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Dave: do I remember you are a new user of FastTrack? In any case,
that program displays the Accutrack from 100 to -100. In your case, the
next day being higher than the previous day and the highest "seems" like
it would scale down the entire curve....hmmm, interesting observation.
I do not have an explanation for you.
I personally use the crossing of the ACC and zero so I am not concerned
with actual values...Salil asked about actual values so I looked further
and came up with the normalization.
Ken
-----Original Message-----
From: Dave Merrill [mailto:dmerrill@xxxxxxx]
Sent: Friday, August 29, 2003 4:05 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Accurate Accutract - for Salil
excuse me jumping in here, since I don't know anything much about
accutrack.
but re HHV for the whole series, can't you just make Periods huge, like
999999999? that should go back way past when you have data.
but it only looks back, never forward, right? is that what you want? I'm
wondering what it means to normalize a value re the entire range of
values
seen up to that date, but I'm not sure I see what that'd mean. say the
day
was a historic high, that'd be 100%. next day is even higher, making
that
new day 100%, but changing the previous day's value? doesn't seem right,
but
maybe I'm confused.
dave
> Salil: I have finally figured out (almost) the correct and exact
value
> for Accutrack (shape as well as value).
>
> The key is to normalize the Acc values to 100 and -100. Then the
values
> match the values displayed in FastTrack.
>
> Here is the revised AT code. See if it works for you.
>
> This example happens to be for VIX vs NDX. A problem I have --- HELP
> ANYONE --- is how to find the maximum (of HHV) value for all
quotations.
> Ditto for minimum (LLV). You will notice in the code below that I
used
> a large number ~ 3400 bars ~ to look back but this might be
insufficient
> for some other data series.
>
> **** How do you tell AFL to find the HHV or LLV over the entire series
> of quotations, when you do not know how many bars are contained in the
> entire series? *****
>
> Apart from this, I have compared the results of this plot to the same
> plot in FT, and the values are identical (at least for recent values).
>
> Comments? Any help??
>
> VIX=Foreign("VIX-X","C");
> Shrt=6;
> Lng=24;
> Fn1=Foreign("NDX-X","C");
> CHR=(VIX-Ref(VIX,-1))/Ref(VIX,-1);
> CHG=(Fn1-Ref(Fn1,-1))/Ref(Fn1,-1);
> CH1R=EMA(CHR,lng);
> CH1G=EMA(CHG,lng);
> Diff=CH1G-CH1R;
> Acc=100*EMA(Diff,Shrt);
> NAcc=IIf(Acc>0,100*Acc/HHV(Acc,3400),-100*Acc/LLV(Acc,3400));
> Plot(NAcc,"6/24 ACC",5,1);
>
>
> Ken
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