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DT,
I made an analysis with the assumption that the current trend is an
uptrend and hence a continuation signal would be a continuation of
that trend.
I used the current position of a modified system to determine trend.
My original system for detecting trends generates 2 buy signals in an
uptrend and 2 sell signals in a downtrend. One for trend continuation
(earlier signal) and another for extremes in trend (trend exhaustion
-later signal).
The main modification involved ignoring the earlier signal generated
in order to detect extremes in trend. I made that modification mainly
for detecting reversal signals. It may not be applicable for
continuation signals, which I generally ignore because I do not favor
chasing trends. I would like to ideally pyramid (add on) to the
position taken during a reversal when I get a continuation signal
always ending with the least number of positions at the top of the
pyramid (otherwise it would resemble an inverted pyramid or a pillar).
Indeed the original unmodified version does show a downtrend. In that
case, the continuation signal I recieved would be a continuation of
the previous trend which is now a downtrend, hence would be a sell
signal. I am only able to detect a continuation signal but could not
ascertain its direction without knowing the trend. If I am wrong
about the trend, I would be wrong about the direction.
I still stand by the statement that in such cases in my experience,
when the market opens lower, it will tend to close lower because of
the short signal (in a downtrend) and the exact opposite for a long
signal (in an uptrend). I am not clear about how volatility affects
continuation signals. That remains to be seen. My guess is that high
or low volatility favours a continuation of the current trend until
volatility becomes normal and a reversal takes effect.
My reversal signals do not seem to work in cases of high volatility
and also during periods of market indecision combined with low
volatility. Volatility has to be just right (normal) for reversal
signals to work.
This would also comply with your criterion (which I agree with) that a
true continuation signal should verify the signal before the market
opens. In this case the verification would be the current trend. The
key here is the current trend. What is it? Market opening higher or
lower is just an assertion of that trend, uptrend or downtrend as the
case may be. It is better to wait for the trend to assert itself
before commiting to a position. It may take 1-2 days for a trend to
assert itself, after a continuation signal is detected. Longer days
than that I would have to wait for a reversal signal. Also, the setup
(top or bottom patttern formation) is important to design a system
with adequate RRR.
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
>
> Pal,
> In technical terms, the results of
>
> Filter=1;
> AddColumn(100*Cum(C>Ref(C,-1) AND O>Ref(C,-1))/Cum(O>Ref(C,-
> 1)),"criterion");
>
> are not that enthusiastic [and let me suppose you agree...]
> High probability would give values >90 and it is not the case...
> On the other side, a true continuation criterion should give the
> signal BEFORE the market open.
> Dimitris
>
>
> >so if I had detected a long signal, and the market
> > opens higher, I would go long and exactly the opposite for a short
> > signal. But if the market opens lower, it would be ugly indeed.
> I'm
> > unable to verify this signal, before the market opens.
> >
> > But, I did some extreme simulation to get a probable scenario and I
> am
> > biased towards going long, once the volatility has come down, maybe
> > sometime next week, but since the volatility jumped sharply higher
> > from Thursday to Friday, better to avoid taking a position on
> monday.
> >
> > The key is the current trend and volatility. The trend is your
> friend
> > till the end and volatility is your friend until it turns on you.
> >
> > rgds, Pal
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS"
> <TSOKAKIS@xxxx>
> > wrote:
> > >
> > > Pal,
> > > Is there any technical indicator/indication you use for your
> > >
> > > "...because a continuation of previous uptrend signal is
> detected."
> > >
> > > The continuation criteria is a very interesting T/A subject, IMO.
> > > TIA for any reply.
> > > Dimitris
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Pal Anand" <palsanand@xxxx>
> wrote:
> > > >
> > > > NK225 FUTURES:
> > > >
> > > > Long term bottom at 801.5
> > > >
> > > > Long term top at 1501.5
> > > >
> > > > Mid term top at 1231
> > > >
> > > > Right now, Highly Volatile and making a pullback on an uptrend.
> > > >
> > > > If already long, add on to the position because a continuation
> > > > of previous uptrend signal is detected.
> > > >
> > > > If already short, move stop to 1113.70 or if aggressive, exit
> your
> > > > short position and reverse it (go long).
> > > >
> > > > Took me 5 minutes to do this analysis.
> > > >
> > > > rgds, Pal
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