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Adam,
On Sat, 10 Apr 1999 08:35:18 -0500, you wrote:
> I would be interested in seeing your work with the Linear-ROC
>indicator......... I have been contemplating some combination of
>these two but never took the time to code it.
What would you like to see? The basic "programming" in MetaStock of
this " LRS-ROC" indicator is like this (with some comments in {}):
{NIO is the _basic_ number of points taken to calculate the ROCs. The
four ROCs _per day_ used for interpolation are:}
rll:=ROC(O,nio-1,%)/(nio-1);
rl:=ROC(O,nio,%)/nio;
rh:=ROC(O,nio+1,%)/(nio+1);
rhh:=ROC(O,nio+2,%)/(nio+2);
{Now, interpolation is done at a point XIO (0<=xio<=1), i.e. between
the points NIO and NIO+1, using a simple interpolation formula
weighting with the _distances_ of the four ROCs from the interpolation
point XIO:}
rit:=(rll/(1+xio)+rl/(xio+.0001)+rh/(1-xio)+rhh/(2-xio))/(1/(1+xio)+1/(xio+.0001)+1/(1-xio)+1/(2-xio));
{Then the LinearRegressionSlope is taken _twice_ (for numerical
reasons) from the interpolated ROC, using the basic number of points,
i.e. NIO. That is where we get our LRS-ROC indicator, named RO here:}
ro:=LinRegSlope(LinRegSlope(rit,nio),nio);
NIO+XIO together represent the _real_ (not integer!) number of points
or days, the LRS-ROC indicator is calculated for, e.g. 4.57 days.
Unfortunately, MetaStock is not able to use _one_ real number (e.g.
4.57) as input to be splitted into NIO and XIO and to be used in the
formulas above. So NIO and XIO have to be provided separately, because
of this stupid restrictions in MetaStock, and both are subjected to
some "optimization" in accordance to the historical prices.
To be clear:
This LRS-ROC indicator triggers _only the timing_ for
entering/closing a position, using an appropriate criterion.
Additional (also ROC-based) criterions are used to stay out / in
during extreme bearish / bullish situations.
Additionally: This "TA" is only one basic element of my option
trading system, primarily to catch some "special reality effects" that
cannot be modeled by example-based know-how recycling from historical
data, c.f. e.g. the resignation of our minister of finance lately. But
probably, this TA system may also be used as a "stand-alone" system.
mfg rudolf stricker
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