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Dave,
The mean deviation in CCI requires that SMATP does NOT move
over the period.
In your
MD = Sum(Abs(SMATP - avg),
period);
SMATP is moving.
You can not code itwith SUM
or MA. You must use looping for that.
function<FONT
face="Courier New"> MeanDev( array, mean, range ){ result = <FONT
color=#ff00ff>0<FONT
face="Courier New">;
for<FONT
face="Courier New">( i = range ; i < BarCount; i++ )
{ result[ i ] = <FONT
color=#ff00ff>0; <FONT
color=#008000> <FONT face="Courier New"
color=#008000>// the mean is not 'moving' over the range (outside the
loop) tm =
mean[ i ]; <FONT
face="Courier New">
<FONT
face="Courier New">for( j = <FONT
color=#ff00ff>0; j < range; j++
) {
result[ i ] = result[ i ] + abs<FONT
face="Courier New">( array[ i - j ] - tm );
} <FONT
face="Courier New"> result[ i ] = result[ i
]/range; }
return result;}
n = <FONT face="Courier New"
color=#ff00ff>20;
SMATP = <FONT
color=#0000ff>MA(Avg,n);<FONT
color=#008000>//1,2
MD = MeanDev( Avg, SMATP, n );
CCIx = (Avg - SMATP) / (<FONT
face="Courier New">0.015 * MD);<FONT
color=#008000>//5,6,7
Plot<FONT
face="Courier New">(CCIx,<FONT
color=#ff00ff>"CCIx",colorGreen,styleLine);<FONT
color=#0000ff>
Plot(<FONT
color=#0000ff>CCI(n),<FONT
color=#ff00ff>"CCI",colorRed,styleLine);
Best regards,Tomasz Janeczkoamibroker.com
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Dave Merrill
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, October 12, 2003 7:24
AM
Subject: RE: [amibroker] AFL formula for
CCI
<SPAN
class=806081305-12102003>thanks for jumping in graham.
<SPAN
class=806081305-12102003>
<SPAN
class=806081305-12102003>first, I think AB's Avg is (H+L+C)/3, so we don't
need to calculated it again.
<SPAN
class=806081305-12102003>
<SPAN
class=806081305-12102003>second, I think the problem we're both having is the
mean deviation code. my loop version sums, over 20 days, the absolute
values of the difference between TODAY'S SMATP and the typical price of that
day.
<SPAN
class=806081305-12102003>
<SPAN
class=806081305-12102003>this non-loop version is close, not the results it
gives, but conceptually:
<SPAN
class=806081305-12102003>
<SPAN
class=806081305-12102003> MD = Sum(Abs(SMATP - avg),
period);
<SPAN
class=806081305-12102003>
<SPAN
class=806081305-12102003>what's wrong I think is that for each day being
summed, it uses the SMATP value for that day, same as it uses the avg value
for that day. but as I said above, it needs the avg for each day, but the
SMATP value used should always be from the current day, the one being
calculated, not the value on each of the previous (Period)
days.
<SPAN
class=806081305-12102003>
<SPAN
class=806081305-12102003>any more ideas? not just you graham,
but anyone?
<SPAN
class=806081305-12102003>
<SPAN
class=806081305-12102003>dave
<BLOCKQUOTE
>This
isn't an exact match, I tried to check against the description in ABhelp
files but couldn't quite follow it.I am missing something, just not
certain what.TP = (H+L+C)/3;SMATP = MA(TP,20);MD = MA(abs(TP
- SMATP),20);CCIx = (TP - SMATP) / (0.015 *
MD);Plot(CCIx,"CCIx",colorGreen,styleLine);Plot(CCI(20),"CCI",colorRed,styleLine);Cheers,Graham<A
href="">http://groups.msn.com/ASXShareTrading<A
href="">http://groups.msn.com/FMSAustralia
-----Original Message-----From: Dave Merrill
[mailto:dmerrill@xxxxxxx] Sent: Sunday, 12 October 2003 12:22 PMTo:
amibroker@xxxxxxxxxxxxxxxSubject: [amibroker] AFL formula for
CCIre the earlier discussion of using arrays as paremters to
built-inindicators, I need a version of the CCI that can take an array
for itsperiod.here's a description of how the 20-period CCI is
calculated, fromStockCharts.com: 1) Calculate today's Typical
Price (TP) = (H+L+C)/3 where H = high; L =low, and C = close.
2) Calculate today's 20-day Simple Moving Average of the Typical
Price(SMATP). 3) Calculate today's Mean Deviation. First,
calculate the absolute valueof the difference between today's SMATP and
the typical price for each ofthe past 20 days. Add all of these absolute
values together and divide by 20to find the Mean Deviation. 4)
The final step is to apply the Typical Price (TP), the Simple
MovingAverage of the Typical Price (SMATP), the Mean Deviation and a
Constant(.015) to the following
formula: CCI = (Typical Price - SMATP) /
(.015 x Mean Deviation)according to my tests, this matches the
built-in CCI exactly: MD = 0; // MD
is Mean Deviation for(i = 0; i < period; i++)
{ MD = MD + Abs(SMATP - Ref(avg, -i));
} MD = MD / period;can anyone see how to do the same thing
with AFL array processing instead ofthe
loop?thanks,daveSend BUG REPORTS to
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