Experiments in Technical Analysis

kuriako · #**1031** 25th September 2007, 01:45 PM

This chart shows the difference between a PRACTICAL trader and a theoretical paper trader...

100 thanks to Karthik brother for a refined thing like this!!!
Infact thanks for showing me the confirmation!

oilman5 · #**1032** 25th September 2007, 02:17 PM

thank u asishda......for ur excellent call.....i gain small 500 net....
credit to u.......also analysis is good
with regards

uasish · #**1033** 25th September 2007, 04:31 PM

Sorry Karthik he has posted on a wrong thread.

uasish · #**1034** 25th September 2007, 04:43 PM

Amarnath,

You are refering the 'Altman's Variate' type ,normally used for measuring Bankruptcy,here karthik has used the 'Leadership Test' type
Z= X - M / SD
Z score equals the “Raw” Score received (e.g., the score on the leadership test) minus the Mean or Average and then Divided by the Standard Deviation.(It is a kind of Error estimation when used in Time Series).
The main beauty is in the Normalization.

Asish

karthikmarar · #**1035** 25th September 2007, 11:27 PM

Quote:

Originally Posted by uasish

Thank you Karthik ,a modification on your Z score,is some times working as confirmatory & some times as Leading indicator,on 1min chart.

Thank you my friend. You seem to have worked out a nice variation.

When we apply a fisher transform to a normalized indicator we can approximate to a normal distribution. I did try Fisher transform on the NPO and failed. Inversefisher transform does work but does not improve the NPO any further.

Quote:

Originally Posted by CreditViolet

hi Karthik

I thought about it for a while and figured out the answers to the Qs that I had, so decided to delete my post.The indicator is indeed quite useful if used correctly, I am currently looking at variations of it on intraday data.

Cheers

Ah CV, Nice to see that you find the NPO useful. Hope you will find a good variation for intraday.

warm regards

Karthik

karthikmarar · #**1036** 25th September 2007, 11:47 PM

Quote:

Originally Posted by amarnath

Hi Karthik,

Sorry for hacking this thread or its topic in middle, in general Z score is often refered to or used to estimate profitunity or profitability of a model or system, pls correct me if i am wrong

Z Score for a trading system is calculated by the following formula:

Z=(N*(R-0.5)-P)/((P*(P-N))/(N-1))^(1/2)where:

N - total amount of trades in a series;
R - total amount of series of profitable and losing trades;
P = 2*W*L;
W - total amount of profitable trades in the series;
L - total amount of losing trades in the series.

Hi Amarnath

Nice to see you again on this thread. You are right, The formula given by you is for the Z score of a trading system. Z score can be applied for any data. Here we are applying on the price data to get a Indicator.

Those who are more interested in the z score of a trading system can refer to "The Mathematics of Money Management: Risk Analysis Techniques for Traders" by Ralph Vince.

warm regards

Karthik

ragh_ash · #**1037** 11th October 2007, 06:45 PM

Hi karthik
can u fine tune the MACD indicator? in recent days gives many whiplashes.
pl
regards

kkseal · #**1038** 11th October 2007, 09:29 PM

Hi Karthik,

Don't you think the trading rules for the NPO can be extended? Like when it's rising from below -1 and crosses that level. I'm working on a similar indicator (though the underlying premise is different) and from preliminary examination of charts it seems -1 to +1 (when it's rising from below -1) is a good range to trade. But this can only be determined through testing. I'm somewhat lazy when it comes to backtesting (moreover my indi still needs refinements) - so if you can do it for your NPO do post the results.

Regards,
Kalyan.

P.S. The smoothing you've used will introduce a 1.5 bar lag approx, but it's a good one.

kkseal · #**1039** 11th October 2007, 10:01 PM

One more thing Karthik

From the formula that you're using wouldn't a NPO value of zero correspond to price hitting the 60d MA? (why not use 50 as it's followed more widely). If so then this level itself can be a resistance/support zone (more so if you use 50 instead of 60). So from below -1 (and above 1) cross-up (or cross-down) till zero would be a relatively safe trading zone (subject to test off-course) particularly if the momentum also shows a turn from os/ob zone during the same period.

Regards,
Klayan.

P.S. I could well have misunderstood the NPO construction. So correct me if i'm wrong.

kkseal · #**1040** 11th October 2007, 10:12 PM

And last but not the least

Congratulations & many Thanks for your great work.

Regards,
Kalyan.

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