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I am not clear what you are saying? My
formula compared the TR, ATR(1), against the max daily range to see if thatwas
the problem the problem with the RWI calculations. The test on !SPX and
!RUT demonstrate that the different formulas are independent of the true range
computation.
You appear to know how Tomasz calculates the ATR(1)
or the RWI - mind sharing that with us?
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 3:11
PM
Subject: [amibroker] Re: Tomasz - Psuedo
Code for RWI - Random Walk Index (and or RWIhi/lo etc.)
Richard,> I concur that the results do not
agree between AB and MS >computations. yes they are
#> 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.I
think its TR isTR=Max(Max(H-Ref(C,-1),Ref(C,-1)-L),H-L);Graph2 =
ATR(1)-TR;> 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.>
yes and Tomasz don't use the atr(1) or TR
aboveStephaneYour use of Yahoo! Groups is subject
to the Yahoo! Terms of
Service.
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