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Hi John,
Thank you for your detailed investigation.
I pointed out the ATR because you said that
Metastock uses simple moving average of ATR(1). ATR(1) means
no wilders
averaging and is equivalent to simply true range function. So
simply Wilders average
(ATR) is replaced by simple moving average.
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 12:32
PM
Subject: Re: [amibroker] RandomWalk
Index functions
Hi Tj,I realise ATR is already an average. I don't
know why the MS formula takesaverage 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 onATR was apparently suggested by
originator (M.Poulos) - presumably his workindicated it gave better
results. I have seen this offset used in RWIformulas in other TA software
e.g. Technifilter.In practice I doubt whether these variations would
make much difference - Ijust get curious when different programs report
different values for sameindicator!RegardsJohn-----
Original Message -----From: "Tomasz Janeczko"
<tj@xxxx>To: <amibroker@xxxxxxxxxxxxxxx>Sent:
Saturday, June 30, 2001 10:37 AMSubject: Re: [amibroker] Random Walk Index
functionsHi 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
anddoes not allow negative values. Do you know of any reasonswhy MS
does it?Best regards,Tomasz
Janeczko------------------------------------------------AmiBroker-
the comprehensive share manager<A
href="">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 explanationof
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 byPoulos).
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 changesfrom 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 iscorrect. 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
----- 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 valueswhereas
the Metastock equivalents never fall below 0. Is
there a problem here or is it down to different interpretations
ofthe Michael Poulos work? Could you let me know the
formula AB uses for these
functions. Thanks
John
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