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Hello,
One more thing - if you want to take a look at the
low-level implementation
of EMA please check out <A
href="">http://www.amibroker.com/docs/ab400.html
(Indicator example in JScript )
Best regards,
Tomasz Janeczko
amibroker.com
PS.
a) Indicator example - Exponential moving average:
EnableScript("jscript");<%close = VBArray( AFL( "close" )
).toArray();
output = new Array();
// initialize first elementoutput[ 0 ] = close[ 0 ];
// perform the loop that calculates exponential moving
averagefactor = 0.05;for( i = 1; i < close.length; i++
){output[ i ] = factor * close[ i ] + (1 - factor) * output[ i - 1
];}
AFL.Var("graph0") = close;AFL.Var("graph1") =
output;
%>WriteVal( graph1 );
----- Original Message -----
<BLOCKQUOTE
>
<DIV
>From:
Anthony Faragasso
To: <A
href=""
title=amibroker@xxxxxxxxxxxxxxx>amibroker@xxxxxxxxxxxxxxx
Sent: Monday, November 12, 2001 1:15
PM
Subject: Re: [amibroker] Re: Slow
Stochastic moving buy-sell levels
Tomasz;
See the Attached Image, There seems to be some Difference, that is whyI
questioned. When I placed the formula under your explanation, they appearto
be the same.
This is an 8 period EMA of the Close. graph0=EMA(c,8); <FONT
face=Arial>ema_today = factor * close + ( 1 - factor ) *
ema_yesterday. value1
=(Smooth*Close)+(Decay*EMA.PREV)
after you find value from above code, do you then continue with...
graph0=EMA(value1,8); Possibly that is why there is a
difference in custom EMA and Ami EMA. Because I continued with the above.
Also, I know there was Discussion , but how do I satisfy the( EMA.Prev)
Thanks Anthony Tomasz Janeczko wrote:
Anthony, <FONT
face=Arial>This is NOTHING new. I mean EACH exponential moving
average is calculated this way. <FONT
size=-1>This Decay factor is in fact the STANDARD way of calculating
EMA:ema_today = factor * close
+ ( 1 - factor ) *
ema_yesterday.
=(Smooth*Close)+(Decay*EMA.PREV)
your decay factor is
(1-factor), when factor = 2/(Period+1). <FONT
face=Arial>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
allowsyou to create
variable-period exponential moving averages that works<FONT
face=Arial>again with the same
scheme. Best
regards,Tomasz
Janeczko<FONT
size=-1>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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