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Hello,
RWILO
SYNTAX
rwilo( minperiods, maxperiods
)
RETURNS
ARRAY
FUNCTION
Calculates the Random Walk Index from
Lows.
EXAMPLE
rwilo( 9, 40
);
RwiHi and RwiLo functions in AmiBroker are
calculated as follows (this is pseudo-code not AFL):
1. First partial RwiLoN and RwiHiN valuesare
calculated when N changes from minperiods to maxperiods
(Ref - gives the value N periods back as in AFL,
and ATR is Average True Range (as in AFL) and SQRT is a square root function
)
RwiHiN = ( High - Ref( Low, -N ) ) /
( ATR( N ) * SQRT( N ) );
RwiLoN = ( Ref( High, -N ) - Low ) /
( ATR( N ) * SQRT( N ) );
2. Then the maximum of calculated values are taken
(in this example minperiods = 10; maxperiods = 15 )
RwiHi( 10, 15 ) = max( RwiHi10, RwiHi11,
RwiHi12, RwiHi13, RwiHi14, RwiHi15 );
RwiLo( 10, 15 ) = max( RwiLo10, RwiLo11,
RwiLo12, RwiLo13, RwiLo14, RwiLo15 );
3. Rwi oscillator is a difference between RwiHi and
RwiLo
As you can see from the formulas given in (1) it may happen
that the value is negative, for example
in a strong downtrend RwiHiN for all specified N can be
negative - current highs are lower than Lows N periods ago.
Metastock obviously adds something like that:
RwiHi = Max( RwiHi, 0 );
RwiLo = Max( RwiLo, 0 );
essentially not allowing negative values at all. I doubt if
this is correct. But you may use this correction
in your code:
MSrwilo = Max( RWILo( 8, 20 ), 0 );
MSrwihi = Max( RWIHi( 8, 20 ), 0
);
Best regards,Tomasz Janeczko===============AmiBroker - the
comprehensive share manager.<A
href="">http://www.amibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
John
R
To: <A title=amibroker@xxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Wednesday, June 27, 2001 3:40
PM
Subject: [amibroker] Random Walk Index
functions
Tomasz,When converting some of my systems from
Metastock I noticed that theAmibroker RWI functions RWIHI and RWILO can
return negative values whereasthe Metastock equivalents never fall below
0.Is there a problem here or is it down to different interpretations
of theMichael Poulos work? Could you let me know the formula AB uses for
thesefunctions.ThanksJohnYour
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