Re: Slow Stochastic moving buy-sell levels

["DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>]

Anthony,
If I read verbatim what you write
"applying a Decay Factor to Exponential Moving Averages"
you speak about an EMA of an EMA.
Example

graph0=EMA(C,10);
GRAPH1=EMA(EMA(C,10),10);

Is this the smoothing that you search ?

>From the beginning of the code 
Decay=(1-smooth);
P=C;
P1=p;
Avg2=(Smooth*p)+(Decay*p1);
I notice that
Avg2=smooth*p+decay*p1=smooth*p+(1-smooth)*p1=
=smooth*p+p1-smooth*p1=
=smooth*C+C-smooth*C=C
Do you need this result, Avg2=C ?

DT

--- In amibroker@xxxx, Anthony Faragasso <ajf1111@xxxx> wrote:
> 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
> >
> >
> >
> >
> > Your use of Yahoo! Groups is subject to 
http://docs.yahoo.com/info/terms/
> 
> /* 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)+")";