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Profile: 0002ct
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User Name: 0002ct
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Joined: Thursday, November 19, 2015
Last Visit: Friday, February 15, 2019 6:08:25 PM
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Last 10 Posts
Topic: Indicator-based ratio
Posted: Friday, February 15, 2019 5:03:08 PM

Bruce, I just got back and you're probably gone. Thank you very much for the follow up. Adding a ROC to my views isn't distracting. You should see the Norad I have going on sometimes. By the time you see this, hope you had a good weekend.

Topic: Indicator-based ratio
Posted: Friday, February 15, 2019 12:12:32 PM

Bruce, superb. Yes, I know this isn't backtesting -- I do that exhaustively and with a totally different set of criteria and processing. I'm looking for a framework for comparing, which is exactly what you solved.

I'll dig into these to see how they work. Thanks very much. Much appreciated.

Topic: Indicator-based ratio
Posted: Friday, February 15, 2019 11:02:54 AM

Hello.

I want to evaluate a ticker over time using the DSS indicator. I'd like to know the total price change indicated by the first green in a series and closed by the first red, using open prices for both values, say for 250 bars.

The example below boxes DSS indicator's signals and a line traing the general barpath. I didn't do it exhaustively, and this is a only a few of the "green" examples.

1. If possible, I would like help with a formula for the "green" sum over 250 bars = UPS
2. A secod formula for "red" (first red is the start, first green closes the calculation) over 250 bars = DOWN
3. A third formula/ratio to compare the two = UPSDOWNS, over 250.

I am not certain whether this should be in percent-change or not, but I think this would be best since it will make comparison of other tickers easier.

Thank you very much for taking a look. 

____
What I use for Green:
100 * XAVG((XAVG(STOC10, 5) - MIN(XAVG(STOC10, 5), 10)) / (MAX(XAVG(STOC10, 5), 10) - MIN(XAVG(STOC10, 5), 10)), 5)

What I use for Red:
100 * XAVG((XAVG(STOC10, 5) - MIN(XAVG(STOC10, 5), 10)) / (MAX(XAVG(STOC10, 5), 10) - MIN(XAVG(STOC10, 5), 10)), 5) / ABS(XAVG((XAVG(STOC10, 5) - MIN(XAVG(STOC10, 5), 10)) / (MAX(XAVG(STOC10, 5), 10) - MIN(XAVG(STOC10, 5), 10)), 5) < XAVG((XAVG(STOC10.1.1, 5) - MIN(XAVG(STOC10.1.1, 5), 10)) / (MAX(XAVG(STOC10.1.1, 5), 10) - MIN(XAVG(STOC10.1.1, 5), 10)), 5))

What I use to draw the line:
100 * XAVG((XAVG(STOC10, 5) - MIN(XAVG(STOC10, 5), 10)) / (MAX(XAVG(STOC10, 5), 10) - MIN(XAVG(STOC10, 5), 10)), 5)
 

 

 




 

Topic: Lake Ratio
Posted: Tuesday, January 08, 2019 9:11:14 PM

Ok, thank you.

Topic: Lake Ratio
Posted: Tuesday, January 08, 2019 3:02:19 PM

Hello.

Is it possible to do something like a Lake Ratio? An adequate description for a version of this ratio comes from another place.
 

"Take daily equity values E(i) and calculate the data series P(i), the "peaks", defined as
 
P(i) = MAX(E(n)) for n=1 to n=i
 
Then calcuate two numbers, WATER and EARTH:
WATER = SUM( P(j) - E(j) ) for j=1 to ndays
EARTH = SUM( E(k) ) for k=1 to ndays
 
Lake Ratio = WATER/EARTH
 
The Lake Ratio includes all drawdowns in its construction, not just the maximum drawdown. If system A has one 30% drawdown and lots of 10% dd&#39;s, while system B has one 20% drawdown and lots of 15% dd&#39;s, Lake Ratio will prefer A but MAR will prefer B.
 
Technical note: the definition for P(i) above represents an Order-Nsquared algorithm. But a moment&#39;s thought will reveal a simple way to program it as Order-N"

 


 

Topic: 2019
Posted: Wednesday, January 02, 2019 11:42:23 AM

I&#39;m later than planned, but I just wanted to thank Bruce and other folks here for the superb product support and expertise. A great, healthy, happy year (and beyond) to you all.

 

Topic: Prices on 12-5
Posted: Friday, December 14, 2018 1:11:27 PM

I&#39;d forgotten that the market was closed.

Topic: Prices on 12-5
Posted: Friday, December 14, 2018 1:02:08 PM

Hello.

Are prices in v7 for 12-05-2018 correct? Even after updates, I&#39;m not getting prices for EDZ, GUSH, UGAZ specifically and possibly for many others.

Thank you.

Topic: automating data update for v.7
Posted: Friday, December 07, 2018 2:34:03 PM

Markhike, I&#39;m sorry I didn&#39;t reply to this before. This is extremely helpful and works well! Thank you very much for submitting the script. I appreciate it.

Topic: sideways an oscillations
Posted: Tuesday, December 04, 2018 3:37:50 PM

Hi, Bruce. Thank you very much for offering ideas around the problem. This is very helpful.