Re: [amibroker] Previous Value

["Tomasz Janeczko" <tj@xxxx>]

Hi Jeff and Steve,
 
Yes, you can do it in VBSctipt and JScrtipt but there is also 
much easier and faster way
of calculating any kind of variable-weight (adaptive) moving 
average using
AMA function :
 
AMA - adaptive moving average 
(AFL 1.5) 



SYNTAX
ama( ARRAY, SMOOTHINGFACTOR )

RETURNS
ARRAY

FUNCTION
calculates adaptive moving average - simliar to EMA()but 
smoothing factor could be time-variant (array).

EXAMPLE

The example of volatility-weighted adaptive moving average formula:
graph0 = ema( close, 15 );fast = 2/(2+1);slow = 
2/(30+1);dir=abs(close-ref(close,-10));vol=sum(abs(close-ref(close,-1)),10);ER=dir/vol;sc 
=( ER*(fast-slow)+slow)^2;
graph0 = ama( close, sc );
 
AMA works like this (pseudo-code):
// for day "i" the value is:
movavg[ i ] = smoothingfactor * array[ i ] + ( 1 - smoothingfactor ) * 
movavg[ i - 1 ]; 
// movavg[ i - 1 ] is a PREVIOUS day value of movavg
 
There is also a second version of AMA called AMA2 when you get 
3 parameters:
AMA2( Array, ForwardFactor, FeedbackFactor ) and is equivalent 
to this pseudo-code

// for day "i" the value is:
movavg[ i ] = forwardfactor * array[ i ] + feedback * movavg[ i - 
1 ]; 
// movavg[ i - 1 ] is a PREVIOUS day value of movavg
 
Best regards,
Tomasz Janeczko
 
<BLOCKQUOTE dir=ltr 
>
----- Original Message ----- 
<DIV 
>From: 
Steve Wiser 

To: <A title=amibroker@xxxxxxxxxxxxx 
href="">amibroker@xxxxxxxxxxxxxxx 
Sent: Wednesday, June 20, 2001 12:36 
AM
Subject: Re: [amibroker] Previous 
Value
Jeff:This has been done using VBScript a couple of 
times once as an example and another as a tool for an indicator.See 
the attached file as an example.SteveAt 03:29PM 
6/19/01 -0400, you wrote:>Hello to All!>>Just got the 
lastest issure of Active Trader Magazine....always like to >play around 
with the systems they present in "The Trading Systems Lab" 
>section...>>This month they present a system based on a 
Volume Weighted Moving >Average.  Everything is fairly simpleto 
code into AFL, with one little >exception...to start the calculation of 
the VWMA you must have the >"previous" VWMA to preform the calculation. 
There is my problem...how to >get a "previous" value of an array when 
you haven't preformed the first >calculation of the 
array.>>All you "Codies" out there...any 
suggestions?>>Thanks>>JeffYour 
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