glgene
616 posts
msg #97019
- Ignore glgene |
10/15/2010 11:24:07 PM
Looking for any comments as to the discrepancy, as described below:
Stock Symbol: BX (Blackstone Group)
Run date: End-of-day, 10-15-2010
BX results in Stockfetcher:
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Price >>>>>>>>>>>>>>>> $13.38
Parabolics (0.02, 0.2) >>>> $13.72
Price / Parabolics >>>>>>> 97.52% (<100, which means it triggered a sale, end-of-day, 10-15-2010)
Running the same BX stock in Stockcharts.com
----------------------------------------------------------------
Price >>>>>>>>>>>>>>>>> $13.38
Parabolics (0.02, 0.2) >>>> $13.03
Price / Parabolics >>>>>>> 102.69% (which means it DIDN'T trigger a sale, end-of-day, 10-15-2010)
The big question: Why would the Parabolics number be different with the same parameters: $13.72 vs. $13.03
Any help would really be appreciated. BX is a holding of mine, and I just began studying Parabolics.
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Eman93
4,750 posts
msg #97022
- Ignore Eman93 |
10/16/2010 1:05:59 AM
The Parabolic SAR is calculated almost independently for each trend in the price. When the price is in an uptrend, the SAR appears below the price and converges upwards towards it. Similarly, on a downtrend, the SAR appears above the price and converges downwards.
At each step within a trend, the SAR is calculated ahead of time. That is, tomorrow's SAR value is built using data available today. The general formula used for this is:
SAR_{n+1} = SAR_n + alpha ( EP - SAR_n ) !
Where SARn and SARn + 1 represent today's and tomorrow's SAR values, respectively.
The extreme point, EP, is a record kept during each trend that represents the highest value reached by the price during the current uptrend — or lowest value during a downtrend. On each period, if a new maximum (or minimum) is observed, the EP is updated with that value.
The α value represents the acceleration factor. Usually, this is set to a value of 0.02 initially. This factor is increased by 0.02 each time a new EP is recorded. In other words, each time a new EP is observed, it will increase the acceleration factor. This will then quicken the rate at which the SAR converges towards the price. To keep it from getting too large, a maximum value for the acceleration factor is normally set at 0.20, so that it never goes beyond that. For stocks trading, it is preferable to set the acceleration factor to 0.01, in order to be less sensitive to local decreases. For commodity or currency trading, it is preferable to use a value of 0.02.
The SAR is recursively calculated in this manner for each new period. There are, however, two special cases that will modify the SAR value:
* If tomorrow's SAR value lies within (or beyond) today's or yesterday's price range, the SAR must be set to the closest price bound. For example, if in an uptrend, the new SAR value is calculated and it results to be greater than today's or yesterday's lowest price, the SAR must be set equal to that lower boundary.
* If tomorrow's SAR value lies within (or beyond) tomorrow's price range, a new trend direction is then signaled, and the SAR must "switch sides."
Upon a trend switch, several things happen. The first SAR value for this new trend is set to the last EP recorded on the previous trend. The EP is then reset accordingly to this period's maximum. The acceleration factor is reset to its initial value of 0.02.
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Eman93
4,750 posts
msg #97023
- Ignore Eman93 |
10/16/2010 1:08:09 AM
My bet is one is using the close price as the max value instead of the high or low.. or not using the adjustment as stated... I guess get your calculator out ....
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glgene
616 posts
msg #97024
- Ignore glgene |
10/16/2010 1:24:15 AM
Eman....Do you think one could be using a Simple Moving Average, and the other Exponental Moving Average? If so, which one is using SMA, and which one is using EMA? Or doesn't the type of Moving Average apply when calculating Parabolic?
Does SF, as a rule, use Simple or Exponential MAs?
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Eman93
4,750 posts
msg #97026
- Ignore Eman93 |
10/16/2010 3:32:35 AM
http://www.incrediblecharts.com/indicators/parabolic_sar.php
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