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Hi Tj,
I realise ATR is already an average. I don't know why the MS formula takes
average again of ATR - I am just reporting what I discovered FYI.
I agree with you that a floor value of zero seems wrong. The 1 day offset on
ATR was apparently suggested by originator (M.Poulos) - presumably his work
indicated it gave better results. I have seen this offset used in RWI
formulas in other TA software e.g. Technifilter.
In practice I doubt whether these variations would make much difference - I
just get curious when different programs report different values for same
indicator!
Regards
John
----- Original Message -----
From: "Tomasz Janeczko" <tj@xxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, June 30, 2001 10:37 AM
Subject: Re: [amibroker] Random Walk Index functions
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
http://www.amibroker.com
----- Original Message -----
From: John R
To: amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, June 30, 2001 1:59 AM
Subject: Re: [amibroker] Random Walk Index functions
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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