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Tomasz,
thank you for your reference.
You suggest to read at
http://groups.yahoo.com/group/amibroker/message/38856
THE SOURCE CODE FOR DEMA:
void DoubleExpMovingAverage( int Size, float *FactorTable, float
*SrcTable,
float *DstTable )
{
int i, j, k;
float factor, backfactor;
double average, dblaverage;
k = WalkThruEmpties( Size, FactorTable, DstTable );
j = WalkThruEmpties( Size, SrcTable, DstTable );
if( j < k ) j = k;
if( j < Size ) average = dblaverage = SrcTable[ j ];
for( i = j; i < Size; i++ )
{
factor = 2.0f/( 1.0f + FactorTable[ i ] );
backfactor = ( 1.0f - factor );
average = ( backfactor * average + factor * SrcTable[ i ] );
dblaverage = ( backfactor * dblaverage + factor * average );
DstTable[ i ] = (float) ( 2 * average - dblaverage );
}
}
Sorry, I can not see any reply to my questions.
So, I will keep on *guessing* what I guess [experimentally], but,
guessing is not knowledge, as far as I know.
Thank you for your hint.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "Dimitris Tsokakis" <TSOKAKIS@xxxx>
wrote:
> 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
>
> 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);
>
> 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 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.
> 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
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