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Goldwing, the two sources I got my information from are Gary's
original piece
http://www.mta.org/awards/03/2003DowAward.pdf
and an article in the February, 2004 issue of
www.sfomag.com
(free online subscription)
Scott, I haven't seen the TASC article, should you have it in .pdf
I'd appreciate if you could e-mail me.
Take your time for the test. I look forward to your comments, I must
be doing something wrong. Keep in mind that in my code, as compared
to Gary's article, the so called B.E.L. would run from north-west to
south-east straight through the (0,0) origin and that by running the
ATC's I tried to find the "average" ("center of gravity") of all
those separate dots (stocks) moving back and forth from the B.E.L.,
both in the "strong offense, strong defense" zone (in my code that is
NE) and in the "week offense, weak defense" zone (in my code SW) so I
expected to see it that in a trending market (positive feedback) all
four lines (in my indicators) would move away from the zero line,
while in a non-trending market (negative feedback) they would all
come close to zero, but I see something quite different.
By the way, picking the right stocks would be a next phase, we'd
first have to capture this positive/negative feedback thing.
-treliff
--- In amibroker@xxxxxxxxxxxxxxx, "Scott Gearhart" <sgearhart1@xxxx>
wrote:
> Here is an article written by Gary Anderson.
> Treliff, I'm looking at your code and I think I can make some
changes to get it to work. I have a test this week in my MBA class so
it may be later before I can get back. I'll be looking at it off and
on all week. TASC also has an article. 'll send it out this week.
> Thanks
> Scott
>
> ----- Original Message -----
> From: goldwing01
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, October 24, 2004 10:08 AM
> Subject: [amibroker] Re: The Janus Factor/Treliff question or help
>
>
>
> Treliff
> Morning to you and the rest of the board, my question to you or
any
> that would like to explain "JANUS FACTOR" I can't find any
relative
> information on it. I am not trying to find how the calculation
works
> because I would not understand if I tried, I just would like to
know
> why would I us it and how to us it.
>
> Thanks in advance
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "treliff" <treliff@xxxx> wrote:
> >
> > Scott, I re-read Gary's article and still think it's a great
> piece.
> > I just altered the code a bit, more universal and readable.
Discard
> > the first code. Please read on below the code.
> >
> > /* code start */
> >
> > // ATC Scan, use filter Market/Group/Watchlist BENCHMARK'S
UNIVERSE
> > components
> >
> > // otr = off. target's return
> > // dtr = def. target's return
> > // obr = off. benchmark's return
> > // dbr = def. benchmark's return
> > // os = off. strength
> > // ds = def. strength
> > // cumos = cumulative off. strength
> > // cumds = cumulative def. strength
> >
> > period = 100; // Set lookback period
> > benchmark = "QQQ"; // Set benchmark
> >
> > Buy = Sell = Cover = Short = 0;
> >
> > x = Foreign(benchmark,"C");
> >
> > otr = IIf(x >= Ref(x,-1),ROC(C,1),0);
> > dtr = IIf(x < Ref(x,-1),ROC(C,1),0);
> >
> > obr = IIf(x >= Ref(x,-1),ROC(x,1),0);
> > dbr = IIf(x < Ref(x,-1),ROC(x,1),0);
> >
> > os = otr-obr;
> > ds = dtr-dbr;
> >
> > cumos = Sum(os,period);
> > cumds = Sum(ds,period);
> >
> > cumos_NE = IIf(cumos >= -cumds,cumos,0);
> > cumos_SW = IIf(cumos <= -cumds,cumos,0);
> > cumds_NE = IIf(cumos >= -cumds,cumds,0);
> > cumds_SW = IIf(cumos <= -cumds,cumds,0);
> >
> > AddToComposite(cumos_NE,"~janus","O");
> > AddToComposite(cumos_SW,"~janus","H");
> > AddToComposite(cumds_NE,"~janus","L");
> > AddToComposite(cumds_SW,"~janus","C");
> > //AddToComposite(IIf(cumos >= -cumds,1,0),"~janus","V");
> > //AddToComposite(IIf(cumos <= -cumds,1,0),"~janus","I");
> >
> > /* code end */
> >
> >
> > // Indicator Janus NorthEast
> >
> > Plot(Foreign("~janus","O"),"Off.Strength_NE",colorGreen);
> > Plot(Foreign("~janus","L"),"Def.Strength_NE",colorTurquoise);
> > Plot(0,"",colorBlack);
> >
> >
> > // Indicator Janus SouthWest
> >
> > Plot(Foreign("~janus","H"),"Off.Strength_SW",colorRed);
> > Plot(Foreign("~janus","C"),"Def.Strength_SW",colorLightOrange);
> > Plot(0,"",colorBlack);
> >
> > ------
> >
> > I remember having difficulty with Gary's scoring system, in
> > particular when he writes that he divides a benchmark's return
into
> a
> > target's return. If the benchmark is up 1% and a target is up
2%
> that
> > results in a score of 2, so far so good. But should a target be
> down -
> > 2% then the score would be -2, while the relative performance
of
> this
> > target is obviously far worse. By instead subtracting the ROC's
I
> > tried to measure a balanced relative score. Any thoughts?
> >
> > -treliff
>
>
>
>
>
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> http://www.amibroker.com/
>
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