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Hello, Thanks,
I copy below the most important part of previous mail, RWI is clear
now in Amibroker.
http://groups.yahoo.com/group/amibroker/message/2850
RwiHi and RwiLo functions in AmiBroker are calculated as follows
(this is pseudo-code not AFL):
1. First partial RwiLoN and RwiHiN values are calculated when N
changes from minperiods to maxperiods
(Ref - gives the value N periods back as in AFL, and ATR is Average
True Range (as in AFL) and SQRT is a square root function )
RwiHiN = ( High - Ref( Low, -N ) ) / ( ATR( N ) * SQRT( N ) );
RwiLoN = ( Ref( High, -N ) - Low ) / ( ATR( N ) * SQRT( N ) );
2. Then the maximum of calculated values are taken (in this example
minperiods = 10; maxperiods = 15 )
RwiHi( 10, 15 ) = max( RwiHi10, RwiHi11, RwiHi12, RwiHi13, RwiHi14,
RwiHi15 );
RwiLo( 10, 15 ) = max( RwiLo10, RwiLo11, RwiLo12, RwiLo13, RwiLo14,
RwiLo15 );
3. Rwi oscillator is a difference between RwiHi and RwiLo
As you can see from the formulas given in (1) it may happen that the
value is negative, for example
in a strong downtrend RwiHiN for all specified N can be negative -
current highs are lower than Lows N periods ago.
Metastock obviously adds something like that:
RwiHi = Max( RwiHi, 0 );
RwiLo = Max( RwiLo, 0 );
essentially not allowing negative values at all. I doubt if this is
correct. But you may use this correction
in your code:
MSrwilo = Max( RWILo( 8, 20 ), 0 );
MSrwihi = Max( RWIHi( 8, 20 ), 0 );
////////////////////////
Actually ATR( N) is a *moving average* of true ranges over the N
bars.
The only difference is that ATR uses Wilders averaging:
ATR( N ) = Wilders( TrueRange, N ) = Wilders( ATR( 1 ), N );
> Richard,
>
> There is a series of messages on this subject beginning at msg 2836.
>
> Ed
>
> --- In amibroker@xxxx, "Richard Alford" <richard.alford@xxxx> wrote:
> > No problem, Tomasz. Actually, I only want to know what AB uses
> when you get a chance. I attempted to search the archives but to
no
> avail.
> >
> > Enjoy your trip,
> >
> > Richard
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