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Jayson: thanks for the suggestion. Turns
out that was exactly what was needed. The values in the AB code now match
those in MS….now on to the system…
You are a real wizard of help…..appreciate
it.
Ken
-----Original Message-----
From: Jayson
[mailto:jcasavant@xxxxxxxxxxxx]
Sent: Tuesday, March 11, 2003 4:43
PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Standard
Error AB vs MS not the same
Ken,
you might try applying an ma or an EMA to
the vinal variables ub an lb.........
Jayson
<span
>-----Original Message-----
From: Ken Close
[mailto:closeks@xxxxxxxx]
Sent: Tuesday, March
11, 2003 <span
>4:32 PM<font size=2
face=Tahoma>
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] <font
size=2 face=Tahoma>Standard
Error <span
>AB<font size=2
face=Tahoma> vs MS not the
same
I do not mean to start a debate on similar values from the two
programs;<span
>
however, this is important to me because a client
wants a system done in
AB that is currently being successfully implemented
in MS, and if the
functions produce the same values, then the MS
system rules will work in
AB....right now it does not.
Attached are two screen shots:
A1.gif is from AB showing QQQ for 3/4/2002<font
size=2 face="Courier New">. The screen shows the
code
for the indicator; the indicator pane shows the
values. A7.gif shows the
equivalent screen in MS with values shown in the
databox.
.........MS Value......AB Value
Upper......35.0397......37.85
Lower......33.4256......34.34
The one difference is that there is a
"smoothing" function box in the
settings box in MS. I did not see, nor know
how to apply, any
"smoothing factor" in AB. Perhaps
that is the difference.
In fact, when the smoothing factor in MS is set to
1, then both values
are the same.
So can you please tell me how and where to apply a
smoothing factor in
the AB formula for the Error Bands, so they become
equivalent to the
ones in MS.
Ken
-----Original Message-----
From: Tomasz Janeczko [mailto:amibroker@xxxxxx]
Sent: Tuesday, March 11, 2003 3:59 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] Standard Error AB vs MS
not the same
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
> >
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> >
> >
> >
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
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