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i tried to create this , and even used a 2 day vol adjusted ma in
MS to try to figure out how its calculated.
the interesting thing about it is that a 2 day simple ma starts on
the 2nd bar and a 2 day vol ma starts on the 5th bar.
can anyone explain what is meant by the last paragraph of b519b's
post below.
cheers: john.
In amibroker@xxxx, "b519b" <b519b@xxxx> wrote:
> --- In amibroker@xxxx, "Mike Lucero" <m.lucero@xxxx> wrote:
> > Try something like this:
> > Vwma = Sum(C*V,10)/Sum(V,10);
>
> I wish it was that easy. But I am told that the MetaStock formula
for
> Volume Weighted Moving Averages is a bit more complex. Others have
> tried to code it into TradeStation without success so far. I was
> hoping it could be done in Amibroker. Attached is a copy of what I
> have learned so far about Volume Weighted Moving Averages.
>
> It would be nice to get the formula and system to work in AB. The
> system's creator reports it tests very well (about 50%/year with
> drawdowns of less than 5%) on over 100 years of data on the Dow
> Jones.
>
> Any ideas of what the next step would be to code Volume Weighted
> Moving Averages in AB?
>
> COPY OF DISCUSSION
> From: "Del Craddock" <grailsm@xxxx>
> Date: Tue Jul 9, 2002 10:14 pm
> Subject: Re: [holygrailsm] Re: Bill's DOW system
>
> I tried that before it's, not doesnt give the same result (unless
I
> coded it wrong, entirely possible).
>
> Here is a snippet from the paritech website
> Dick Arms, well-known as the developer of the Arms Index and the
> equivolume charting method developed a unique method for
calculating
> moving averages. In keeping with his prior work, the calculation
> method incorporates volume and is appropriately called a volume
> adjusted moving average .
>
> The calculation for a volume adjusted moving average is somewhat
> complex; however, it is conceptually easy to understand. All
moving
> averages (even volume adjusted) use some type of weighting scheme
> to "average" the data. Exponential and weighted moving averages
> assign the majority of weight to the most recent data. Simple
moving
> averages assign the weight equally across all data. Variable moving
> averages assign the majority of the weight to the most volatile
data.
> And as its name implies, volume adjusted moving averages assign the
> majority of weight to the day's with the most volume.
>
> A volume adjusted moving average is calculated as follows:
>
> Calculate the average volume using every time period in the chart.
>
> Calculate the volume increment by multiplying the average volume by
> 0.67.
>
> Calculate each period's volume ratio by dividing each period's
actual
> volume by the volume increment.
>
> Starting at the most recent time period and working backwards,
> multiply each period's price by the period's volume ratio and
> cumulatively sum these values until the user-specified number of
> volume increments is reached. Note that only a fraction of the last
> period's volume will likely be used.
>
> ----- Original Message -----
> From: Brian Mitchell
> To: holygrailsm@xxxx
> Sent: Tuesday, July 09, 2002 6:52 PM
> Subject: Re: [holygrailsm] Re: Bill's DOW system
>
>
> Assuming you wanted a 20 period VMA, you'd so something like:
>
> 1: for each period, add close * volume to total
> 2: divide total by culmulative volume over 20 days
> 3: divide that by 20
>
> I believe that's all there is to it.
>
>
> ----- Original Message -----
> From: Del Craddock
> To: holygrailsm@xxxx
> Sent: Tuesday, July 09, 2002 7:31 PM
> Subject: Re: [holygrailsm] Re: Bill's DOW system
>
>
> The key is whether Amibroker does the Volume Adjusted moving
average
> curves.
> Metastock is
> the only program I have found so far that does it. I have Bills
> system set
> up in Metastock,
> and was trying to see if I could duplicate it in Tradestation, and
> nobody I
> can find has
> figured out the code for volume adjusted moving averages in
> Tradestation.
>
> Del
> > > -----Original Message-----
> > > From: b519b [mailto:b519b@x...]
> > > Sent: Tuesday, July 09, 2002 10:12 AM
> > > To: holygrailsm@xxxx
> > > Subject: [holygrailsm] Bill's DOW system
> > > Bill,
> > > Thank you for sharing you system for trading the DOW. Your
charts
> > > look promising. I have been (slowly) working at translating your
> > > MetaStock formulas for the system into my software which is just
> > > different encough to leave me scratching my head at some points.
> > >
> > > I would appreciate any comments you might have to clear my
> thinking.
> > > For discussion purposes, each line of that code (from post
5736)
> has
> > > been numbered.
> > >
> > > Bullish / Long
> > > 1a.....(ROC(Mov(C,20,S),1,$) > 0 AND
> > > 1b.....(Mov(C,20,VOL) > Mov(C,20,S))) OR
> > > 2a.....(ROC(Mov(C,20,VOL),1,$) > 0 AND
> > > 2b.....(Mov(C,20,VOL) > Mov(C,20,S)))
> > > Not included in ribbon MUST BE OBSERVED VISUALLY OR
> > > 3a.....((ROC(Mov(C,20,S),1,$) > 0) AND
> > > 3b.....(ROC(Mov(C,20,VOL),1,$) > 0))
> > > 4a.....Bearish / Short = None of the above true.
> > >
> > > Concerning Long Entry: If I understand corrently this means I
> Enter
> > > Long if any one of the following are true:
> > > ... (1a AND 1b)
> > > ... (2a AND 2b) which is the same as (2a AND 1b)
> > > ... (3a AND 3b) which is the same as (1a AND 2a)
> > >
> > > Concerning Long Exit and Short Entry: If ALL of the above are
> False
> > > then I should exit the Longs and go Short. Is this correct?
> > >
> > > Also I am a bit in the dark about what parts of the following
> > > MetaStock formulas mean (even after consulting some of the
> MetaStock
> > > information websites). Any comments would be appreciated.
> > >
> > > 1a.....(ROC(Mov(C,20,S),1,$) > 0
> > > First I get a Simple moving average of the close for 20 days
> > > This is put into a ROC (Return on Capital) formula with a
period
> of
> > > 1 day. If so, could I do the following: Omit the ROC call and
just
> > > test to see if today's Mov(C,20,S) is greater than yesterday's
Mov
> > > (C,20,S)?
> > >
> > > 1b.....(Mov(C,20,VOL) > Mov(C,20,S)))
> > > It looks like this line measures the strength of any uptrend by
> > > requires that there be more volume on the up-days than down-
days.
> My
> > > software does not have a specific option for a Volume Weighted
> > > Moving Average (I assme that is what the "VOL" specifies). Do
you
> > > know if the following code (pseudo code, not necessarily
MetaStock
> > > code) would give the same result?
> > >
> > > Vwma = Sum(C*Volume,10)/Sum(Volume,10);
> > > Where "Vwma" is just a variable in my software and where "Sum"
is
> a
> > > summation function. Or is this too simplistic an approach?
> > >
> > > 2a.....(ROC(Mov(C,20,VOL),1,$) > 0
> > > If I understand 1a and 1b, I can understand 2a just fine.
> > >
> > > 2b, 3a, 3b.
> > > These are just recombinations of 1a, 1b, and 2a.
> > >
> > > Thanks in advance for any help you can give.
> > >
> > > b
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