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Hi MG Ferreira:
Thank you for your reply, I have emailed the results under this
address ferra@xxxxxxxxxxxxxxxx, do you receive it?
Thank you
Eric
--- In equismetastock@xxxxxxxxxxxxxxx, "MG Ferreira" <quant@xxxx>
wrote:
> 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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