Excellent. Thanks for the great reply Ara.
--- In [email protected], "Ara Kaloustian" <[EMAIL PROTECTED]> wrote: > > The formula for stochastic is shown below. > > Just change the Closing value with Highs to test your theory > > Period = 14; > Stoc = ((High - LLV(Low,Period)) / > (HHV(High,Period) - LLV(Low,Period))) * 100; > > %K = MA(Stoc,3); > %D = MA(%K,3); > > > ----- Original Message ----- > From: "cipherscribe" <[EMAIL PROTECTED]> > To: <[email protected]> > Sent: Monday, June 25, 2007 3:50 PM > Subject: [amibroker] resilient stochastic values > > > >I trade intra-day (based on a 30 minute bar) and often find my system > > produces false signals (in terms of backtesting at EOD) as my > > stochastic values of the bar that produced the signal changes over > > time based on subsequent price changes. > > > > For example, if I set a buy signal when my stochastic reaches 80, and > > the price action lifts the stochastic to 80, I enter a position. > > However within that same bar, price subsequently declines, as does the > > stochastic. So the bar closes out after 30 minutes having never > > reached 80 (I assume this is since stochastic operates using closing > > prices, not the high). > > > > So when I backtest at EOD, this position never materializes. This then > > invalidates any longer term backtesting I am using to verify the system. > > > > Has anyone come up with a methodology to workaround this problem, and > > does with work with stochastics? Or is there a way to have stochastics > > use the high, rather than the close. (I think this would resolve the > > issue, but not sure). > > > > Thanks in advance! > > > > > > > > > > > > Please note that this group is for discussion between users only. > > > > To get support from AmiBroker please send an e-mail directly to > > SUPPORT {at} amibroker.com > > > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > > http://www.amibroker.com/devlog/ > > > > For other support material please check also: > > http://www.amibroker.com/support.html > > > > Yahoo! Groups Links > > > > > > >
