|
PureBytes Links
Trading Reference Links
|
Ken,
I should probably add that Metastock STE (standard error) and
AmiBrokers StdErr produce EXACTLY THE SAME output.
=============================================
(provided that they are applied to the same data and same
'period' parameter is used).
I beg you that you check the things exactly before starting
yet again "Indicator X in AB vs MS is not the same" thread.
Belive me that I really check such things BEFORE I release
each new function.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Tomasz Janeczko" <amibroker@xxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Tuesday, March 11, 2003 9:50 PM
Subject: Re: [amibroker] Standard Error AB vs MS not the same
> Ken,
>
> Could you please use STE function in Metastock?
> This is what we can refer as to "Standard error" produced in Metastock.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Ken Close" <closeks@xxxxxxxx>
> To: "AmiBroker List" <amibroker@xxxxxxxxxxxxxxx>
> Sent: Tuesday, March 11, 2003 9:37 PM
> Subject: [amibroker] Standard Error AB vs MS not the same
>
>
> > All:
> >
> > Recently there has been some talk about Standard Error Bands.
> >
> > I have confirmed that the Standard Error Bands produced within AB do NOT
> > match the Standard Error Bands produced within MS. I do not care which
> > one is "theoretically correct." I have a system idea that needs to
> > generate a signal when the Close crosses above the upper Standard Error
> > Band, or below the lower Standard Error Band.
> >
> > It does not work in AB but does work using the MS version of the
> > Standard Error Band (I really do not care what the name is, I just want
> > the values to be correct)....
> >
> > Here is the AB version of the error band:
> >
> > Pr=Param("Pr",8,2,21,1);
> > Lr = LinearReg( Close, Pr);
> > Se = StdErr( Close, Pr );
> > width = 2;
> >
> > Uband = Lr + width * Se;
> > Lband = Lr - width * Se;
> >
> > Plot(C,"Close",4,64);
> > Plot(Uband,"Upper",2,1);
> > Plot(Lband,"Lower",5,1);
> >
> > Here is the more complex (understatement) expression for the standard
> > error band from Metastock:
> >
> > 21 period Upper Band (smoothed):
> > Mov((21 * Sum(Cum(1) * C,21) - Sum(Cum(1),21) * Sum(C,21)) / (21 *
> > Sum(Pwr(Cum(1),2),21) - Pwr(Sum(Cum(1),21),2)) * Cum(1) + (Mov(C,21,S) -
> > Mov(Cum(1),21,S) * (21 * Sum(Cum(1) * C,21) - Sum(Cum(1),21) *
> > Sum(C,21))/ (21 * Sum(Pwr(Cum(1),2),21) - Pwr(Sum(Cum(1),21),2)))
> > +2*(Sqrt(((Sum(Power(C,2),21)-(Power(Sum(C,21),2)/21))
> > -((Sum(Cum(1)*C,21))-((Sum(Cum(1),21)*Sum(C,21)/21)))/
> > ((Sum(Power(Cum(1),2),21))-(Power(Sum(Cum(1),21),2)/21))
> > *((Sum(Cum(1)*C,21))-((Sum(Cum(1),21)*Sum(C,21)/21)))) /19)),3,S)
> >
> > 21 period Lower Band (smoothed):
> > Mov((21 * Sum(Cum(1) * C,21) - Sum(Cum(1),21) * Sum(C,21)) / (21 *
> > Sum(Pwr(Cum(1),2),21) - Pwr(Sum(Cum(1),21),2)) * Cum(1) +(Mov(C,21,S) -
> > Mov(Cum(1),21,S) * (21 * Sum(Cum(1) * C,21) - Sum(Cum(1),21) *
> > Sum(C,21))/ (21 * Sum(Pwr(Cum(1),2),21) - Pwr(Sum(Cum(1),21),2))) -
> > 2*(Sqrt(((Sum(Power(C,2),21)-(Power(Sum(C,21),2)/21))
> > -((Sum(Cum(1)*C,21))- ((Sum(Cum(1),21) * Sum(C,21)/21))) /
> > ((Sum(Power(Cum
> > (1),2),21))-(Power(Sum(Cum(1),21),2)/21))*((Sum(Cum(1)*C,21))-
> > ((Sum(Cum(1),21)*Sum(C,21)/21)))) /19)),3,S)
> >
> >
> > Can someone suggest how I might recreate the equation (whatever it is
> > called) so that I can get the same signal out of this "error band"
> > parameter?
> >
> > For example, what is the equivalent in AB for "POWER"? I will for now
> > assume that all of the other functions - Cum(), Sum(), etc are the same.
> > I know how to convert the MS Mov() formula to the AB MA(). Any help on
> > Power or Pwr??
> >
> > If the above is too imposing, can you just translate this into AFL
> >
> > Power(Sum(C,21),2)/21) ===> ???? in AFL ?????
> >
> > Thanks for any help,
> >
> > Ken
> >
> >
> >
> >
> > Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> > Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> > -----------------------------------------
> > 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/
> >
> >
> >
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> -----------------------------------------
> 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/
>
>
>
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
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/
|