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Gerard,
Thanks for this. Random Walk theory, I'm familiar with but not Random Walk
Indicator. AB help is no help...at least my quick search wasn't fruitfull.
How is this indicator constructed, what's it rationale? Or where can I find
out a little more
Thanks
Dave
----- Original Message -----
From: "Gerard Carey" <gerardncarey@xxxxxxxxxxx>
To: "AB Yahoo group" <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, November 09, 2006 4:53 PM
Subject: [amibroker] Come, Walk the Walk, Randomly
Well I don't know about randomly.
This Indicator seems to uncover underlying trend structure.
It uses the Random Walk Index.
See the attachment.
Regds
Gerard
// Walking the (Random) Walk
/* This Indicator was developed to signal Short-Term trend changes in
the direction of the CONFIRMED MediumTerm trend, thereby giving both
long and short opportunities.
Interpretation:
The red histogram plots the CONFIRMED MT trend, as being up (>zero), or
being down (<zero).
The black line plots the ST trend in the same manner.
A long entry is signalled when the red MT Histogram is >zero and
the black ST line, after dipping below the zero line, reverses back
up.(green arrow)
Likewise, the Short entry is signalled when the red MT Histogram is <
zero and the black ST line, after rising above the zero line, reverses
back down.(red arrow)*/
If your position size strategy involves scaling in and out, I would
suggest that in addition to the initial entry points, others should be
considered at the zero line cross or at the break of a trendline drawn
on the actual black ST line.
/* Note how the trend changes, in both time frames, correlate to trend
line breaks drawn on the price chart.
I draw trendlines for both time frames on the price chart, then I fiddle
with the parameters until I get a best fit.
NB. EXITS ARE NOT SIGNALLED.
You could sort out a strategy for trading the medium term trend, ie,
when the red histogram crosses zero in either direction, but that's not
the original intention here.
As usual I would suggest this indicator is for use ONLY on less volatile
trading instruments */
// Walking the (Random) Walk
Plot( CA= RWI( 5, 6),"Walking the (Random) Walk",1,4 );
Plot( CB= RWI( 10, 50)," Med-Term",4 );
Plot( CB= RWI( 10, 50),"",4,2+4 );
Plot(0,"",4);
CondA= CB>0 AND (CA<0 OR Ref(CA,-1)<0) AND CA>Ref(CA,-1) AND
Ref(CA,-1)<Ref(CA,-2) ;
PlotShapes( shapeUpArrow*CondA, 5,L,-1.5) ;
CondB= CB<-0 AND (CA>0 OR Ref(CA,-1)>0) AND CA<Ref(CA,-1) AND
Ref(CA,-1)>Ref(CA,-2) ;
PlotShapes( shapeHollowDownArrow*CondB, 4,H,1.25);
Buy= CondA;
Short= CondB;
--
Gerard Carey
gerardncarey at fastmail dot fm
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