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Anthony,
This is NOTHING new. I mean EACH exponential moving
average is calculated this way.
This Decay factor is in fact the STANDARD way of
calculating EMA:
ema_today = factor * close + ( 1 - factor ) *
ema_yesterday.
your decay factor is (1-factor), when factor =
2/(Period+1).
This is a STANDARD EMA. There is no magic
here.
AFL built in EMA works exactly like
this.
And as I wrote before AMA function that takes
factor parameter allows
you to create variable-period exponential moving
averages that works
again with the same scheme.
Best regards,
Tomasz Janeczko
amibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Anthony Faragasso
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 12, 2001 12:32
PM
Subject: Re: [amibroker] Re: Slow
Stochastic moving buy-sell levels
Dimitri;
Thank you for the reply and direction.
Question: Have you heard of applying a Decay Factor to
Exponential Moving Averages.
Period(N)
Smooth
Decay 8
Formulas:
=2/(Period+1)
=1-Smooth
=(Smooth*Close)+(Decay*EMA.PREV)
Glossary:
SMA:n - Simple Moving Average of the last n values. The first n-1
value of the average are invalid because there are not enough values to
produce an answer. EMA:n - Exponential Moving Average Period -
(n) the number of days in the moving averages. The period may be varied
by changing the value in cell R2C6 - the graph and the results will change
automatically. Smooth - Smoothing factor for an exponential moving
average. Factor is dreived from the period of an equivalent simple moving
average needed to achieve the same amount of lag. This factor is multiplied by
the current source value (SPX in this case). Decay - the
decay factor is the one's complement of the smoothing factor. This
factor is used to weight the previous exponential moving average value before
they are combined.
I have completed some code, maybe you could evaluate, to see if this
warrants any discussion. Your opinions are valued.
Anthony
DIMITRIS TSOKAKIS wrote:
Begin at 5119, 5120 and then at 5161 messages of
this list. DT --- In amibroker@xxxx, Anthony Faragasso
<ajf1111@xxxx> wrote: > Hi Dimitri; > > Could you
explain how you arrived at the Dbuy and Dsell numbers in your >
formula.Were they produced by doing some optimization, if so, could you
> supply the optimization. > > > /*Slow
Stochastic moving buy-sell levels*/ > > Dbuy=14; >
Dsell=8; > X1=13; > MaxGraph=12; > ST3=StochK(X1);
> ST33=StochD(X1); > Graph0=ST3; > Graph1=ST33;
> AVST=MA(StochD(X1),100); >
Graph9=AVST-Dbuy;Graph10=AVST+Dsell; >
Graph8=avst;Graph8Style=8;Graph8BarColor=2; >
Graph9Style=Graph10Style=8; > Graph9BarColor=Graph10BarColor=1;
> > Thank you. > Anthony
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/* Custom Exponential Moving Average *//* with Decay Factor, coded
by Anthony Faragasso*/MaxGraph=8;pds=10; /* Custom EMA
periods,and EMA standard, you can change period*/pds2=10;/* Simple MA
periods , you can change
period*/Smooth=(2/(pds+1));Decay=(1-smooth);/* set the P
variable: O,H,L,C , your average can be on any price variable
*/P=C;P1=p;Avg2=(Smooth*p)+(Decay*p1);/* this line should read
(smooth*p)+(decay*ema.prev)*/
Avg3=EMA(Avg2,pds);Avg4=(Smooth*p)+(Decay*Ref(Avg3,-1));/*
have I satisfied that line
Here*/Graph0=EMA(Avg4,pds);Graph0Color=6;Graph0Style=1; /*
blue line , Custom EMA with
Decay*/Graph2=C;Graph2Style=128;Graph3=MA(p,pds2);Graph3Color=4;
/*red line , Simple MA */Graph4=EMA(p,pds);Graph4Color=2;/* white
line , EMA standard */Title=Name()+" Custom EMA with Decay
:Blue "+"("+WriteVal(Graph0,format=1.2)+")"+" EMA
:White"+"("+WriteVal(Graph4,format=1.2)+")"+" Simple MA :Red
"+"("+WriteVal(Graph3,format=1.2)+")"+" Close
:"+"("+WriteVal(Graph2,format=1.2)+")";
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