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Re: [amibroker] Built-in DEMA questions



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Ara,
 
Not really. By definition DEMA and all exponential moving 
averages because of their recursive formula,
require only 2 (EMA) or 3 bars (DEMA/TEMA) to calculate 
first value.
But it just the convention that first 2 * len periods are 
being considered as "not accurate".
 
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE 
>
  ----- Original Message ----- 
  <DIV 
  >From: 
  Ara Kaloustian 
  
  To: <A title=amibroker@xxxxxxxxxxxxxxx 
  href="">amibroker@xxxxxxxxxxxxxxx 
  Sent: Saturday, April 26, 2003 11:37 
  PM
  Subject: Re: [amibroker] Built-in DEMA 
  questions
  
  DT,
   
  Insightful investigation into DEMA. 
   
  The phenomenon however is not related to variable 
  periods as you get the same results if you replace the variable with a fixed 
  value.
   
  I would assume the DEMA results for the first 
  2*len periods would be erroneous - by definition....
  <BLOCKQUOTE 
  >
    ----- Original Message ----- 
    <DIV 
    >From: 
    Dimitris 
    Tsokakis 
    To: <A title=amibroker@xxxxxxxxxxxxxxx 
    href="">amibroker@xxxxxxxxxxxxxxx 
    Sent: Saturday, April 26, 2003 5:14 
    AM
    Subject: [amibroker] Built-in DEMA 
    questions
    
    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 <A 
    href="">http://groups.yahoo.com/group/amibroker/message/38844 
    sends me to <A 
    href="">http://www.amibroker.com/guide/afl/afl_view.php?name=DEMAwhere 
    I read the comment
     
    DEMA internally is implemented via 
    EMA:Len=10;Graph0= 2 * EMA( C, len ) - EMA( EMA( C, len ), Len 
    );// for comparison onlyGraph1=DEMA(C,Len);
     
    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
     
    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);
     
    and the att. gif]
     
    b. 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 ?
     
    Built-in DEMA is, IMO, one of the most powerful AFL 
    tools, its use in trading systems design gives excellent resultsand 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. 
    Just a better explanation to understandthe 
    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 
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