guru_trader
485 posts
msg #42499
- Ignore guru_trader |
3/26/2006 4:38:11 AM
Has anyone read the article about "Average Peak Excursion" in the April 2006 issue of Technical Analysis of Stocks and Commodities (TASC)? I would like to see an SF filter for it.
Claims:
Using APE, you can:
1. Select stocks that tend to yield higher-trading rates of returns than other stocks
2. Select stocks for a higher relative reward compared with risk
3. Determine the best trading time frame to maximize the rate of return for a given stock
...
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Koronbock
201 posts
msg #42501
- Ignore Koronbock |
3/26/2006 9:08:56 AM
I do not have the article. If someone is to help you, some kind of formula or at least written "rules" are needed to convert it to something SF can deal with.
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woodsmen63
23 posts
msg #42503
- Ignore woodsmen63 |
3/26/2006 9:40:58 AM
http://www.traders.com/Documentation/FEEDbk_docs/TradersTips/TradersTips.html
This month's tips include formulas and programs for:
TRADESTATION: AVERAGE PEAK EXCURSION (APE)
METASTOCK: AVERAGE PEAK EXCURSION (APE)
WEALTH-LAB: AVERAGE PEAK EXCURSION (APE)
AMIBROKER: AVERAGE PEAK EXCURSION (APE)
eSIGNAL: AVERAGE PEAK EXCURSION (APE)
NEUROSHELL TRADER: AVERAGE PEAK EXCURSION (APE)
NEOTICKER: AVERAGE PEAK EXCURSION (APE)
TRADING SOLUTIONS: AVERAGE PEAK EXCURSION (APE)
AIQ SYSTEMS: AVERAGE PEAK EXCURSION (APE)
TECHNIFILTER PLUS: AVERAGE PEAK EXCURSION (APE)
TRADECISION: AVERAGE PEAK EXCURSION (APE)
BIOCOMP DAKOTA: AVERAGE PEAK EXCURSION (APE)
TRADE NAVIGATOR/TradeSense: AVERAGE PEAK EXCURSION (APE)
VTTRADER: AVERAGE PEAK EXCURSION (APE)
This all I could find, has to do with absolute value
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TheRumpledOne
6,411 posts
msg #42506
- Ignore TheRumpledOne
modified |
3/26/2006 10:37:30 AM
Here's the code for TradeStation:
inputs:
Period( 20 ) ;
variables:
APELength( 250 ),
TestOpen( 0 ),
OneDayPE( 0 ),
PE( 0 ),
APE1( 0 ),
APEN( 0 ),
Count( 0 ) ;
array:
OneDayPEArray[ 250 ]( 0 ),
PEArray[ 250 ]( 0 ) ;
TestOpen = Open[ Period - 1 ] ;
OneDayPE = MaxList( High - Open, Open - Low ) / Open ;
PE = MaxList( TestOpen - Lowest( Low, Period ),
Highest( High, Period ) - TestOpen) / TestOpen ;
for Count = 250 downto 2
begin
OneDayPEArray[ Count ] = OneDayPEArray[ Count - 1 ];
PEArray[ Count ] = PEArray[ Count - 1 ] ;
end ;
OneDayPEArray[ 1 ] = OneDayPE ;
PEArray[ 1 ] = PE ;
if CurrentBar > 250 then
begin
APEN = AverageArray( PEArray, APELength ) ;
APE1 = AverageArray( OneDayPEArray, APELength ) ;
Plot1( APE1, "APE-1" ) ;
Plot2( APEN, "APE-N" ) ;
end ;
if APE1 > 0 and Log( Period ) > 0 then
Plot3( Log( APEN /APE1 ) / Log( Period ), "Alpha" );
first attempt:
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TheRumpledOne
6,411 posts
msg #42507
- Ignore TheRumpledOne
modified |
3/26/2006 10:37:42 AM
Attempt one POTENTIAL FILTER ERROR.. BLEW UP!
So let's see how far we can go:
So far, so good.
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TheRumpledOne
6,411 posts
msg #42508
- Ignore TheRumpledOne
modified |
3/26/2006 10:37:54 AM
Some interesting things happening...
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TheRumpledOne
6,411 posts
msg #42509
- Ignore TheRumpledOne
modified |
3/26/2006 10:38:12 AM
It's still working...
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TheRumpledOne
6,411 posts
msg #42510
- Ignore TheRumpledOne
modified |
3/26/2006 10:39:56 AM
SF doesn't like:
set{LogPeriod, Log(20) }
add column LogPeriod
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TheRumpledOne
6,411 posts
msg #42511
- Ignore TheRumpledOne
modified |
3/26/2006 11:01:54 AM
Got it to work!! Looks like SF has a small bug.
But will have to compare this filter to TradeStation to see if the values match...
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TheRumpledOne
6,411 posts
msg #42512
- Ignore TheRumpledOne
modified |
3/26/2006 11:16:54 AM
So far...
APE1 matches TradeStation
APEN and ALPHA doesn't match.
OK, got the above working.
APEN within .01.
MAY ALL YOUR FILLS BE COMPLETE.
P.S. guru_trader, you owe me BIGTIME for this one ... LOL!
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