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I concur that the results do not agree between AB
and MS computations. I would certainly expect Tomasz to use the
conventional TR. I looked at the results on !RUT and !SPX - which
have almost NO gaps, i.e. the range always includes the close, hence the TR=
H-L almost everywhere and the results also are inconsistent.
//atr testGraph2 =
ATR(<FONT
color=#ff00ff size=1>1)-(H-L)<FONT
color=#008000 size=1>;
Tis a puzzlement. At any rate, the random
walk stuff is simply a comparison of price vs. sqrt(n)*delta where all the play
comes from the choice of the random step size, delta.
I presume AB allows a range for the selection of
the maximum excursion from gaussian spreading.
Cheers,
Richard
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
<A title=nenapacwanfr@xxxx
href="">nenapacwanfr
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, July 02, 2002 10:51
AM
Subject: [amibroker] Re: Tomasz - Psuedo
Code for RWI - Random Walk Index (and or RWIhi/lo etc.)
Richard,for example in Mstock the RWIL(2,9) isthe
formula belowyou'll see that Mstock uses the ATR or the true range ofone
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 ATRBUT if I compare with
the AMIBROKER RWI, that 's
differentPlot(RWILo(2,9),"",1,1);Plot(avgRWIL,"",2,1);I wonder
what TRUE RANGE Tomacz uses in the computation of random
walkavgRWIL=/* 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 usethe
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, RWIwas
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 RandomWalk
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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