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Hi John,
Actually ATR( N) is a *moving average* of true ranges
over the N bars.
The only difference is that ATR uses Wilders averaging:
ATR( N ) = Wilders( TrueRange, N ) = Wilders( ATR( 1 ), N
);
--
I have found no reasons why should we do Ref( ATR,-1 )
stuff and
does not allow negative values. Do you know of any
reasons
why MS does it?
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: Saturday, June 30, 2001 1:59
AM
Subject: Re: [amibroker] RandomWalk
Index functions
TJ,Thanks for your explanation of AB calculation
method.FYI I did some more testing on Metastock calculation method -
it differsfrom AB slightly as follows:-Minimum value is 0 i.e.
Negative values are set to 0.Uses a moving average of the ATR.TheATR
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
PMSubject: Re: [amibroker] Random Walk Index
functionsHello,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 ispseudo-code not AFL):1. First partial RwiLoN and RwiHiN
values are calculated when N changes fromminperiods to maxperiods(Ref
- gives the value N periods back as in AFL, and ATR is Average TrueRange
(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 exampleminperiods = 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 RwiLoAs you can see from the formulas given in (1)
it may happen that the valueis negative, for examplein a strong
downtrend RwiHiN for all specified N can be negative - currenthighs 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 correctionin 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
----- 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 ofmy
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 Yahoo! Groups
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