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Hi Jim,
Monday, July 14, 2003, 10:18:40 PM, you wrote:
j> What settings are you using on DMI?
j> Thanks
j> Jim
Whole ball of wax down below:
But remember, this is just a confirming filter, not a system by
itself. Using this as a "system" will produce very mixed results and
I doubt you'd want to do so. However, when my short term volatility
breakout comes on a day when this confirms, the results are really,
really nice. But as Jayson has mentioned, this apparently is close
dependent, rather than high or low dependent. As such, it will be
volatile up until the close, which doesn't do me much good in the
real world, as my signals would be intraday, and I would not be able
to confirm with this until the market closed.
Unless of course, there is a way to calculate the critical point
before the day started. Most of the time my volatility system is
probably going to present me with a signal that is going to lock in a
signal here. But not always, and there is no way to back test it in
that case.
Yuki
//Dynamic Momentum Index Tushar Chande Translated to AFL by Jayson Casavant
//Cmo5 formula
CMO5_1=Sum( IIf( C > Ref( C, -1 ) , ( C - Ref( C ,-1 ) ) ,0 ) ,5 ) ;
CMO5_2=Sum( IIf( C < Ref( C ,-1 ) , ( Ref( C ,-1 ) - C ) ,0 ) ,5 );
CMO5=DEMA(100 * (( CMO5_1 -CMO5_2) /( CMO5_1+CMO5_2)),3);
//Cmo10 formula
CMO10_1=Sum( IIf( C > Ref( C, -1 ) , ( C - Ref( C ,-1 ) ) ,0 ) ,10 ) ;
CMO10_2=Sum( IIf( C < Ref( C ,-1 ) , ( Ref( C ,-1 ) - C ) ,0 ) ,10 );
CMO10=DEMA(100 * (( CMO10_1 -CMO10_2) /( CMO10_1+CMO10_2)),3);
//Cmo20 formula
CMO20_1=Sum( IIf( C > Ref( C, -1 ) , ( C - Ref( C ,-1 ) ) ,0 ) ,20 ) ;
CMO20_2=Sum( IIf( C < Ref( C ,-1 ) , ( Ref( C ,-1 ) - C ) ,0 ) ,20 );
CMO20=DEMA(100 * (( CMO20_1 -CMO20_2) /( CMO20_1+CMO20_2)),3);
// dmi formula
dmi=((StDev(C,5)* CMO5)+(StDev(C,10)* CMO10)+(StDev(C,20)*
CMO20))/(StDev(C,5)+StDev(C,10)+StDev(C,20));
pds=Param("Smoothing",3,1,10,1);
pds1=Param("Trigger Line",5,1,10,1);
//Trend=Foreign("~CompCMF", "V")>0 ;
Plot(EMA(dmi,pds),"Dynamic Momentum Index",colorDarkGreen,1);
Plot(MA(dmi,pds1),"trigger",colorRed,1);
Buy=Cross(EMA(dmi,pds),MA(dmi,pds1));// AND Trend;
Sell=Cross(MA(dmi,pds1),EMA(dmi,pds));// AND NOT (Trend);
PlotShapes(IIf(Buy,shapeUpArrow,shapeNone) ,colorBrightGreen);
PlotShapes(IIf(Sell,shapeDownArrow,shapeNone),colorRed);
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