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Hi Eric,
I am just back from a week's absense and have so many things to do -
one of which is to work through 150+ messages! So just a quick reply.
The data you gave does not point out anything that will lead to
dissaster, it actually looks as if it is working. Maybe you can mail
me the actual screenshot of the plot as I can then make a better
judgement.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, chichungchoi <no_reply@xxxx> wrote:
>
> Hi MG Ferreira:
>
> In this example, Kalman Filter contains 3 indicators:
> Stoch(5,3),
> RSI(14) and
> Mov(C,20,S)
>
> I only use the result of weighting factor for RSI(14) as an example,
> and don't optimize its parameter, and record annual high, low and the
> last day at the end of the year. RSI(14) seems not to get steady in
> term of its weighting factor, does it cause by the changing market
> condition?
> Under this example,
> do you have any suggestion on what year the weighting factor for RSI
> (14) is getting steady? and
> when does it get fluctuated? and
> how to handle the situation if it starts getting fluctuated?
>
> I look forward to your reply
> Thank you very much
> Eric :>
>
> DEFAULT VALUE FOR WEIGHTING FACTOR
> W1 = 1000
>
> RSI(14) [31/12/2004]
> HIGHEST [2004] 1451
> CURRENT [2004] 1073
> LOWEST [2004] 547
>
> RSI(14) [31/12/2003]
> HIGHEST [2003] 1399
> CURRENT [2003] 893
> LOWEST [2003] 471
>
> RSI(14) [31/12/2002]
> HIGHEST [2002] 1363
> CURRENT [2002] 945
> LOWEST [2002] 644
>
> RSI(14) [31/12/2001]
> HIGHEST [2001] 1926
> CURRENT [2001] 962
> LOWEST [2001] 436
>
> RSI(14) [31/12/2000]
> HIGHEST [2000] 2388
> CURRENT [2000] 912
> LOWEST [2000] 52
>
> RSI(14) [31/12/1999]
> HIGHEST [1999] 1752
> CURRENT [1999] 1052
> LOWEST [1999] 396
>
> RSI(14) [31/12/1998]
> HIGHEST [1998] 2667
> CURRENT [1998] 867
> LOWEST [1998] 326
>
> RSI(14) [31/12/1997]
> HIGHEST [1997] 2365
> CURRENT [1997] 820
> LOWEST [1997]-1229
>
> RSI(14) [31/12/1996]
> HIGHEST [1996] 1836
> CURRENT [1996] 937
> LOWEST [1996] 584
>
> RSI(14) [31/12/1995]
> HIGHEST [1995] 1486
> CURRENT [1995] 1058
> LOWEST [1995] 713
>
> RSI(14) [31/12/1994]
> HIGHEST [1994] 1560
> CURRENT [1994] 1047
> LOWEST [1994] 232
>
> RSI(14) [31/12/1993]
> HIGHEST [1993] 1611
> CURRENT [1993] 868
> LOWEST [1993] 669
>
> RSI(14) [31/12/1992]
> HIGHEST [1992] 1438
> CURRENT [1992] 1074
> LOWEST [1992] 662
>
> RSI(14) [31/12/1991]
> HIGHEST [1991] 1343
> CURRENT [1991] 1024
> LOWEST [1991] 856
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