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Richard,
for example in Mstock the RWIL(2,9) is the formula below
you'll see that Mstock uses the ATR or the true range of one day
TR=Max(Max(H-Ref(C,-1),Ref(C,-1)-L),H-L);
//Plot(TR,"",5,1);
//Plot(ATR(1),"",2,1);
and oofset by one day the simple average of the ATR
BUT if I compare with the AMIBROKER RWI, that 's different
Plot(RWILo(2,9),"",1,1);
Plot(avgRWIL,"",2,1);
I wonder what TRUE RANGE Tomacz uses in the computation of random
walk
avgRWIL=/* formule Mstock*/
Max( ( Ref(High,-1) - Low ) / ( ( Ref(MA(ATR( 1 ) ,2 ),-1)) * sqrt(
2 ) ) ,
Max( (Ref(High,-2) -Low) / ( ( Ref(MA(ATR( 1 ),3),-1)) * sqrt(
3 ) ),
Max( (Ref(High,-3) - Low) / ( (Ref(MA(ATR( 1 ) ,4) ,-1)) * sqrt(
4 ) ) ,
Max( ( Ref( High,-4) - Low) / ( (Ref(MA(ATR( 1 ),5),-1)) * sqrt(
5 ) ),
Max( (Ref(High,-5) - Low) / ( (Ref( MA( ATR( 1 ),6),-1) ) * sqrt(
6 ) ),
Max( ( Ref(High,-6) -Low) / ( (Ref( MA( ATR( 1 ),7),-1)) * sqrt(
7 ) ),
Max((Ref(High,-7)-Low) / ( (Ref(MA(ATR( 1 ),8),-1)) * sqrt(8) ),
(Ref(High,-8)-Low) / ( (Ref(MA(ATR(1),9),-1)) * sqrt(
9 ) ) ) ) ) ) ) ) );
> Thanks Stephane, I think the concept is becoming clear, it is the
implementation that is confusing me at the present. The simplest
description I have located is
>
> ATR = Average Trading Range
> RWI high = (HI - LO[n]) / ATR * n sqrt(n)
> RWI low = (HI[n] - LO) / ATR * n sqrt(n)
>
> There are several implementation choices - which ATR do you use,
today's, last n days, max of last n days, etc. It appears that the
common MetaStock may use n*max(TR(n)), n = 1
>
> however, the AB code has two parameters,
> SYNTAX rwi( minperiods, maxperiods )
> RETURNS ARRAY
> FUNCTION Calculates the Random Walk Index indicator as a
difference between Random Walk Index from Highs (RWIHI() function)
and Random Walk Index from Lows (RWILO() function.
> EXAMPLE rwi( 9, 40 );
>
>
> and I am not certain what the min/max periods refer to. They may
be the range over which the statistics are generated, although that
still hold some ambiguity in my mind?
>
>
> May have to wait for clarification from TJ. I have attached some
test AFL indicator code for those interested.
>
> Thanks,
>
> Richard
>
> ----- Original Message -----
> From: nenapacwanfr
> To: amibroker@xxxx
> Sent: Tuesday, July 02, 2002 12:22 AM
> Subject: [amibroker] Re: RWI - Random Walk Index
>
>
> Richard,
> I have a description in a book ( at the period when I have tried
> technifilter)
>
> if we use the average true range over 4 days to quantify what a
> normal step size would be, then we would expect random movement
to
> be within 2 times the av true range, which is the square root of
> four times the step size.
> if the traveled distance is more than this number, then the
price
> has moved more than we would expect from random movement.
> therefore the movement is probably not random.
> it is how works RWI comparing actual price displacement to
expected
> displacement for random moves.
>
>
> I can copy more if you want ( short term formula; long term
formula)
> stephane
>
>
>
>
> > Ran across the AB functions RWI(min,max) etc. and I have been
> unable to
> > locate a mathematical description or motivation (or
intelligible
> code).
> >
> > Apparently, RWI was presented by Michael Poulos in the Jan 92,
> TASC: Random
> > Walk was defined in Technical Analysis Of Stocks and
Commodities
> by Michael
> > Poulos (see TASC, January 1992 and September 1992). Random
Walk
> calculates
> > how much price should move over a given period if its movement
> were purely
> > random. When price moves past this level, it can be assumed to
be
> trending
> > in that direction and the system will issue a signal. The
maximum
> look-back
> > period for Random Walk is optimizable in this system. An
excellent
> system.
> >
> > Sounds interesting, however, I cannot ferret out the
significance
> of the
> > min/max parameters. BTW I can locate several metastock
listings,
> and an
> > easy language listing - neither help me much.
> >
> >
> > Can anyone suggest a reference?
> >
> > Cheers,
> >
> > Richard
>
>
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