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--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> 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".
Tomasz,
OK for the first 2*len periods. Is it accurate for the next 2*len
periods?
Is it accurate for the next 4*len periods ?
What is accurate for you ? 10% divergence, 1% divergence, 0.01%
divergence ?
If the final amibroker use is to trade, a cross(X,20) is *very
different* from a cross(X,21) in a [15, 40] scale.
Dimitris Tsokakis
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Ara Kaloustian
> To: 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....
> ----- Original Message -----
> From: Dimitris Tsokakis
> To: 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
> 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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