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OK I wan tto pose this problem to the rest of the board now because
I seem to have maxxed out my programming skill.
Basically, I want to be able to draw channels that are equididtant
from the EMA. The original formula goes like this:
----------
Upper channel line = EMA + (EMA * Channel coefficient)
Lower channel line = EMA - (EMA * Channel coefficient)
A well-drawn channel contains the bulk of prices, with only a few
extremes poking out. Adjust the coefficient until the channel
contains approximately 95 percent of all prices for the past several
months. Mathematicians call the "second standard deviation channel".
Most software packages make this adjustment very easy.
----------
I've written some straightforward code to do your own channels. It
is:
--------------------------
Chancoeff = Param ("Channel Coefficient", 0.1, 0.0, 0.3, 0.005);
Upchannel = EMA(Close, EMAShort) + (EMA(Close, EMAShort) *
Chancoeff);
Downchannel = EMA(Close, EMAShort) - (EMA(Close, EMAShort) *
Chancoeff);
Plot (Upchannel, "", colorBlack, styleLine);
Plot (Downchannel, "", colorBlack, styleLine);
---------------------------
That's the easy part. You adjust the channels manually with the
param function and "eyeball" when you think that the channels
include 95% of prices.
Basically what I want is to be able to have AB calculate the channel
coefficient for me. I've done some work on this and here's what I
have:
-------------------------------
Lookback = Param ("Channel Lookback", 45, 1, 100, 1); /*lookback
period for channels*/
ChannelPercent = Param ("Channel %", 95, 80, 100, 0.5); /*what % of
prices within channel in specified lookback period*/
Highsum = Sum (High, Lookback); /*sum of high values in lookback
period*/
Lowsum = Sum (Low, Lookback); /*sum of all low values in lookback
period*/
PriceRange = Highsum - Lowsum; /*total of daily range within entire
lookback period*/
PercentPrice = PriceRange * ChannelPercent / 100; /*value to be
included in channel*/
--------------------------------
>From here I'm stuck. I somehow need to take the value of
PercentPrice and convert it to the channel coefficient.
Any ideas?
TIA,
Chris
--- In amibroker@xxxxxxxxxxxxxxx, "Graham" <gkavanagh@xxxx> wrote:
> The same percent of the high prices will be greater in dollars
than the % of
> lows. I suggest use % of average price (H+L)/2 to get the
bandwidth.
>
> Cheers,
> Graham
> http://groups.msn.com/ASXShareTrading
> http://groups.msn.com/FMSAustralia
>
>
> -----Original Message-----
> From: indiana0352 [mailto:cs_winn@x...]
> Sent: Monday, 15 September 2003 12:55 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: channel width, in dr. elder's sense
>
>
> Hmm this seems like a good start but the formula below seems to
base
> the channels on closing proces rather than high and low prices, so
> the lines would be:
>
> Value2 = HHV(High,Lookback);
>
> Value3 = LLV(Low,Lookback);
>
> This corrects part of the problem but the bottom channel line is
> still not the same distance from the EMA as the top as it should
be.
>
> I'll work on this tomorrow but for now I need to go to bed...
>
> Chris
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso"
<ajf1111@xxxx>
> wrote:
> > Lookback=45;
> >
> > PerCent=95;
> >
> > x=C;
> >
> > Osc=x; /*insert variable by Identifier*/
> >
> > /****************************************/
> >
> > /*Value of Osc*/
> >
> > Value1 = Osc;
> >
> > /*Highest AND Lowest Values of Osc during Lookback Period*/
> >
> > Value2 = HHV(Value1,Lookback);
> >
> > Value3 = LLV(Value1,Lookback);
> >
> > /*Range of Osc during Lookback Period*/
> >
> > Value4 = Value2 - Value3;
> >
> > /*Define PerCent of Range to determine OB AND OS levels*/
> >
> > Value5 = Value4 * (PerCent / 100);
> >
> > /*Calculate OB AND OS levels*/
> >
> > Value6 = Value3 + Value5;
> >
> > Value7 = Value2 - Value5;
> >
> > baseline=(value2 + value3)/2;
> >
> > Plot(C,"",colorBlack,styleCandle);
> >
> > Plot(Value6,"",colorRed,styleLine);
> >
> > Plot(Value7,"",colorRed,styleLine);
> >
> >
> > ---
> > Outgoing mail is certified Virus Free.
> > Checked by AVG anti-virus system (http://www.grisoft.com).
> > Version: 6.0.516 / Virus Database: 313 - Release Date: 9/1/2003
>
>
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