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[amibroker] Re: I need some loop-... / KASE indicators



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Ara, would you mind re-posting? I missed the attachment. Thanks!

-treliff

--- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@xxx> wrote:
>
> Attached my version of KASE indicators
> 
> Ara
> 
> ----- Original Message ----- 
> From: "Ahmad" <alwalad2002@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, July 20, 2007 8:27 AM
> Subject: [amibroker] Re: I need some loop-... / KASE indicators
> 
> 
> > Hello, 
> > 
> > The Kase indicators were discussed some time back within this 
group.
> > Does anybody have the afl's for the Kase indicators?
> > 
> > Thanks and regards,
> > 
> > Ahmed
> > --- In amibroker@xxxxxxxxxxxxxxx, "Byron Porter" <bporter@> wrote:
> >>
> >> You are probably right. This code is some tinkering that I was 
doing.
> >> When it had been checked out, I will clean it up and put it in 
the files
> >> section.
> >> Byron
> >> 
> >> -----Original Message-----
> >> From: Arthur Sawilejskij [mailto:arthur@] 
> >> Sent: Wednesday, March 10, 2004 1:23 PM
> >> To: amibroker@xxxxxxxxxxxxxxx
> >> Subject: RE: [amibroker] Re: I need some loop-... / KASE 
indicators
> >> 
> >> 
> >> At 01:13 PM 10/03/2004 -0600, you wrote:
> >> :
> >>  >Treliff and Owen - Thanks for the info on the Kase Book.  
>Wayne -
> >> Thanks for the Kase code.  I have some different 
interpretations  >but I
> >> do not know if mine are correct.
> >> 
> >> The param line in the first code - KSDL.afl - doesn't seem to be
> >> implemented.
> >> 
> >> 
> >> 
> >> 
> >> --
> >> Arthur
> >> 
> >> 
> >> 
> >> Send BUG REPORTS to bugs@
> >> Send SUGGESTIONS to suggest@
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> >>
> > 
> > 
> > 
> > 
> > Please note that this group is for discussion between users only.
> > 
> > To get support from AmiBroker please send an e-mail directly to 
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> > 
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> > 
> > 
> 
> //File: DEV - Kase dynamic Stops
> //Obtained from AB board
> //March 28, 2006
> 
> /*As can be seen from the formula, Kase uses standard deviations 
for the 
> user to decide at what point to exit a position. Stops are set 
where 
> there is increasing statistical probability of reversal against the 
> trend. This issupposedly based on the log normal shape of the curve 
of 
> the range curve.The manual which describes how to operate the 
software 
> is at http://www.fimi.com/Kase/k0.htm
> 
> 
> 
> 
> 
> Philosophy:
> 
> The DevStop is the closest we can come to an ideal stop level in 
the 
> real world. The indicator mathematics accounts for volatility 
(which is 
> directly proportional to risk), AND also for the variance of 
volatility 
> (how much risk changes from bar to bar) AND volatility skew (the 
> propensity for volatility to spike higher from time to time).
> 
> Specifically, the DevStop places exit points at 1, 2 AND 3 standard 
> deviations over the mean two bar True Range, corrected for skew. So 
we 
> can take profit OR cut losses at levels at which the probability of 
a 
> trade remaining profitable is Low, without taking more of a loss OR 
> cutting profits any sooner than necessary.
> 
> Interpretation:
> 
> The stop consists of four exit points, a Warning line AND Dev 1, 2 
AND 
> 3. Two closes against the warning count as Dev 1.*/
> 
> 
> //Kase DevStop I
> 
> AVTR= MA(HHV(H,3) - LLV(L,2),21);
> SD= StDev(HHV(H,3) - LLV(L,2),21);
> 
> Val4= HHV(H-AVTR-3.4*SD,21);
> Val3= HHV(H-AVTR-2.1*SD,10);
> Val2= HHV(H-AVTR-SD,34);
> Val1= HHV(H-AVTR,21);
> 
> 
> /* Kase DevStop II
> 
> Pd= Param("Max Length",13,100,30,2);
> 
> RWH= (H-Ref(L,-Pd))/(ATR(Pd)*sqrt(Pd));
> RWL= (Ref(H,-Pd)- L)/(ATR(Pd)*sqrt(Pd));
> 
> Pk= WMA((RWH-RWL),3);
> AVTR= MA(HHV(H,2) - LLV(L,2),20);
> SD= StDev(HHV(H,2) - LLV(L,2),20);
> 
> Val4= IIf(Pk>0,HHV(H - AVTR-3.6*SD,21),LLV(L + AVTR+3*SD,21));
> Val3= IIf(Pk>0,HHV(H - AVTR-2.2*SD,10),LLV(L + AVTR+2*SD,10));
> Val2= IIf(Pk>0,HHV(H - AVTR-1.0*SD,30),LLV(L + AVTR+SD,30));
> Val1= IIf(Pk>0,HHV(H - AVTR,21),LLV(L + AVTR,21));*/
> 
> Plot(Val4,"3SDev",IIf(Val4 > C OR Val4 < Ref(Val4,-
1),colorLime,colorYellow),styleDots|styleNoLine);
> Plot(Val3,"2SDev",IIf(Val3 > C OR Val3 < Ref(Val3,-
1),colorBlack,colorLime),styleDots|styleNoLine);
> Plot(Val2,"1SDev",colorBlue,styleDots|styleNoLine);
> Plot(Val1,"Warning",colorRed,styleLine);
> Plot(C,"close",colorBlack,styleCandle);
> 
> 
> Title = Name() + "    Kase Stops  " + EncodeColor(colorYellow) + " 
3SDev  " + WriteVal(Val4,1.2) 
> 								
		  + EncodeColor(colorLime)   + "   2SDev " + WriteVal
(Val3,1.2)
> 								
		  + EncodeColor(colorBlue)   + "  1SDev  " + WriteVal
(Val2,1.2) 
> 								
		  + EncodeColor(colorRed)   + "   Warning " + WriteVal
(Val1,1.2);
> 
> //FIle: DEV - Kase Peak Oscillator
> //March 28, 2006
> //Obtained from AB Board
> 
> RWLoop     = Param("RWLoop",1,0,1,1); 
> KCD_Plot   = Param("KCD_Plot",0,0,1,1);
> 
> GraphXSpace= 5;
> GraphZOrder= 1;
> 
> truHi= IIf(H > Ref(C,-1),H,Ref(C,-1));
> truLo= IIf(L < Ref(C,-1),L,Ref(C,-1));
> 
> truRange= truHi - truLo;
> AvgTR   = 
> //Pd= Param("max length",13,5,100,1);      // Needs to be adaptive -
 Use loop to fid max / min values, 8 to 64 . Done in loop below
> 
> 
> 
> 
> //Find Highest / Lowest value over range of bars
> RWH_Max = -999999;
> RWL_Max = -999999;
> 
> if (RWLoop == 1)
> {
> for (pd=8; pd<65; pd++)       //  <<< 
================================ Problem Area ???
> {
> //AvgTR   = MA(truRange,pd);
> //RWH= (truHi-Ref(truLo,-Pd))/AvgTR*sqrt(Pd));
> //RWL= (Ref(truHi,-Pd)-truLo)/AvgTR*sqrt(Pd));
> 
> RWH= (truHi-Ref(truLo,-Pd))/(ATR(Pd)*sqrt(Pd));
> RWL= (Ref(truHi,-Pd)-truLo)/(ATR(Pd)*sqrt(Pd));
> //Pk= WMA((RWH-RWL),3);  // Weighted MA
> 
> 
> RWH_Max = IIf(RWH > RWH_Max,RWH,RWH_Max);
> RWL_Max = IIf(RWL > RWL_Max,RWL,RWL_Max);
> Pk      = WMA((RWH_Max - RWL_Max),3);
> }
> }
> else
> {
> pd = 13;
> RWH= (truHi-Ref(truLo,-Pd))/(ATR(Pd)*sqrt(Pd));
> RWL= (Ref(truHi,-Pd)-truLo)/(ATR(Pd)*sqrt(Pd));
> Pk= WMA((RWH-RWL),3);  // Weighted MA
> }
> 
> 
> MN= MA(Pk,Pd);
> SD= StDev(Pk,Pd);
> 
> Val1= IIf(MN+(1.33*SD) > 2.08, MN+(1.33*SD), 2.08);
> Val2= IIf(MN-(1.33*SD) < -1.92, MN-(1.33*SD), -1.92);
> 
> Line= IIf(Ref(Pk,-1) >= 0 AND Pk > 0,Val1, IIf(Ref(Pk,-1) <= 0 AND 
Pk < 0, Val2, 0));
> 
> Red= IIf(Ref(Pk,-1) > Pk, Pk, 0);
> Yellow= IIf(Pk > Ref(Pk,-1), Pk, 0);
> OscEnv  = EMA(PK,1);
> 
> Plot(Red,"Red",colorRed,styleHistogram|styleThick);
> Plot(Yellow,"Yellow",colorYellow,styleHistogram|styleThick);
> Plot(OscEnv,"",colorBlack,styleLine);
> Plot(Line,"Line",colorGreen,styleLine);
> PlotGrid(0,55);
> 
> // 
======================================================================
==============
> //Compute KCD
> if (KCD_Plot==1)
> {
> Pk2 = RWH-RWL;
> 
> KCD = EMA((Pk2 - EMA(Pk2,Pd)),3);
> KCD_Env = EMA(KCD,1);
> Plot(KCD,"KCD",IIf
(KCD>0,colorGreen,colorOrange),styleHistogram|styleThick);
> Plot(KCD_Env,"",colorBlue,styleLine);
> }
> 
> Title= "Kase Peak Oscillator   " + Name() + "  Pd " + WriteVal
(Pd,1.0) +
> "\n   Peak Osc Red="+WriteVal(Red,1.2)+
> "\n     Peak Osc Yellow="+WriteVal(Yellow,1.2);
>




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