Hi Mike,
Thank you so much for your reply!
This is EXACTLY what I am looking for, from the Aronson's book!
I can't wait to make it work... Right now there is a small problem with the
formula... I get an error message for this parti total += raw[i]; Ln12:
col:8:Error 30. Syntax error.
I tried to change the += for = or == and it works... Is it possible that
the AB version that I have doesn't recognize the +=? Or maybe there is an
error with the +=? Is it possible to get to the same result in any other
way?
Thanks a lot!
Louis
2008/3/2, Mike <[EMAIL PROTECTED]>:
>
> Hi,
>
> Based on your formula, I assume that you are referring to Chapter 1
> of David Aronson's book: Evidence Based Technical Analysis.
>
> That being the case, I am providing a script below.
>
> However, I believe that the formula that you originally posted is not
> correct. Aronson's formula calls for multiplying your boolean
> strategy signal (i.e. +1 for long vs. -1 for short) by the detrended
> daily returns, *not* the Close by the returns!
>
> Also, the book does not go into detail for tri-state strategies (i.e.
> long/neutral/short) nor for long/neutral or short/neutral strategies.
> I'm assuming that plugging in a signal value of 0 would be acceptable
> for a neutral position, but haven't researched that yet. So, just be
> careful how you use the data once you've detrended it.
>
> Anyway, here is a script that I believe will detrend the market
> returns as per the book. Currently, the script is intended for
> detrending a single symbol. I have not yet got around to making it
> work against a watchlist of symbols (coming soon).
>
> 1. Copy paste the script below to a file on your machine (say
> c:\Program Files\AmiBroker\Formulas\Custom\Detrend.afl). Make sure
> that you correct any formatting that gets messed up from this post,
> such that AmiBroker likes everything. Use the Tools | Verify Syntax
> menu from the code editor.
>
> 2. Open a chart on the symbol that you want to detrend. For example;
> Aronson used the SP-500 for all his tests.
>
> 3. Open the Automatic Analysis Window
>
> 4. Click the "Pick" button and select the script that you just saved
> (i.e. Detrend.afl).
>
> 5. Select "current symbol" for the Apply To.
>
> 6. Select "from" for the Range, and enter a from date and a to date
> (e.g. from 1/1/2007 to 12/31/2007).
>
> 7. Click on Backtest
>
> A new symbol will be added to your system having the same name as the
> original, but prefixed with a "~", for example "~SP-500". This symbol
> will appear in Market 253 and contain detrended market information
> for the range selected (e.g. all of 2007 as above) and zeros for all
> other dates.
>
> For each bar in the detrended symbol, the information will be
> arranged as follows:
>
> Open: The unadjusted log daily return (i.e. log(Open2/Open1)).
>
> High: The total sum of all unadjusted log daily returns.
>
> Low: The average of all unadjusted log daily returns (i.e. ALR).
>
> Close: The detrended log daily return (i.e. log(Open2/Open1) - ALR).
>
> OI: The number of bars over which the data has been detrended.
>
> Note: As per Aronson, Open2 refers to the Open two days from now,
> Open1 refers to the Open one day from now, ALR refers to the average
> log return over the period being detrended.
>
> Note: I have used the natural logarithm in my code (i.e. ln), as
> opposed to the base 10 logarithm (i.e. log10). I don't know if that
> makes a difference.
>
> Note: To find your detrended strategy results, you still must write
> your own code to calculate which of the detrended daily returns your
> strategy would pick up, and which sign to use (+/-) when multiplying
> by the detrended return for that day.
>
> Note: I ran this script against SP-500 for the entire year of 2007.
> With my data source, the average detrended log daily return (i.e. all
> the Close values of ~SP-500 divided by 251 actual trading days) ended
> up being -6.00797E-10 which is effectively zero. So, I'm assuming
> that it works.
>
> Corrections and enhancements welcomed :)
>
> Mike
>
> procedure Detrend(compositeName) {
> local range; range = Status("barinrange");
> local raw; raw = log(Ref(Open, 2)/Ref(Open, 1));
> local total; total = 0;
> local count; count = 0;
> local offset; offset = 0;
>
> for (i = 0; i < BarCount; i++) {
> if (range[i]) {
> if (NOT IsNull(raw[i])) {
> count++;
> total += raw[i];
> }
> }
> }
>
> if (count > 0) {
> AddToComposite(IIF(range, raw, Null), "~" + compositeName, "O",
> atcFlagDefaults | atcFlagEnableInBackTest);
>
> offset = total/count;
> raw = IIF(IsNull(raw), offset, raw);
>
> AddToComposite(IIF(range, raw - offset, Null), "~" +
> compositeName, "C", atcFlagDefaults | atcFlagEnableInBackTest);
> AddToComposite(IIF(range, total, Null), "~" + compositeName, "H",
> atcFlagDefaults | atcFlagEnableInBackTest);
> AddToComposite(IIF(range, offset, Null), "~" +
> compositeName, "L", atcFlagDefaults | atcFlagEnableInBackTest);
> AddToComposite(IIF(range, count, Null), "~" + compositeName, "I",
> atcFlagDefaults | atcFlagEnableInBackTest);
> } else {
> AddToComposite(Null, "~" + compositeName, "X", atcFlagDefaults |
> atcFlagEnableInBackTest);
> }
> }
>
> Buy = Sell = Short = Cover = 0;
> Detrend(Name());
>
> --- In [email protected] <amibroker%40yahoogroups.com>,
> "louisprefontaine" <[EMAIL PROTECTED]>
> wrote:
> >
> > Anybody can help?
> >
> > Thanks,
> >
> > Louis
> >
> > --- In [email protected] <amibroker%40yahoogroups.com>, "Louis
> Préfontaine" <rockprog80@>
> > wrote:
> > >
> > > I am trying to build a formula to "detrend" the market.
> > >
> > > What I want to set is something like this
> > >
> > > Close of day 0 * ( log (open day2/open day 1) - average log
> > return of
> > > every day of the data available.
> > >
> > > Anybody can do that?
> > >
> > > Thanks,
> > >
> > > Louis
> > >
> >
>
>
>
