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Dave -
Was up early, so I tackled this. If I understand what you're after,
there is a way to do it with one loop using a "switch" to gate the
lookbacks for each tick. It depends on the MA() function taking a
variable lookback (which I think may not be documented).
Here's the code with some test output. For test, the CCIx lookback
cycles between 20 and 24 and the normal CCI of those values are
output for comparison to CCIx. It matches with some roundoff
allowance.
-- Bruce
// Generate a variable lookback that cycles 20,21,22,23,24,20,21 ....
base = 20;
period = Close - Close + base;
period = (period + (Cum(1) % 5));
// Get the max period for later
maxperiod = LastValue(Highest(period));
// This works because MA takes a variable lookback
SMATP = MA(Avg, period);
MD = Close - Close;
for(i = 0; i < maxperiod; i++) {
// This is the key - only add terms where i < lookback for
each tick
MD = MD + abs(SMATP - Ref(Avg, -i)) * (i < period);
}
MD = MD / period;
CCIx = (Avg - SMATP) / (0.015 * MD);
// Output some stuff for proof
Filter = 1;
AddColumn(CCIx, "CCIx", 8.4);
AddColumn(base, "BASE", 5.0);
AddColumn(period, "PERIOD", 5.0);
AddColumn(CCI(base), "CCI(base)", 8.4);
AddColumn(CCI(base + 1), "CCI(base + 1)", 8.4);
AddColumn(CCI(base + 2), "CCI(base + 2)", 8.4);
AddColumn(CCI(base + 3), "CCI(base + 3)", 8.4);
AddColumn(CCI(base + 4), "CCI(base + 4)", 8.4);
--- In amibroker@xxxxxxxxxxxxxxx, "Dave Merrill" <dmerrill@xxxx>
wrote:
> thanks tomasz, but it's still not working when I pass an array for
the CCIx
> period, which is the end result I'm looking for. I still get the
same error
> "Error 3. Condition in IF, WHILE, FOR statements has to be Numeric
or
> Boolean type."
>
> any further ideas?
>
> here my actual code:
>
> ==============
> function MeanDev(array, mean, range) {
> result = 0;
> for(i = range; i < BarCount; i++) {
> result[i] = 0; // the mean is not 'moving' over the range
(outside the
> loop)
> tm = mean[i];
> for(j = 0; j < range; j++) {
> result[i] = result[i] + abs(array[i - j] - tm);
> }
> result[i] = result[i] / range;
> }
> return result;
> }
> function CCIx(period) {
> SMATP = MA(Avg, period);
> MD = MeanDev(Avg, SMATP, period);
> result = (Avg - SMATP) / (0.015 * MD);
> return result;
> }
> ==============
>
> 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 MeanDev( array, mean, range )
> {
> result = 0;
>
> for( i = range ; i < BarCount; i++ )
> {
> result[ i ] = 0;
> // the mean is not 'moving' over the range (outside the
loop)
> tm = mean[ i ];
> for( j = 0; j < range; j++ )
> {
> result[ i ] = result[ i ] + abs( array[ i - j ] - tm );
> }
>
> result[ i ] = result[ i ]/range;
> }
>
> return result;
> }
>
> n = 20;
>
> SMATP = MA(Avg,n);//1,2
>
> MD = MeanDev( Avg, SMATP, n );
>
> CCIx = (Avg - SMATP) / (0.015 * MD);//5,6,7
>
> Plot(CCIx,"CCIx",colorGreen,styleLine);
>
> Plot(CCI(n),"CCI",colorRed,styleLine);
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: Dave Merrill
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Sunday, October 12, 2003 7:24 AM
> Subject: RE: [amibroker] AFL formula for CCI
>
>
> thanks for jumping in graham.
>
> first, I think AB's Avg is (H+L+C)/3, so we don't need to
calculated it
> again.
>
> 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.
>
> this non-loop version is close, not the results it gives, but
> conceptually:
>
> MD = Sum(Abs(SMATP - avg), period);
>
> 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.
>
> any more ideas? not just you graham, but anyone?
>
> dave
> This isn't an exact match, I tried to check against the
description in
> AB
> help 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
> http://groups.msn.com/ASXShareTrading
> http://groups.msn.com/FMSAustralia
>
> -----Original Message-----
> From: Dave Merrill [mailto:dmerrill@x...]
> Sent: Sunday, 12 October 2003 12:22 PM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] AFL formula for CCI
>
>
> re the earlier discussion of using arrays as paremters to
built-in
> indicators, I need a version of the CCI that can take an
array for its
> period.
>
> here's a description of how the 20-period CCI is calculated,
from
> StockCharts.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
> value
> of the difference between today's SMATP and the typical price
for each
> of
> the past 20 days. Add all of these absolute values together
and divide
> by 20
> to find the Mean Deviation.
> 4) The final step is to apply the Typical Price (TP), the
Simple
> Moving
> Average 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 of
> the loop?
>
> thanks,
>
> dave
>
>
>
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