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Continuing on in chapter 2 and 4 some additional LW concepts were tested
today. One is the HighD(0) minus Close and the Close minus LowD(0). His
thesis is that trend terminates when the close is at the end of the daily
bar. I thought it might be interesting to code this for intraday use. Note
in the attached chart that up and down trends terminated when %Bear or %Bull
were between 80 and 100%. This is sort of like a one day stochastic using
unsmoothed intraday data compared to a dynamic HighD(0) or LowD(0) as they
develop during the day. Applying this to intraday data code we get:
vars: PrcntBull(0),PrcntBear(0),Rang(0);
rang=HighD(0)-LowD(0);
If Rang<>0 then
PrcntBear=100*(HighD(0) - Close)/Rang;
If Rang<>0 then
PrcntBull = 100*(Close - LowD(0))/Rang;
Plot1(PrcntBull,"%Bull");
Plot2(PrcntBear,"%Bear");
Plot3(50,"50%");
Another interesting concept discussed is the reference point, i.e.
yesterday's close or today's open to be use in adding or subtracting a
percentage of yesterday's range to for buy and sell signals. It has been
traditional to use the close or to use the classical pivot, but in LW's
testing over a 16 year period '82 to '98 on the snp showed that a " "BUY"
entry comes at 40% of the previous day's range added to the open, the sell
entry at 200 percent of the range subtracted from the open." <that 200 might
be a misprint>. Kind of interesting that the DSP0H peaked out right on that
40% level between 3 and 3:30PM. The %Bull also hit the max 80 to 100 zone
and the %Range ended back on zero. I guess you could say there was no buy
signal today using his definitions.
BobR
Attachment Converted: "f:\eudora\attach\prcnt4.gif"
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