linear Reg Lines (DT?)
Ken,
There are numerous variations already posted here, but a fresh one is
always better...
In the following code SU is the [automatic] support for per=5, RE is
the parallel to SU from the highest H [as long as SU exists].
The Ratio will be equal to 0 when C=SU, negative when C<SU, from 0 to
1 as soon as RE>C>SU and greater than 1 when C>RE.
I think it is a representative scaling.
per = 5;//calibrate the sensitivity
x = Cum(1);
s1=L;s11=H;
pS = TroughBars( s1, per, 1 ) == 0;
endt= LastValue(ValueWhen( pS, x, 1 ));
startt=LastValue(ValueWhen( pS, x, 2 ));
dtS =endt-startt;
endS = LastValue(ValueWhen( pS, s1, 1 ) );
startS = LastValue( ValueWhen( pS, s1, 2 ));
aS = (endS-startS)/dtS;bS = endS;
trendlineS = aS * ( x -endt ) + bS;
SU = IIf(x>startt-1,trendlineS,-1e10);
Plot(SU,"\nSU",colorYellow,styleThick);
X1=ValueWhen(Cum(IsTrue(SU))==1,X);
Y1=ValueWhen(X==X1,SU);
X2=LastValue(X);Y2=LastValue(SU);
SLOPE=(Y2-Y1)/(X2-X1);
YP=LastValue(Highest(IsTrue(SU)*H));
XP=LastValue(ValueWhen(H==YP,X));
RE=YP+SLOPE*(X-XP);
Plot((SU/SU)*RE,"\nRE",colorYellow,styleThick);
Plot(C,"\nC",1,64);
GraphXSpace=2;
ratio=(C-SU)/(RE-SU);
Title=Name()+", Ratio="+WriteVal(RATIO);
Note also that SU may be replaced by another line of your preference,
code or manually drawn.
Dimitris
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> DT (or others):
>
> Can you (or anyone) point me to any previous messages or any
previous
> work which has been done which would accomplish the following. It
seems
> like you would know given all of your mathematical creations
(oblique
> fib lines, parabolic trendlines, etc).
>
> I would like to manually draw a regression channel from date A to
date
> B.
> I would then like a plot to show the position, in percent, of the
price
> between the two outer regression lines. Alternatively, this code
would
> also work within any two manually drawn and named trend lines that
are
> roughly parallel as long as they start and stop on the same bar.
>
> Ideally, the code would show greater than 100% (when price goes
outside
> the upper regression line) or less than zero % (when price goes
below
> the lower bar). It seems it should link to regression lines that
> automatically extend.
>
> Can you or anyone point to a message or to any code that could
> accomplish this?
>
> Many thanks for any help.
>
> Ken
>
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