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Jason,
5 is a "smoothing factor" The higher it is the smoother average you get (and more lag).
Let us assume that the volume is constant.
In that case MA( Volume, Period ) == Volume
Then this:
Period = 20;
N = 5 * MA( Volume, Period );
VWMA = AMA( Close, Volume/N );
reduces to this:
VMA = AMA( Close, 1/5 );
This is in fact equivalent to 9 day exponential moving average 1/5 == 2/(9+1).
So,
N = 5 * MA( Volume, 20 );
VMA = AMA ( Close, Volume / N );
is in fact adaptive exponential moving average that fluctuates around 9-day
period depending on how big current volume is compared to its 20-day average of the volume.
If current volume is 2 times its average then the adaptive average reduces to 4.5 bar period.
You can use other formulation:
Period1 = 20;
Period2 = 9;
N = MA( Volume, Period1 ) * (Period2 + 1 )/2;
VWMA = AMA( Close, Volume/N );
Period2 is then equivalent to EMA-like period
Period1 defines how many bars are used for smoothing volume used to "adjust" the average contolled by period2.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Jayson" <jcasavant@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Monday, February 24, 2003 7:27 PM
Subject: RE: [amibroker] Metastock Formula for AB
> Tomasz,
> thanks for the example. Why did you choose to multiply the average volume by
> 5? Was this an arbitrary number? The original post was doing a 5 day
> weighted MA but this is a 20 day weighted ma, correct? I can see that we
> need to keep the 2nd part of the expression less than zero but I am still a
> bit lost as to what the second number is trying to show? Sorry for being so
> dense, I know you have tried to explain this before but it just wont sink in
> :((
>
> Jayson
>
>
> -----Original Message-----
> From: Tomasz Janeczko [mailto:amibroker@xxxxxx]
> Sent: Monday, February 24, 2003 12:32 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: Re: [amibroker] Metastock Formula for AB
>
>
> Alan,
>
> It depends on what kind of volume-weighting you prefer.
> If simple weighting - that is OK.
>
> If exponential-like volume weigted you may try this:
>
> Period = 20;
> N = 5 * MA( Volume, Period );
> VWMA = AMA( Close, Volume/N );
>
> (this average implements dynamic (adaptive) smoothing
> depending on the ratio of current volume to average volume
> of period last days )
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: <alann@xxxxxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, February 24, 2003 5:46 PM
> Subject: [amibroker] Metastock Formula for AB
>
>
> > I am trying to translate a Metastock formula for AB. The formula is
> > (Mov(C,5,vol)/Mov(C,5,S))-1. The following is what I wrote:
> >
> > period=5;
> > VolWeightedMA=Sum((Volume*Close),period)/Sum (Volume,period);
> > VMACDP05=(VolWeightedMA / MA(C,period))-1;
> > Plot(VMACDP05,"VMACDP05", colorBlack, styleLine|styleOwnScale);
> >
> > Is this correct?
> >
> > Alan
> >
> >
> >
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
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> >
> > Check group FAQ at:
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> >
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> >
> >
> >
>
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
>
> Check group FAQ at:
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>
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>
>
>
>
>
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
>
> Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
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