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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.
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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.
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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)
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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's, while system B has one 20% drawdown and lots of 15% dd'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's thought will reveal a simple way to program it as Order-N"
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I'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.
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I'd forgotten that the market was closed.
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Hello.
Are prices in v7 for 12-05-2018 correct? Even after updates, I'm not getting prices for EDZ, GUSH, UGAZ specifically and possibly for many others.
Thank you.
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Markhike, I'm sorry I didn't reply to this before. This is extremely helpful and works well! Thank you very much for submitting the script. I appreciate it.
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Hi, Bruce. Thank you very much for offering ideas around the problem. This is very helpful.
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