1.
The TEMA10 and TEMA20 of CCI(30) may give interesting Sell signals according to the
//TEMA10 and TEMA20 for the CCI(30) Sell signals
H1=H;L1=L;
n=Param("N",30,20,30,5);
y=CCI(n);
T10=TEMA(Y,10);T20=TEMA(Y,20);
Plot(C,"Close",1,64);
H=L=T20;
S1=SAR(0.05,0.5);
Sell=Cross(S1,T10)*(T20>100);
PlotShapes(shapeDownTriangle*Sell,colorPink);
The logic is rather simple, when T20 is above 100 we check the crosses of T10 with the SAR of T20.
[see Fig. 1]
2.
Since we used theT10= TEMA(10) and T20= TEMA(20), we may replace them by a Ti3 smoother.
2a.
We should search first the proper factor "s" according to an enhanced variation of the
http://groups.yahoo.com/group/amibroker/message/59863
technique.
We ask a Ti3 "between" T10 and T20.
The Ti3 distorsion and the day of the highest distorsion should be in the T10, T20 range.
In an empty IB window paste first the
// The range of the parameter S for various Ti3 periods
t=Cum(1);
L1=LastValue(t);D=100;DD=110;
C0=IIf(t>L1-d,dd,d);
Plot(C0,"\nCLOSE",1,styleThick);Plot(112,"",0,styleNoLine);
PERIOD1=10;PERIOD2=20;//the TEMA periods
S1=TEMA(C0,PERIOD1);
Hb1=LastValue(ValueWhen(s1==Highest(s1),t)-ValueWhen(C0>Ref(C0,-1),t));
S2=TEMA(C0,PERIOD2);
Hb2=LastValue(ValueWhen(s2==Highest(s2),t)-ValueWhen(C0>Ref(C0,-1),t));
Div1=100*(s1-C0)/LastValue(C0);MaxDiv1=LastValue(Highest(Div1));
Div2=100*(s2-C0)/LastValue(C0);MaxDiv2=LastValue(Highest(Div2));
Plot(S1,"",colorBlack,8);z1=WriteVal(period1,1.0);z2=WriteVal(period2,1.0);
Plot(S2,"",colorBlack,8);
PlotShapes(shapeUpArrow*(s1==LastValue(Highest(s1))),colorBlack);
PlotShapes(shapeUpArrow*(s2==LastValue(Highest(s2))),colorBlack);
Title="Max Div for TEMA("+z1+") ="+WriteVal(MaxDiv1,1.2)
+"%"+", TEMA("+z2+")="+WriteVal(Maxdiv2,1.2)+"%"+"\nHb1="+WriteVal(Hb1,1.0)+", Hb2="+WriteVal(Hb2,1.0)+ "\nThe parameter S should be";
//the Ti3 function
function T3(price,periods,s)
{
e1=EMA(price,periods);
e2=EMA(e1,Periods);
e3=EMA(e2,Periods);
e4=EMA(e3,Periods);
e5=EMA(e4,Periods);
e6=EMA(e5,Periods);
c1=-s*s*s;
c2=3*s*s+3*s*s*s;
c3=-6*s*s-3*s-3*s*s*s;
c4=1+3*s+s*s*s+3*s*s;
Ti3=c1*e6+c2*e5+c3*e4+c4*e3;
return ti3;
}
//the S_range procedure
procedure S_range(x,Color)
{
k=0;smin=0;step=0.01;Hb=0;
for(s=0.5;s<1.5;s=s+step)
{
Ti3=T3(C0,X,s);
Div3=100*(Ti3-C0)/LastValue(C0);
MaxDiv3=LastValue(Highest(Div3));
Hb3=LastValue(ValueWhen(Ti3==Highest(Ti3),t)-ValueWhen(C0>Ref(C0,-1),t));
if(MaxDiv3>=MaxDiv1 AND MaxDiv3<=MaxDiv2 AND Hb3>=Hb1 AND Hb3<=Hb2)
{
Plot(Ti3,"\nT3",color,1);
PlotShapes(shapeDownArrow*(Ti3==LastValue(Highest(Ti3))),color);
k=k+1;Hb=Hb3;
smin=smin+IIf(k==1,s,0);
}
}
smax=smin+(k-1)*step;
Title0="\nfor Ti3("+WriteVal(x,1.0)+") from "+WriteVal(smin,1.2)
+" to "+WriteVal(smax,1.2)+", [Hb="+WriteVal(Hb,1.0)+"]";
Title=Title+WriteIf(smin>0,Title0,"");
}
//Application
for(g=5;g<9;g++)
{
S_range(g,20+g);
}
and read the results:
The maximum Distorsion for TEMA10 is 1.38% and occurs in Hb1=6 bars after the price gap up.
The maximum Distorsion for TEMA20 is 1.61% and occurs in Hb1=12 bars after the price gap up.
The parameter "s" should be
for Ti3(5) from 0.83 to 0.87 with Hb=7
for Ti3(6) from 0.81 to 0.84 with Hb=9
for Ti3(7) from 0.79 to 0.82 with Hb=1
Other Ti3 periods or "s" values will give either higher distorsion or delayed response
[see Fig. 2]
2b.
The next step is to replace T10, T20 with the proper Ti3.
//the Ti3 vs TEMA for the CCI() sell signals
H1=H;L1=L;
n=Param("N",30,20,30,5);
y=CCI(n);
T10=TEMA(Y,10);T20=TEMA(Y,20);
Plot(C,"Close",1,64);
H=L=T20;
S1=SAR(0.05,0.5);
Sell=Cross(S1,T10)*(T20>100);
PlotShapes(shapeDownTriangle*Sell,colorPink);
H=H1;L=L1;
//the Ti3 function
function T3(price,periods,s)
{
e1=EMA(price,periods);
e2=EMA(e1,Periods);
e3=EMA(e2,Periods);
e4=EMA(e3,Periods);
e5=EMA(e4,Periods);
e6=EMA(e5,Periods);
c1=-s*s*s;
c2=3*s*s+3*s*s*s;
c3=-6*s*s-3*s-3*s*s*s;
c4=1+3*s+s*s*s+3*s*s;
Ti3=c1*e6+c2*e5+c3*e4+c4*e3;
return ti3;
}
n=Param("N",30,20,30,5);
y=CCI(n);
p1=Param("p1",5,5,7,1);
p2=Param("p2",79,79,87,1)/100;
T=T3(y,p1,p2);
H=L=T;
S1=SAR(0.05,0.5);
Sell=Cross(S1,T)*(T>100);
PlotShapes(shapeDownArrow*Sell,colorRed);
GraphXSpace=10;
The above described Ti3 will give a Sell signal fine tuning.
The Ti3 red arrows are anticipating or confirming the basic TEMA Sell signals [pink triangles]
and will improve the Selling opportunities.
[see Fig. 3]
The actual CCI(), T10, T20 and Ti3 are in Fig. 4. See how Ti3 is placed "between" T10 and T20.
Dimitris Tsokakis
References
1. http://www.traders.com/Documentation/FEEDbk_docs/Archive/0198/Abstracts_new/TILLSON/Tillson9801.html
2. http://www.traders.com/Documentation/FEEDbk_docs/Archive/0298/TradersTips/Tips9802.htm
3. http://finance.groups.yahoo.com/group/amibroker-ts/files/
[Tillson T3 Better MAs and Oscillators.doc]
4. http://www.amibroker.com/library/detail.php?id=342
5. http://www.amibroker.com/library/detail.php?id=116
6. http://finance.groups.yahoo.com/group/amibroker/message/59863
7. http://finance.groups.yahoo.com/group/amibroker/message/59881
The TEMA10 and TEMA20 of CCI(30) may give interesting Sell signals according to the
//TEMA10 and TEMA20 for the CCI(30) Sell signals
H1=H;L1=L;
n=Param("N",30,20,30,5);
y=CCI(n);
T10=TEMA(Y,10);T20=TEMA(Y,20);
Plot(C,"Close",1,64);
H=L=T20;
S1=SAR(0.05,0.5);
Sell=Cross(S1,T10)*(T20>100);
PlotShapes(shapeDownTriangle*Sell,colorPink);
The logic is rather simple, when T20 is above 100 we check the crosses of T10 with the SAR of T20.
[see Fig. 1]
2.
Since we used theT10= TEMA(10) and T20= TEMA(20), we may replace them by a Ti3 smoother.
2a.
We should search first the proper factor "s" according to an enhanced variation of the
http://groups.yahoo.com/group/amibroker/message/59863
technique.
We ask a Ti3 "between" T10 and T20.
The Ti3 distorsion and the day of the highest distorsion should be in the T10, T20 range.
In an empty IB window paste first the
// The range of the parameter S for various Ti3 periods
t=Cum(1);
L1=LastValue(t);D=100;DD=110;
C0=IIf(t>L1-d,dd,d);
Plot(C0,"\nCLOSE",1,styleThick);Plot(112,"",0,styleNoLine);
PERIOD1=10;PERIOD2=20;//the TEMA periods
S1=TEMA(C0,PERIOD1);
Hb1=LastValue(ValueWhen(s1==Highest(s1),t)-ValueWhen(C0>Ref(C0,-1),t));
S2=TEMA(C0,PERIOD2);
Hb2=LastValue(ValueWhen(s2==Highest(s2),t)-ValueWhen(C0>Ref(C0,-1),t));
Div1=100*(s1-C0)/LastValue(C0);MaxDiv1=LastValue(Highest(Div1));
Div2=100*(s2-C0)/LastValue(C0);MaxDiv2=LastValue(Highest(Div2));
Plot(S1,"",colorBlack,8);z1=WriteVal(period1,1.0);z2=WriteVal(period2,1.0);
Plot(S2,"",colorBlack,8);
PlotShapes(shapeUpArrow*(s1==LastValue(Highest(s1))),colorBlack);
PlotShapes(shapeUpArrow*(s2==LastValue(Highest(s2))),colorBlack);
Title="Max Div for TEMA("+z1+") ="+WriteVal(MaxDiv1,1.2)
+"%"+", TEMA("+z2+")="+WriteVal(Maxdiv2,1.2)+"%"+"\nHb1="+WriteVal(Hb1,1.0)+", Hb2="+WriteVal(Hb2,1.0)+ "\nThe parameter S should be";
//the Ti3 function
function T3(price,periods,s)
{
e1=EMA(price,periods);
e2=EMA(e1,Periods);
e3=EMA(e2,Periods);
e4=EMA(e3,Periods);
e5=EMA(e4,Periods);
e6=EMA(e5,Periods);
c1=-s*s*s;
c2=3*s*s+3*s*s*s;
c3=-6*s*s-3*s-3*s*s*s;
c4=1+3*s+s*s*s+3*s*s;
Ti3=c1*e6+c2*e5+c3*e4+c4*e3;
return ti3;
}
//the S_range procedure
procedure S_range(x,Color)
{
k=0;smin=0;step=0.01;Hb=0;
for(s=0.5;s<1.5;s=s+step)
{
Ti3=T3(C0,X,s);
Div3=100*(Ti3-C0)/LastValue(C0);
MaxDiv3=LastValue(Highest(Div3));
Hb3=LastValue(ValueWhen(Ti3==Highest(Ti3),t)-ValueWhen(C0>Ref(C0,-1),t));
if(MaxDiv3>=MaxDiv1 AND MaxDiv3<=MaxDiv2 AND Hb3>=Hb1 AND Hb3<=Hb2)
{
Plot(Ti3,"\nT3",color,1);
PlotShapes(shapeDownArrow*(Ti3==LastValue(Highest(Ti3))),color);
k=k+1;Hb=Hb3;
smin=smin+IIf(k==1,s,0);
}
}
smax=smin+(k-1)*step;
Title0="\nfor Ti3("+WriteVal(x,1.0)+") from "+WriteVal(smin,1.2)
+" to "+WriteVal(smax,1.2)+", [Hb="+WriteVal(Hb,1.0)+"]";
Title=Title+WriteIf(smin>0,Title0,"");
}
//Application
for(g=5;g<9;g++)
{
S_range(g,20+g);
}
and read the results:
The maximum Distorsion for TEMA10 is 1.38% and occurs in Hb1=6 bars after the price gap up.
The maximum Distorsion for TEMA20 is 1.61% and occurs in Hb1=12 bars after the price gap up.
The parameter "s" should be
for Ti3(5) from 0.83 to 0.87 with Hb=7
for Ti3(6) from 0.81 to 0.84 with Hb=9
for Ti3(7) from 0.79 to 0.82 with Hb=1
Other Ti3 periods or "s" values will give either higher distorsion or delayed response
[see Fig. 2]
2b.
The next step is to replace T10, T20 with the proper Ti3.
//the Ti3 vs TEMA for the CCI() sell signals
H1=H;L1=L;
n=Param("N",30,20,30,5);
y=CCI(n);
T10=TEMA(Y,10);T20=TEMA(Y,20);
Plot(C,"Close",1,64);
H=L=T20;
S1=SAR(0.05,0.5);
Sell=Cross(S1,T10)*(T20>100);
PlotShapes(shapeDownTriangle*Sell,colorPink);
H=H1;L=L1;
//the Ti3 function
function T3(price,periods,s)
{
e1=EMA(price,periods);
e2=EMA(e1,Periods);
e3=EMA(e2,Periods);
e4=EMA(e3,Periods);
e5=EMA(e4,Periods);
e6=EMA(e5,Periods);
c1=-s*s*s;
c2=3*s*s+3*s*s*s;
c3=-6*s*s-3*s-3*s*s*s;
c4=1+3*s+s*s*s+3*s*s;
Ti3=c1*e6+c2*e5+c3*e4+c4*e3;
return ti3;
}
n=Param("N",30,20,30,5);
y=CCI(n);
p1=Param("p1",5,5,7,1);
p2=Param("p2",79,79,87,1)/100;
T=T3(y,p1,p2);
H=L=T;
S1=SAR(0.05,0.5);
Sell=Cross(S1,T)*(T>100);
PlotShapes(shapeDownArrow*Sell,colorRed);
GraphXSpace=10;
The above described Ti3 will give a Sell signal fine tuning.
The Ti3 red arrows are anticipating or confirming the basic TEMA Sell signals [pink triangles]
and will improve the Selling opportunities.
[see Fig. 3]
The actual CCI(), T10, T20 and Ti3 are in Fig. 4. See how Ti3 is placed "between" T10 and T20.
Dimitris Tsokakis
References
1. http://www.traders.com/Documentation/FEEDbk_docs/Archive/0198/Abstracts_new/TILLSON/Tillson9801.html
2. http://www.traders.com/Documentation/FEEDbk_docs/Archive/0298/TradersTips/Tips9802.htm
3. http://finance.groups.yahoo.com/group/amibroker-ts/files/
[Tillson T3 Better MAs and Oscillators.doc]
4. http://www.amibroker.com/library/detail.php?id=342
5. http://www.amibroker.com/library/detail.php?id=116
6. http://finance.groups.yahoo.com/group/amibroker/message/59863
7. http://finance.groups.yahoo.com/group/amibroker/message/59881