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Re: [amibroker] resilient stochastic values



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The formula for stochastic is shown below.

Just change the Closing value with Highs to test your theory

Period = 14;
Stoc = ((High - LLV(Low,Period)) / 
                 (HHV(High,Period) - LLV(Low,Period))) * 100;

%K   = MA(Stoc,3);
%D   = MA(%K,3);


----- Original Message ----- 
From: "cipherscribe" <adrian.mollenhorst@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, June 25, 2007 3:50 PM
Subject: [amibroker] resilient stochastic values


>I trade intra-day (based on a 30 minute bar) and often find my system
> produces false signals (in terms of backtesting at EOD) as my
> stochastic values of the bar that produced the signal changes over
> time based on subsequent price changes.
> 
> For example, if I set a buy signal when my stochastic reaches 80, and
> the price action lifts the stochastic to 80, I enter a position.
> However within that same bar, price subsequently declines, as does the
> stochastic. So the bar closes out after 30 minutes having never
> reached 80 (I assume this is since stochastic operates using closing
> prices, not  the high).
> 
> So when I backtest at EOD, this position never materializes. This then
> invalidates any longer term backtesting I am using to verify the system.
> 
> Has anyone come up with a methodology to workaround this problem, and
> does with work with stochastics? Or is there a way to have stochastics
> use the high, rather than the close. (I think this would resolve the
> issue, but not sure).
> 
> Thanks in advance!
> 
> 
> 
> 
> 
> Please note that this group is for discussion between users only.
> 
> To get support from AmiBroker please send an e-mail directly to 
> SUPPORT {at} amibroker.com
> 
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
> 
> For other support material please check also:
> http://www.amibroker.com/support.html
> 
> Yahoo! Groups Links
> 
> 
> 


Please note that this group is for discussion between users only.

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For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/

For other support material please check also:
http://www.amibroker.com/support.html
 
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