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Excellent. Thanks for the great reply Ara.
--- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxx> wrote:
>
> 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@xxx>
> 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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