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If nothing else DT you have my interest. I haven’t as
yet gotten around to investigating the use of DEMA. So as a little backup
information I searched my database of information websites that I have found
and normally rely on. I came across only one useful reference, and that was
very light on anything useful. The only thing it could add was “The DEMA
can be used instead of exponential moving averages or to smooth price info or
other indicators.” As I said it was very light on info.
I can’t say that I follow the point you are trying to
make in this email. I can’t work out if you are saying what is in AB is
the true DEMA or not. Or was your thoughts based on the indicator itself.
Either way a quick plot of it certainly shows it is
something worth delving into.
<font size=3 color=teal
face="Times New Roman">Cheers,
Graham
<font size=2
color="#339966" face="Times New Roman"><font
color="#339966">http://groups.msn.com/ASXShareTrading
<font size=2
color="#339966" face="Times New Roman"><font
color="#339966">http://groups.msn.com/FMSAustralia
<span
>-----Original Message-----
From: Dimitris Tsokakis
[mailto:TSOKAKIS@xxxxxxxxx]
Sent: Saturday, 26 April 2003 8:14
PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Built-in DEMA
questions
<font size=3
face="Times New Roman">
<font size=2
face="Times New Roman">Some things should be
explained about DEMA and its expected behavior:
Let us use a fast DEMA [green line, period=10] and a slow one [yellow line,
period=10]
A third, variable period DEMA [the black thicker line], uses the fast period
and, suddenly, 200 bars ago, changes to slow.
The result will immediately leave the green curve, but asymptotically touch the
yellow one.
It will not be a real 50-bar DEMA, even after 200 bars.
Note that all this 200-bar period the variable DEMA stays higher than the slow
one. [above gif]
To answer my [obvious] questions, I search the available reference [instead of
leaving my imagination to fly around].
The explanatory note via
http://groups.yahoo.com/group/amibroker/message/38844
sends me to
http://www.amibroker.com/guide/afl/afl_view.php?name=DEMA
where I read the comment
<font size=3
face="Times New Roman">
<font size=2
face="Times New Roman">DEMA internally is
implemented via EMA:
Len=10;
Graph0= 2 * EMA( C, len ) - EMA( EMA( C, len ), Len );
// for comparison only
Graph1=DEMA(C,Len);
<font size=3
face="Times New Roman">
<font size=2
face="Times New Roman">Some more explanations
should be added because:
a. The
built-in DEMA begins from the first bar and the analytic EMA equivalent begins
400 bars later.
How the built-in DEMA is defined for the first 400 bars ?
[The question holds for IB and AA, see the simple exploration
<font size=3
face="Times New Roman">
<font size=2
face="Times New Roman">Len=200;
G0= 2 * EMA( C, len ) - EMA( EMA( C, len ), Len );
G1=DEMA(C,Len);
Filter=1;
AddColumn(G0,"ANALYTIC DEMA");
AddColumn(G1,"DEMA");
AddColumn(Cum(1),"BARS",1.0);
<font size=3
face="Times New Roman">
<font size=2
face="Times New Roman">and the att. gif]
<font size=3
face="Times New Roman">
<font size=2
color=red face="Times New Roman">b. <font
size=2>Should we expect a 2*Len delayed response
when variable periods is used ?
c. My
CSCO history is 831 bars [Jan3, 2000 till now]. The
Graph0= 2 * EMA( C, len ) - EMA( EMA( C, len ), Len );
begins on Aug2, 2001.
c1.Can we speak for a
proper function use back in the critical Oct2, 2001 CSCO low?
The built-in DEMA is 11.53 and the EMA equivalent is 9.08 !!!!!
c2.After how many bars
the two formulas are less than 1% diverging ?
<font size=3
face="Times New Roman">
<font size=2
face="Times New Roman">
Built-in DEMA is, IMO, one of the most powerful AFL tools, its use in trading
systems design gives excellent results
and this is accurately translated to interesting profits.
To avoid any misunderstanding [the recent winds are S to SW, not that
healthy...]
my questions do not search for built-in functions secrets, it would be useless
to me.
<font size=2
face="Times New Roman">Just a better explanation
to understand
the expected DEMA behavior would
encourage users/traders to step into this great function.
5-10 lines would be more than enough, no need for 1000+ pages.
Thank you in advance for any reply.
Dimitris Tsokakis
<font size=3
face="Times New Roman">
<font size=2
face="Courier New">Send BUG REPORTS to
bugs@xxxxxxxxxxxxx<span
>
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
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