Re: [amibroker] Random Walk Index functions

["John R" <jrdrp@xxxx>]

TJ,

Thanks for your explanation of AB calculation method.

FYI I did some more testing on Metastock calculation method - it differs
from AB slightly as follows:-

Minimum value is 0 i.e. Negative values are set to 0.
Uses a moving average of the ATR.
The ATR moving average is offest by 1 day (apparently recommened by Poulos).

So MS code for RWIHiN is:-

RwiHiN = ( High - Ref( Low, -N ) ) / ( ref( mov(ATR(1),N,S),-1) * SQRT(
N ) );

John

----- Original Message -----
From: "Tomasz Janeczko" <tj@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, June 29, 2001 2:54 PM
Subject: Re: [amibroker] Random Walk Index functions


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 values are 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.
http://www.amibroker.com

----- Original Message -----
From: John R
To: 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 the
Amibroker RWI functions RWIHI and RWILO can return negative values whereas
the Metastock equivalents never fall below 0.

Is there a problem here or is it down to different interpretations of the
Michael Poulos work? Could you let me know the formula AB uses for these
functions.

Thanks
John



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