Experiments in Technical Analysis
- Thread starter karthikmarar
- Start date
Hi Oldmirage,
The codes posted in this thread are for AmiBroker. AmiBroker is not FREE software. However you can download a trial version from http://www.amibroker.com. The limitation in the trial version is that you can not save anything.
If you are using other software like metastock, fibotrader or fcharts etc. you have to translate these codes yourself or by somebody who can do it.
Regards
-Anant
The codes posted in this thread are for AmiBroker. AmiBroker is not FREE software. However you can download a trial version from http://www.amibroker.com. The limitation in the trial version is that you can not save anything.
If you are using other software like metastock, fibotrader or fcharts etc. you have to translate these codes yourself or by somebody who can do it.
Regards
-Anant
thanks Anant.
I am throwing out another question for ppl who had participated in testing as well as writing different systems.
After improvising these systems, did anyone developed any quantamized parameter to measure the success rate of these system ?
I work with mathematical models and this kind of thing come to mind more naturally to me. If I can help this forum with my knowledge, please guide me what and where should I look.
I am throwing out another question for ppl who had participated in testing as well as writing different systems.
After improvising these systems, did anyone developed any quantamized parameter to measure the success rate of these system ?
I work with mathematical models and this kind of thing come to mind more naturally to me. If I can help this forum with my knowledge, please guide me what and where should I look.
C
Talking of removing lag, how about zero lag 
Just a side note about removing lag, the key thing is the Time-Series you are 'de-lagging', i.e the concept of your indicator should be a 'fundamental' truth about the markets before smoothing it. I hate to be the one to break it but you guys are going to get nowhere removing lag from a MACD or Stoch on a data series that is not even stationary in the first place.
Attached is an eg of how I remove 'lag' from a 'Sentiment' Indicator that I calculate real-time.
Just a side note about removing lag, the key thing is the Time-Series you are 'de-lagging', i.e the concept of your indicator should be a 'fundamental' truth about the markets before smoothing it. I hate to be the one to break it but you guys are going to get nowhere removing lag from a MACD or Stoch on a data series that is not even stationary in the first place.
Attached is an eg of how I remove 'lag' from a 'Sentiment' Indicator that I calculate real-time.
Attachments
Talking of removing lag, how about zero lag
Just a side note about removing lag, the key thing is the Time-Series you are 'de-lagging', i.e the concept of your indicator should be a 'fundamental' truth about the markets before smoothing it. I hate to be the one to break it but you guys are going to get nowhere removing lag from a MACD or Stoch on a data series that is not even stationary in the first place.
Attached is an eg of how I remove 'lag' from a 'Sentiment' Indicator that I calculate real-time.
Just a side note about removing lag, the key thing is the Time-Series you are 'de-lagging', i.e the concept of your indicator should be a 'fundamental' truth about the markets before smoothing it. I hate to be the one to break it but you guys are going to get nowhere removing lag from a MACD or Stoch on a data series that is not even stationary in the first place.
Attached is an eg of how I remove 'lag' from a 'Sentiment' Indicator that I calculate real-time.
You mean the fundamental deficiency lies where - is it in the concept behind the indicators or the data series itself ?
Regards,
Kalyan.
Oh...the Big BOSS himself on this thread... real surprise.
Nice to see you on this thread CV.
Kalyan, I suppose the basic deficiency is in Indicator itself. The Moving average SMA or EMA are Linear filters (Actually a Infinite impulse Response Filter- IIR) which work well on stationary or slow moving signals. However the price are nonstationary. Ofcourse nonlinear Filters like KAMA, VIDYA and Ehler's Filters respond much better to nonstationary data.
Now that throws up many interesting questions. Can we use the difference of two nonlinear filtered signals in a way similar to MACD? We will definitely explore this later when time permits.
Also many Indicator assume the price data to have a Gaussian Probability Distribution which is hardly true. Fisher Transform does help to approximate the price to a gaussian PDF.
Now one can ask, Does the fisher transformed indicator perform much better than ..say a conventional indicator like MACD? Is it really worth going through the hi-fi calculation? On a postional trader perspective, it may be a simpler to stick to the conventional MACD as my experiments reveal. I would definitely share more information and ideas on this ... again ..when time permits..
warm regards
Karthik
Nice to see you on this thread CV.
Kalyan, I suppose the basic deficiency is in Indicator itself. The Moving average SMA or EMA are Linear filters (Actually a Infinite impulse Response Filter- IIR) which work well on stationary or slow moving signals. However the price are nonstationary. Ofcourse nonlinear Filters like KAMA, VIDYA and Ehler's Filters respond much better to nonstationary data.
Now that throws up many interesting questions. Can we use the difference of two nonlinear filtered signals in a way similar to MACD? We will definitely explore this later when time permits.
Also many Indicator assume the price data to have a Gaussian Probability Distribution which is hardly true. Fisher Transform does help to approximate the price to a gaussian PDF.
Now one can ask, Does the fisher transformed indicator perform much better than ..say a conventional indicator like MACD? Is it really worth going through the hi-fi calculation? On a postional trader perspective, it may be a simpler to stick to the conventional MACD as my experiments reveal. I would definitely share more information and ideas on this ... again ..when time permits..
warm regards
Karthik
Ananth
It is great to see you back in action.
Some analysis of the zero lag MACD. It is no way an attempt to deride your effort, just a critical Analysis..
It is true that the zero lag MACD is sharper and sooner in indicating the reversals / Turning points compared to the conventional MACD. However the zero lag MACD produces more signals and more whipsaws. Also many a times it indicates bullishness during sideways markets.
The peaks and troughs are much accentuated and thus over emphasizing the Bullishness or bearishness. The Histogram is much more jagged. In contrast the Conventional MACD is smoother and easier to work with.
Are we sacrificing too much to get a faster entry?
I put the same trading signals, which I used for the conventional MACD in the discussion Trading the MACD. I am enclosing two charts as examples.
Would like to have your views
Warm regards
Karthik
It is great to see you back in action.
Some analysis of the zero lag MACD. It is no way an attempt to deride your effort, just a critical Analysis..
It is true that the zero lag MACD is sharper and sooner in indicating the reversals / Turning points compared to the conventional MACD. However the zero lag MACD produces more signals and more whipsaws. Also many a times it indicates bullishness during sideways markets.
The peaks and troughs are much accentuated and thus over emphasizing the Bullishness or bearishness. The Histogram is much more jagged. In contrast the Conventional MACD is smoother and easier to work with.
Are we sacrificing too much to get a faster entry?
I put the same trading signals, which I used for the conventional MACD in the discussion Trading the MACD. I am enclosing two charts as examples.
Would like to have your views
Warm regards
Karthik
Last edited:
Yes, i thought so on reading of the nonstationary data series mentioned in CVs post. But he also mentions the Stoch. So maybe it's got more to do with the PDF aspect of the price data itself.
My word, this is getting fascinating! With now CV also joining in!! (Talk of the usefulness of Traderji!).
YEH DIL MANGE MORE ....
Regards,
Kalyan.
My word, this is getting fascinating! With now CV also joining in!! (Talk of the usefulness of Traderji!).
YEH DIL MANGE MORE ....
Regards,
Kalyan.
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